Options
GameStop frenzy triggered $2 billion margin breach at OCC
Total initial margin held by the OCC's default fund stood at $114.4 billion in Q1
Sunil Cutinho on CME’s crisis performance
Maverick clearing house boss dismisses the need for anti-procyclicality tools imposed by regulators
Hedging valuation adjustment gets cold shoulder from banks
Dealers back the idea of charging for hedging costs but not as part of a new XVA
An approximate solution for options market-making
An algorithm for the market-making of options on different underlyings is proposed
UK banks interest rate swap exposures fall £711bn
Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter
Is short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout
Range accruals under spotlight as Taiwan prepares for FRTB
Taiwanese banks review viability of products offering options on long-dated rates
Invesco bets on new tech to refine its FX trading
Home-grown tool will improve order routing and execution strategies, asset manager believes
Drax commits to ESG-linked FX derivative targets with UK banks
Renewable energy supplier applies long-term ESG KPIs to short-term FX trades with Barclays and NatWest
What is the volatility of an Asian option?
An adjustment for the volatility smile in Asian options is proposed
Initial margin at the OCC topped $100bn in Q4
Exchange-traded derivatives hub cleared 7.5 billion contracts in 2020
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
Derivatives notionals at Wells Fargo, BofA fell in 2020
Written options notionals dropped 12% in aggregate
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
CME looks to life after Eurodollars, as rivals circle
Eurodollar futures will die with Libor but there is no obvious ready-made replacement
Utility is success? Row brews over futures post-trade workflows
Industry confronts competing models and hard questions in search of better allocations workflow
OTC FX options market gears up for faster electronification
Share of electronic trading remains low but host of factors promise to change that for good
Put options power up variable annuities
Insurance quants increase risk-adjusted profits using novel hedging technique
A verification model to capture option risk and hedging based on a modified underlying beta
This paper analyzes the relationship between option risk and expected return from the perspective of the underlying beta, and estimates the degree of correlation.
Vix vulnerable to retail short squeeze, analysts warn
Volatility products could see more wild swings as dearth of vol sellers exacerbates spikes
Held in suspense: late futures orders blamed for Covid meltdown
Buy-side use of average pricing contributed to rash of failed trades and give-ups last March
Exchange of the year: CME Group
Risk Awards 2021: changes to options strikes helped CME avoid major mishaps in volatile 2020
Derivatives client clearer of the year: JP Morgan
Risk Awards 2021: bank avoided tech snags and margin call surprises that plagued peers during crisis
Clearing house of the year: Eurex Clearing
Risk Awards 2021: clearer’s Prisma margin model proves its mettle in year of market tumult