Index options
Bank QIS teams take zero-day options plunge
JP Morgan sees better risk/reward profile for 0DTE-based trend strategies
US life insurers piled into index options in Q2
Counterparty Radar: Lincoln Financial, Global Atlantic lead expansion; Goldman claims top dealer spot
‘Witching day’ price spikes point to options market manipulation – study
Data reveals patterns that can be explained no other way, researchers say
HKEX eyes options contracts on MSCI A-shares index
Warrant issuers could benefit from roll-out of additional hedging instruments
Same instrument, different market
Dealer Rankings 2023: For buy-side firms, the list of banks you can trade with depends on who you are
Calamos grows equity index options book amid put U-turn
Counterparty Radar: US retail funds cut $39.3 billion notional in Q4
Simplify bursts into equity index options lead
Counterparty Radar: US mutual funds added exposure to sector in Q3
‘Perfect’ VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Index vol has been a poor hedge for equity rout, traders say
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
JP Morgan AM jumps into equity index options pole position
Counterparty Radar: Manager added $7.1 billion in S&P 500 puts and calls in Q4 2021
A new fast local volatility model
A local volatility model based on the Bass construction and alternative to Dupire-style models is introduced
Berkshire Hathaway outruns index puts it sold pre-GFC
Options that netted Warren Buffett’s company hefty premiums would be worthless at end-2021 market levels
China stock slump hits snowball issuers
Sharp selloff in CSI 500 index threatens pain for local issuers of popular structured products
Podcast: Hans Buehler on the data science behind deep hedging
Top JP Morgan quant stresses importance of ‘de-trending’ training datasets used in machine learning
OTC trading platform of the year: Fenics GO
Risk Awards 2021: hybrid protocol jumpstarts electronification of options block trading
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