Volatility
FX traders revel in March Madness
Chaotic Trump policies finally bring diversity to flows – to the delight of market-makers
US banks record spike in trading loss-making days in Q4
UBS Americas and Stifel lead banks in worst trading quarter of 2024
Delving into the European Commission’s proposed overhaul of FRTB
Raft of potential changes would benefit both IMA and SA banks – but only temporarily
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
Positive M&A outlook could boost deal contingent hedges
Traders predict hedging activity linked to deal completions will take off this year
US dealers tally most VAR breaches since mid-2023
Market turmoil in Q4 blindsides models at systemic and regional banks alike
The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
Volatility selling is down, but not out
Shrinking risk premiums could end cycle of vol suppression, traders say – but not just yet
HSBC’s SVAR hits highest in six years on interest rate sensitivity
Lofty readings in the last quarter of 2024 push associated RWAs to $13 billion
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
AI and Trump tariffs spur hyped-up dispersion trade
Popular vol strategy pays off in January despite highest entry costs on record
Degree of influence 2024: volatility and credit risk keep quants alert
Quantum-based models and machine learning also contributed to Cutting Edge’s output
Corporates turn to structured notes to juice cash returns
Dual currency notes find favour with treasurers under pressure to boost yields amid higher rates
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
Corporates pressed on FX hedges as dollar surge bites
CFOs increasingly facing tough questions about impact of exchange rates on foreign revenues
Tariff news ‘ping pong’ gives FX options desks a headache
Dealers say Trump’s shifting deadlines sparked weekend trading rush and made it hard to monetise flows
Funds tap options on FX vol amid tariff disruptions
Dealers say vanillas, digitals and knockouts on realised vol increasingly used to navigate Trump news flow
During Trump turbulence, value-at-risk may go pop
Trading risk models have been trained in quiet markets, and volatility is now looming
Corporates eye complex FX hedges as carry costs mount
Leveraged forwards and options-based structures entice treasurers facing rates uncertainty and FX volatility
Why vol markets shrugged off Nvidia rout
Gamma, autocalls and stock dispersion helped prevent a broader market meltdown
Regions Bank swells HTM book to curb AOCI volatility
In strategic shift, bank aims to bolster HTM holdings to 25% of securities portfolio