Equity options
Why Shenwan Hongyuan welcomes foreign banks to China
Securities firm sees opportunities to work together, but says it has the edge with local clients
Howson on steering Cboe past potholes and traffic cops
Head of world’s largest options exchange discusses SEC regulation and SPX appeal
Citi quants’ AI model aims to hedge earnings surprises
Machine learning tool forecasts effect of shocks on implied volatility surfaces in minutes
Navigating the complex world of equity options data
In an exclusive Risk.net webinar, convened in collaboration with Cboe Global Markets, experts discussed the expanding world of equity options data, the rise of retail investment within it, and the technological challenges and opportunities associated…
Navigating the increasingly complex world of equity options data
With market volatility and retail participation impacting quoting activity on the Options Price Reporting Authority, asset and portfolio managers are struggling to identify the real price of instruments, aggregate data in real time and run-risk…
Peak IM call at OCC jumps 38% in Q2
Outsized equity price moves behind third-largest IM call on record
Getting the jump on pricing dividend-protected derivatives
Morgan Stanley quants show how to avoid mispricing corporate options and convertible bonds
Mutual funds dialled up bullish bets with stock options in Q1
Counterparty Radar: Market contracted by $3.9 billion as US managers decreased sold calls
Comprehensive technology overhaul for the world’s largest equity derivatives clearing house
In this podcast, Zoi Fletcher speaks to Scot Warren, chief operating officer at OCC about the advances brought about by its technology overhaul
Norway oil fund’s derivatives book balloons 192% in H2 2021
Sovereign wealth fund GPFG piled up FX and IR contracts and tapped CDS for the first time
Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
BlackRock is biggest US fund user of single-stock options
Counterparty Radar: Microsoft was top underlying in latest filings, with notionals also up for Amazon and Meta
US funds piled on index hedges ahead of stock selloff
Counterparty Radar: Filings show managers adding more than $5.5 billion of puts in Q3, setting new high
Autocalls in peril as Netflix breaches downside barriers
Options liquidity keeps hedging panic at bay as some investors double down on volatile tech stocks
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year
Many ESG products face liquidity struggle, say exchanges
Fragmentation, design and definition challenges mean many exchange-traded products will remain illiquid
Vix vulnerable to retail short squeeze, analysts warn
Volatility products could see more wild swings as dearth of vol sellers exacerbates spikes
OTC trading platform of the year: Fenics GO
Risk Awards 2021: hybrid protocol jumpstarts electronification of options block trading
Options pricing framework buckles under GameStop frenzy
Wild retail trading sees calls sink below intrinsic value ahead of expiry as puts break spot correlation
SA-CCR tweak could slash equity risk charge – research
Better calibration would cut equity options exposures in half, research finds
Asia’s private wealth giants shift gears to market-neutral
With interest rates low, structured product investors bypass capital-protected products for market-neutral strategies
Credit Suisse bets on intraday vol signals to revive FIA sales
New line of fixed indexed annuities will use intraday data for more precise vol targeting
Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options
The new standardized approach for measuring counterparty credit risk exposures (SA-CCR) will replace the existing regulatory standard methods for exposure quantification. This paper provides empirical evidence that the SA-CCR parameters are not aligned…
Autocalamity: can hit product be reinvented?
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges