Index options
Ice tees up CDS options launch for November 9
Fight for CDS market share heats up as Ice begins clearing options and LCH preps CDX offering
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
Berkshire Hathaway’s put option liabilities climb
Fair value liability climbed to $1.6 billion at end-June
EU banks expect further margin reprieve for equity options
Exemptions for intra-group and equity options from non-cleared margin rules expire by January 2021
Leverage ratio squeeze hits options trades
With clearing banks constrained by leverage limits, prop traders fear options market lockdown
The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
EU gives one-year margin reprieve on equity options
Regulators point to possible systemic risk in margin loophole, as industry urges parity with US
EU to grant last-minute margin reprieve for equity options
European Commission to publish changes to Emir technical standards within days
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
EU banks seek last-minute margin reprieve for equity options
European dealers want exemption rolled over, to avoid handing US firms a regulatory advantage
Complexity reduction for calibration to American options
In this paper, the authors propose and investigate a new method for the calibration to American option price data.
Capitalab completes first compression run with SGX
Compression efficiency in SGX Nikkei 225 options could be as high as 50%, Capitalab says
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Podcast: Hans Buehler on deep hedging and harnessing data
Quant says a new machine learning technique could change the way banks hedge derivatives
Does international stock index arbitrage exist?
This study investigates international stock index arbitrage opportunities between seven blue-chip indexes in Asian, European and US time zones over a twenty-year time horizon.
Berkshire Hathaway dinged $300m by equity index options
Derivatives have netted conglomerate $2.2 billion in gains since 2004
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
LCH launches CDS exercise platform
CCP touts method for speeding up manual settlement process as rival Ice gears up for options launch
Nervy Korean autocall investors lean on lizards
After volatility surge, buyers give up coupons for better chance of early redemption
Equity derivatives now biggest consumer of initial margin
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
Asian administrators in denial on EU benchmarks regulation
Non-EU benchmarks have until 2020 to comply, but swaps contracts may need to change immediately
Delta-hedged gains and risk-neutral moments
The authors investigate the underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market’s return distribution.
Narrow range of index products stifles investor choice
Lack of liquid options on European mid-cap benchmarks leaves investors stuck with the blue chips
China to launch series of volatility indexes by year-end
Volatility benchmarks will follow launch of equity options later in 2014