Equity derivatives
Nervy Korean autocall investors lean on lizards
After volatility surge, buyers give up coupons for better chance of early redemption
Stephane Mattatia to leave Societe Generale
Equity derivatives structuring veteran jumps ship for rival bank
Equity derivatives now biggest consumer of initial margin
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
Validation of profit and loss attribution models for equity derivatives
The aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Hong Kong prepares boost to equity derivatives booking
Proposed revamp of large exposure limits would allow netting to reduce capital charges
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
Confusion plagues start of Mifid swaps reporting
Firms reach inconsistent conclusions on scope of transparency requirements
Equity derivatives house of the year: Societe Generale
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies
Traders blame short gamma positions for Nikkei vol jump
Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9
Haitong: a spotlight on the regional ambitions of Chinese firms
Risk30: Chinese securities house Haitong is going with the flow
PKA’s CIO on risk transfer and factor investing
Risk30: Low volatility aids and hinders Danish fund
Korean autocallable volumes double as HSCEI rallies
Diversification of underlying investment and additional protection options also behind revival
SG loses veteran global markets sales head
El-Asmar’s role being temporarily covered by markets head, Frank Drouet
Banks tweak Euro Stoxx autocalls to cut concentration risks
Changes to popular structured products aim to help dealers reduce hedging costs, but will investors make the switch?
Complex short Vix products draw fire as vol plumbs lows
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
BAML and Morgan Stanley shift Indian P-notes to Europe
Tax changes trigger move out of Mauritius and Singapore
Data woes force dividend swaps out of Simm update
Dealers have different approaches to pricing dividend risk factors
Exchange of the year: Eurex
Risk Awards 2017: Futurisation paying off as bilateral margin rules bite
Lifetime achievement award: Yann Gérardin, BNP Paribas
Risk Awards 2017: Understated CIB chief helped build – and protect – today’s BNPP
Equity derivatives house of the year: Bank of America Merrill Lynch
Risk Awards 2017: Innovation helped bank get closer to originate-to-distribute model
Equities flow market-maker of the year: Citadel Securities
Risk Awards 2017: Chicago firm is trying to make the New York Stock Exchange more robust