Options
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
FX options’ MDP migration
Volumes on multi-dealer platforms are climbing, but dealers warn pricing may not be optimal
Collapse of correlation fails to stem zeal for dispersion
New analysis suggests immensely popular relative value strategy may have more upside
How steepener trades burned hedge funds, and what happened next
Delays to central bank rate cuts torpedo popular trade, causing funds to pull capital – to the chagrin of sell-side desks
Default funds at CME, JSCC and OCC grew to record levels in Q1
CCPs’ skin in the game fails to keep pace with member contributions
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Form an orderly QIS: hedge funds spur quant products to new heights
Rise of multi-strategy vehicles triggers demand for indexes once seen as competitors
Client margin up 5% at Barclays’ F&O unit in March
US clearing unit overtakes Citi to reclaim sixth place among FCMs by required funds
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Europe’s FXPBs take advantage of margin rule carve-out
Some big FX options users have switched to dealers capitalising on regulatory mismatch
BNP Paribas targets hedge funds with equity vol carry options
Bank aims to meet demand for QIS options extending beyond commodities
SG trader dismissals shine spotlight on intraday limit controls
Risk experts say many banks rely on daily reports and can’t effectively monitor intraday limits in real time
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
Sustainable bond markets miss an options trick
A derivatives mindset could boost lagging sustainability-linked market, argues climate think-tank
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
Wells Fargo’s F&O client margin reached new high in January
Required funds up $380m, pushing FCM’s month-end figure past pandemic peak
Zero-day options: unique market dynamics and risk considerations
In a recent Risk.net webinar, experts discussed the growth and usage of 0DTE options, challenges in modelling their prices and risks, practical risk management issues and whether they pose systemic risks to the market.
‘Fear gauge’ within expectations, some say
Several options specialists dismiss claims that structured products are distorting the Vix
Options market still searching for cause of the Vix plunge
BIS paper blames yield-enhancing structured products, but market participants are unconvinced
US FCMs’ residual interest buffers hit record low in December
A decade on from CFTC rules on residual interest target, firms’ segregated cash has not kept pace with client funds