Options
JP Morgan AM jumps into equity index options pole position
Counterparty Radar: Manager added $7.1 billion in S&P 500 puts and calls in Q4 2021
A new fast local volatility model
A local volatility model based on the Bass construction and alternative to Dupire-style models is introduced
Optiver aims to gatecrash FX options private party
Dutch non-bank hopes to exploit shift to electronic markets in OTC options, following record $7bn trading day
OCC member default fund contributions jump 8%
CCP’s skin in the game fell slightly in Q4, making up 1.8% of the prefunded total
OCC issued $6.1bn VM call in Q4
December options expiration behind highest VM call in six years
US rate caps under strain amid volatility surge
Market uncertainty hits liquidity in options on swaps, dealers say
Volatile HSCEI spells vega misery for autocall issuers
Index in ‘peak vega’ peril despite Wednesday's 12.5% rebound
Pimco, Franklin Templeton affiliates top for Russia exposure
Counterparty Radar: Funds had biggest long exposures to Russia across credit, rates, FX at end of Q4
Client margin up 39% at HSBC’s F&O unit in January
FCM reports highest amount since Q2 2020
How do you solve a problem like the lira?
Asset managers diverge in their approach to managing Turkish currency turmoil as FX hedging costs soar
Client margin at Credit Suisse down over $10bn last year
Bank's US clearing units slashed required funds for swaps and F&O
Mizuho’s F&O clearing unit doubled client margin in 2021
Japanese bank overtakes Credit Suisse, UBS and Interactive Brokers to become seventh-largest FCM in required margin
Autocalls in peril as Netflix breaches downside barriers
Options liquidity keeps hedging panic at bay as some investors double down on volatile tech stocks
Eurex upgrade timeline too tough, say banks
As exchanges prepare roll-out of major upgrades, banks are struggling to cope
Credit Suisse’s US clearing unit cuts client margin by over 40%
Required segregated customer funds for swaps, futures and options down sharply since Archegos default
NSCC’s liquidity pool twice short of payment obligation in Q3
The CCP reported a shortfall in its qualifying liquid resources for the third consecutive quarter
B2C2 platform seeks to bring banks into crypto derivatives
By using a Japanese bank as intermediary, market-maker hopes to tap into growing trading demand from dealers
Mizuho’s F&O clearing unit boosts client margin by $1.05bn
In contrast, Morgan Stanley reports largest drop over same period
JP Morgan flies into top FX options spot
Counterparty Radar: Renminbi/US dollar trades also keep Morgan Stanley IM in front
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
BofA clearing vet leaves to launch start-up
Brooks Stevens plans new venture after 27 years with Bank of America and Merrill Lynch
Demand for ESG structured notes spells hedging pain for banks
As products linked to niche equity indexes grow in popularity, banks grapple with vol risk they pose
People moves: Quarles quits Fed, CS credit team exodus continues, and more
Latest job changes across the industry