Implied volatility
Has the Iran conflict made FX untradable?
FX options volumes jump despite high costs and short-lived opportunities
A smooth fit for complex volatility surfaces
Quant shows a new way to capture implied vol with optimisers
Iran conflict forces EM carry trade unwinds
Surging oil prices, rising vol and dollar flight triggered stop-outs of emerging market positions, say dealers
After market whipsaws, banks put new twist on QIS options
Variable strike options aim to catch recoveries after volatility spikes
Convex volatility interpolation
The modelling of implied volatility surfaces is reframed as an optimisation problem
Neural networks unleashed: joint SPX/VIX calibration has never been faster
SPX and VIX options can be jointly calibrated in real time with deep neural networks
The options experts who think vol selling is a broken trade
Some say the equity volatility risk premium has vanished, others say it comes and goes
Institutional investors take profit on gold trades
Hedge funds trimmed longs after gold rally and triggered massive market selloff
Low-vol gold rush points to further upside
Options markets see no scramble to chase metal higher despite 43% year-to-date rally
Political turmoil rattles Turkish lira carry trade
Echoes of March crackdown that sparked market rout leave traders on alert
Do earnings events reset the trading clock?
This paper uses a large number of earnings events from which the subset of outcomes for which the price strongly increased or declined into the earnings date.
Turn of the skew: FX options dealers balance fragile market
Calls-versus-puts demand flips wildly in response to geopolitical events
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
Trump tariffs sent FX options traders on a wild ride
As US assets sold off, dealers found themselves on the front lines of a hedging scramble
Asia hours surge complicates FX options market-making
Late tariff announcements in US trigger hedging headaches during less-liquid Asia sessions
‘Trump slump’ hedges rise on rate cut fears
One dealer notes fivefold increase in number of clients hedging against possibility of faster rate cuts
Disappearing dealer gamma spurs wild stock swings
Stock market selloff leaves dealers perilously close to peak short gamma positioning
Podcast: Lyudmil Zyapkov on the relativity of volatility
BofA quant’s new volatility model combines gamma processes and fractional Brownian motion
QIS 3.0 ‘bonanza’: hedge funds pivot from options to swaps
Pod-level scramble for max-loss exposure gives way to central risk books seeking overlays
Volatility selling is down, but not out
Shrinking risk premiums could end cycle of vol suppression, traders say – but not just yet
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling