Options
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
Chinese snowball revenues melt away
Securities firms see falling revenues in the index-linked trades, but struggle to replace their profitability
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
CME revises estimated worst-case payment obligation
IRS and F&O clearing units both subject to revision in Q3
Pricing options using expected profit and loss measures
The authors investigate the pricing of options using an EP-EL approach, finding that this methodology generates large amounts of useful information for option traders.
Merrill Lynch hoovered up $1.5bn of client margin in October
Required funds for F&O rose 66%, bucking trend across major FCMs
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision
Ice Europe made $7.8bn VM call in Q3
Highest cash call on record triggered by higher commodity prices as Europe energy crisis persists
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
LCH explores crypto derivatives clearing
CCP mulls partnership with GFO-X for clearing of crypto index futures and options
Next Generation ETD: a future-proof concept
In June, the infrastructure for Eurex’s next generation of exchange-traded derivatives (ETD) contracts went live. The concept meets changing market demand and is implemented across Eurex’s entire value chain, allowing more flexibility in the design of…
CME eyes retail growth with new weekly FX options
Exchange hopes to capture massive demand from the sector
Vega decomposition for the LV model: an adjoint differentiation approach
Introducing an algorithm for computing vega sensitivities at all strikes and expiries
BNP Paribas hires to boost US derivatives push
Clearing relationship managers and electronic trader hired from Citi, Morgan Stanley
Role of the dice: how Susquehanna puts game theory to work
One of the world’s largest options traders uses game theory – and poker practice – to get results
Crypto structured products come of age
After some growing pains, the space is now offering the type of structures seen in TradFi equities markets
Client margin at Barclays hits record $27bn
Required funds rose 13% for F&Os and 8% for swaps in August
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
‘Perfect’ VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Sterling interest rate ETDs plummet 28% in Q2
Investors cut open interest in futures and options contracts as crises piled up
BoJ action to strengthen yen spurs FX options traders
Traders turn bearish on USD/JPY FX vol over further central bank intervention
Pimco dumps credit options as US funds slim holdings
Counterparty Radar: Space shrinks 30% in Q2 following three consecutive quarters of growth
JP Morgan increases FX options dealer lead as Goldman slips
Counterparty Radar: GSAM up five manager spots amid market decline, while MSIM holds RMB positions steady
Peak IM call at OCC jumps 38% in Q2
Outsized equity price moves behind third-largest IM call on record