Index options
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
Arcanum profits from volatility with equity index options
But rejects price efficiency of US index options trading
Short-selling bans spark confusion over index trades and extraterritoriality
Dealers say volumes have been light as market participants try to work out scope of bans – with confusion arising on index trades and the geographic reach of the rules