Equity options
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Bosses escape blame for options blow-up at Swedish bank
Court rules negligence by former managers and auditor of HQ Bank did not cause 2010 licence withdrawal
Volatility hedgers turn to gamma trades to stem slow ‘bleed’
Nearly $80 billion of gamma trades initiated in March and April as long vega strategies fare badly
Eurex margin flaws claimed in Swedish bank collapse case
CCP failed to properly capture vega, strike and wing risk, expert report claims
Equities slump could favour defensive structured products
Products with defensive strikes allow investors to make gains in falling markets
Dealers trash Section 871(m) reforms
Controversial tax reforms would foist “unworkable” compliance burdens on firms
US tax rules attacked by equity derivatives dealers
Testing criteria for equity-linked products branded a “joke”
Cutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
China margin finance crackdown linked to equity option launch
CSRC looks for stock market stability ahead of country's first equity option launch
China equity options market launch awaits regulatory approval
Shanghai and Shenzhen exchanges ready to start trading
Arcanum profits from volatility with equity index options
But rejects price efficiency of US index options trading
Institutions overtake retail structured product investors as dominant source of Japan equity option flow
The recent rise in Japan’s equity markets have seen macro hedge funds and asset managers overtake the retail structured product investors as the dominant source of flow on Nikkei and Topix options
Risk Japan: Bank of Japan concerned about wrong-way risk on banks’ cross-holdings
Helping banks by purchasing stock will create moral hazard, says Bank of Japan director-general
Liquidation cost: why mark-to-market values are wrong
The cost of liquidation
Equity derivatives house of the year: JP Morgan
Risk awards 2012
Morgan Stanley VolNet index series dynamically goes long volatility
Morgan Stanley VolNet index series dynamically goes long volatility
Equity structuring resurfaces as Japanese investors hunt for yield
Japan has emerged as a fertile market for equity funds and now a structured equity fund has also caught the eye of Japanese investors hungry for yield in a low-interest environment.
Curbing dispersion exposure
Dispersion tactics
Right time to overwrite
Call overwriting
Basel Committee announces "no action" on accounting issues
On Tuesday the Basel Committee on Banking Supervision issued a press release on the potential impact on regulatory capital of the implementation of certain International Financial Reporting Standards (IFRS).
FASB's stock option rules spur pricing model developments
Academics and consultants are rushing to bring out new equity option pricing models in the wake of the controversy surrounding the US Financial Accounting Standard's Board (FASB) rule 123 on accounting for stock-based compensation.
Dealing with discrete dividends
Over the past year, we have published several papers on the issue of options on stocks with discrete dividends. At least three distinct models are used by practitioners, involving trade-offs between accuracy and tractability. Here, Remco Bos, Alexander…
PHLX Rigs Database For Contingency
When its internally developed database began showing signs of strain from rising options volumes, the exchange sought a new disaster recovery solution. Its choice: an in-memory database.