Options
OCC made $32bn initial margin call in Q1
Clearing house reported peak margin breach of $273 million
Bargain-hunting equity hedgers turn to FX
Currency options are cheap relative to stock index puts, but correlations are uncertain
FCMs feared systemic incident during March back-office meltdown
Trade breaks following Covid-19 spike in futures volumes required massive clean-up job, says BofA exec
Jittery ringgit spurs options growth in Malaysia
Local corporates seek new hedging tools, but longer-term options liquidity lacking
Risk doesn’t wait for market close
Many market participants rely on end-of-day batch systems to perform analytics and, in the current environment, they may see significant negative impacts on their business. Leila Sadiq, front-office risk head of product at Bloomberg, explores how the…
Structured products are lost in translation post-Libor
Benchmark shift would “fundamentally transform” popular rates structures, users fear
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
Inside March madness with Citi’s Tuchman
Interview: Trading rooms went virtual, central banks stepped up – but some platforms flopped
Podcast: Kaminski and Ronn on negative oil and options pricing
The market is gravitating to the Bachelier model as an alternative to Black 76
EBA relaxes modellability hurdles for market risk capital
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
Leverage ratio squeeze hits options trades
With clearing banks constrained by leverage limits, prop traders fear options market lockdown
Two quants use options pricing tools to model Covid-19
New tool aims to gauge wider cost of virus control measures
An adaptive Monte Carlo approach
This paper proposes a new, flexible framework using Monte Carlo methods to price Parisian options not only with constant boundaries but also with general curved boundaries.
CME was ill-prepared for negative oil prices, FCMs say
Bourse draws criticism over timing of options model change; delay in sending key margin file
The SABR forward smile
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
How Goldman’s algos adapted to virus vol
Interview: Ralf Donner explains why algo usage is up while markets are down
Shale firms pump hedge books for liquidity lifeline
Lucrative hedge portfolios offer promise of cash but unlocking residual value won’t be simple
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
How carbon-cutting Drax manages currencies and credit
Interview: UK power giant uses option selling – and other tactics – to create hedging headroom
Sluggish back-office systems added to margin pressures
Systems supplied by FIS struggled to handle massive spike in March trading volumes
RBS exits listed derivatives trading and clearing
Clients served eviction notices last week as bank moves to downsize NatWest Markets unit
FX vol revived by Covid-19 – but for how long?
Traders split on whether virus impact, or central bank responses, will prove most powerful
More NDF changes could follow Argentine chaos
Lat Am contracts may be tweaked to avoid repeat of contentious peso freeze