Vix
The end of the world, or an artificial crisis?
Bimodal tariff threat leaves investors grappling with uncertainty
Long gamma puts brakes on post-election US stock rally
Call selling by ETFs helped fuel largest net gamma positioning among dealers since July
Quant of the year: Julien Guyon
Risk Awards 2025: Volatility modeller par excellence (and football fan) achieved breakthrough with joint calibration of S&P and Vix options
Equity derivatives house of the year: Bank of America
Risk Awards 2025: Bank gains plaudits – and profits – with enhanced product range, including new variants of short-vol structures and equity dispersion
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
Inside Nomura’s European equities rebuild
Talking Heads: Global chief Simon Yates also addresses US crowding and Japan’s prospects post-carry trade
Supply chain decoupling fires up alpha focus at BofA
Talking Heads: Stock dispersion sees funds gross up on long/short baskets, while US structured notes come of age
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps
The authors put forward the REGARCH-2C-Jump model to forecast VIX, with results suggesting that this model can outperform other models in VIX forecasting.
Triggers of August market ‘flare-up’ still in place, BIS warns
Leveraged positions remain at risk of sudden unwinding, as margin calls play amplifying role
Pre-market trades blamed for record Vix surge
Traders rushed to cover short vol positions before the market opened on August 5
After the selloff, competing theories on dealer gamma
Tier1 Alpha sees $74 billion short gamma catalyst; SG says rapid return to positive territory had calming effect
Covid halted variance trading. Can Cboe revive the market?
With liquidity in variance swaps drying up, traders may finally be ready to give futures a shot
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
‘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
Zero-day hedging takes root in new asset classes
Option users move beyond equity indexes in search of cheaper, sharper hedging tools
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
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
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
Zero-day spikes vanish as bank worries exceed inflation fears
Implied volatility for short-dated options points to shift in sentiment after SVB failure