Equity derivatives
Commerzbank wager swells UniCredit’s modelled RWAs by 62.5%
Total return swaps on German shares inflate VAR and SVAR components
China stimulus creates hedging headaches for HK warrants
Dealers say options liquidity issues during Hang Seng’s rollercoaster ride made the products tricky to risk manage and price
AB’s faith in ‘magnificent others’ starts to pay off
Talking heads: Hybrid quant and fundamental approach proves its mettle as mega-cap magic begins to tarnish
Inside Nomura’s European equities rebuild
Talking Heads: Global chief Simon Yates also addresses US crowding and Japan’s prospects post-carry trade
Finland’s Ilmarinen goes back to basics
Talking Heads: Once one of the few funds that would enter bank risk recycling trades, recent overcrowding has seen it pivot to listed equities
Supply chain decoupling fires up alpha focus at BofA
Talking Heads: Stock dispersion sees funds gross up on long/short baskets, while US structured notes come of age
ETF dispersion set for election revival
Sector-based approach to popular vol trades boasts cheaper entry cost than classic version, proponents argue
Pre-market trades blamed for record Vix surge
Traders rushed to cover short vol positions before the market opened on August 5
After the selloff, competing theories on dealer gamma
Tier1 Alpha sees $74 billion short gamma catalyst; SG says rapid return to positive territory had calming effect
Covid halted variance trading. Can Cboe revive the market?
With liquidity in variance swaps drying up, traders may finally be ready to give futures a shot
Taming of the skew sparks new debate over 0DTEs
Some pin lower put premium on short-dated market-maker hedging; others cite fundamentals
Collapse of correlation fails to stem zeal for dispersion
New analysis suggests immensely popular relative value strategy may have more upside
Discord deepens over fund-linked trades in FRTB
More banks use punitive approach to capital treatment under new trading book regime, irking regulators
Vendors lack silver bullet for FRTB’s fund-linked issue
EU and UK legislators tried to ease capital charge by leaning on vendors, but problems persist
The coming AI revolution in QIS
The first machine learning-based equity indexes launched in 2019. They are finally gaining traction with investors
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Form an orderly QIS: hedge funds spur quant products to new heights
Rise of multi-strategy vehicles triggers demand for indexes once seen as competitors
T+1 shift sparks dividend chaos in HK structured products
Products staying on T+2 leave providers scrambling to deal with ex-dividend dates caught inbetween
Hwang trial exposes flaws in verbal information handling
Court shown discrepancies in audio and email records; Credit Suisse insider says “fair amount” of intel slipped through cracks
BNP Paribas targets hedge funds with equity vol carry options
Bank aims to meet demand for QIS options extending beyond commodities
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis