Exemptions for intra-group and equity options from non-cleared margin rules expire by January 2021
With clearing banks constrained by leverage limits, prop traders fear options market lockdown
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
Regulators point to possible systemic risk in margin loophole, as industry urges parity with US
European Commission to publish changes to Emir technical standards within days
Quants are embracing the idea of ‘model free’ pricing and hedging
European dealers want exemption rolled over, to avoid handing US firms a regulatory advantage
In this paper, the authors propose and investigate a new method for the calibration to American option price data.
Compression efficiency in SGX Nikkei 225 options could be as high as 50%, Capitalab says
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…
Quant says a new machine learning technique could change the way banks hedge derivatives
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.
Derivatives have netted conglomerate $2.2 billion in gains since 2004
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
CCP touts method for speeding up manual settlement process as rival Ice gears up for options launch
After volatility surge, buyers give up coupons for better chance of early redemption
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
Non-EU benchmarks have until 2020 to comply, but swaps contracts may need to change immediately
The authors investigate the underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market’s return distribution.
Lack of liquid options on European mid-cap benchmarks leaves investors stuck with the blue chips
Volatility benchmarks will follow launch of equity options later in 2014
But rejects price efficiency of US index options trading
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