Options
BoJ action to strengthen yen spurs FX options traders
Traders turn bearish on USD/JPY FX vol over further central bank intervention
Pimco dumps credit options as US funds slim holdings
Counterparty Radar: Space shrinks 30% in Q2 following three consecutive quarters of growth
JP Morgan increases FX options dealer lead as Goldman slips
Counterparty Radar: GSAM up five manager spots amid market decline, while MSIM holds RMB positions steady
Peak IM call at OCC jumps 38% in Q2
Outsized equity price moves behind third-largest IM call on record
A child of inflation: BNPP’s new macro trading unit
Talking Heads 2022: Currency and rates traders join forces at French bank as it plans to bring FX algos to US Treasury bonds
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities
JSCC’s bond and IRS units hit by almost 200 breaches
Q2 volatility triggered some of the largest initial margin breaches ever reported by the CCP
Goldman hoovers up $1.5bn of client margin in June
US bank bucks trend as top FCMs all cut required margin for futures and options trades
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
The contractual dividend bleed
Models for dividend protected options need to compensate for valuation mismatches
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
FCM client margin for F&O hit all-time high in May
But concentration among top 10 broker-dealers continues to shrink
JP Morgan AM leads US funds in equity index options buildout
Counterparty Radar: S&P 500 puts and calls grow 10% in Q1
Options expiry triggered $135m liquidity shortfall at NSCC
The CCP collected supplemental liquidity deposits six times during the first quarter
Client margin at Wedbush unit up 46% in April
Futures and options clearing unit saw largest monthly increase across all FCMs
Initial margin at Ice Europe up 15% over Q1
IM held against F&O positions hit all-time high, as number of margin breaches nudged higher
Liquidity risk down 34% at the OCC
Projected largest payment obligation set at $6.2 billion for Q1
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
Client margin up 43% at Mizuho’s F&O in Q1
US unit of Japanese bank overtakes Credit Suisse, Barclays, UBS and Interactive Brokers
The risk-reversal premium
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
MSIM’s baffling $400m options splurge
Funds owned or advised by the manager have spent vast sums on a USD/CNH strategy that appears not to have paid off
PGIM credit options binge lifts Barclays, Morgan Stanley
Counterparty Radar: Insurer’s AM arm doubled its market share in Q4 2021 as bought protection swells
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Ice Clear Europe issued $5.4bn VM call in Q4
Price volatility in energy markets behind the largest cash call on record by the CCP