Skew
Capturing smile dynamics with the quintic volatility model: SPX, SSR and VIX
A new model captures the term structure of SPX & VIX implied volatilities, ATM skew, and the skew-stickiness ratio
Regional banks favour scenario analysis over op risk modelling
Domestic and smaller regional players favour scenarios to gauge tail exposure; G-Sibs stick to modelling, for now
Turn of the skew: FX options dealers balance fragile market
Calls-versus-puts demand flips wildly in response to geopolitical events
Corporates eye complex FX hedges as carry costs mount
Leveraged forwards and options-based structures entice treasurers facing rates uncertainty and FX volatility
Structured products house of the year: UBS
Risk Awards 2025: bulked-up structuring team is more than just the sum of its parts
BNPP ups efforts to weed out skew sniffers
French bank deploys skew sensitivity algo to help identify predatory behaviour
Podcast: Lorenzo Ravagli on why the skew is for the many
JP Morgan quant proposes a unified framework for trading the volatility skew premium
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Neural joint S&P 500/VIX smile calibration
A one-factor stochastic local volatility model can solve the joint calibration problem
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
Plugging the leaks in skewed pricing
Liquidity recycling has made it trickier for LPs to identify information leakage
Smile-consistent basket skew
An analytic approximation for the implied volatility surface of basket options is introduced
Shhh, don’t tell: the struggle to keep skew under wraps
Liquidity recycling by clients has made it more difficult for banks to keep skews quiet
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
‘Perfect’ VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented