Options
Hedge funds pile into short volatility QIS options
New twist on capturing vol premium remains popular despite mixed performance in August vol spike
Goldman Sachs retakes top FXO dealer spot with mutual funds in Q2
Counterparty Radar: Trades with SEI Investments boosts US bank to top spot
Morgan Stanley, Goldman FCMs set new margin records
Investment banks see futures, options and swaps margin hit new highs in September
Simm casts off Covid pain for $40 billion IM reprieve
Recalibration cuts risk weights in equity and commodities, but some credit exposures double on ABX halt
ASX member paid record $154m to cover dues in Q2
Single-member largest payment obligation beat 2015’s high by 40.8%
Crypto options need more principal market-makers – GS trader
Absence of risk warehousing market-makers holding back options development, says GS crypto trader
ETF dispersion set for election revival
Sector-based approach to popular vol trades boasts cheaper entry cost than classic version, proponents argue
Analyzing market sentiment based on the option-implied distribution of stock returns
The authors propose a means to assess market sentiment using the option-implied distribution of stock returns generated from option data, allowing for efficient optimization of complex portfolios.
Pre-market trades blamed for record Vix surge
Traders rushed to cover short vol positions before the market opened on August 5
Credit options notional for top US dealers soars 45.3%
Investor demand for puts and calls drives balances near Q1 2022 record
Citi, Barclays raise FCM target residual interest 28% in June
Backstop funds also marginally up as a proportion of required customer funds
Dealers bruised by surprise renminbi vol surge
Rush to re-hedge USD/CNH exotics left banks in grip of painful short gamma squeeze
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
Vega peak was foothill in historic Nikkei selloff
JFSA scrutiny has curbed issuance of autocallables, so stock plunge generated light re-hedging
Barclays overtakes BofA on client margin for swaps
July figures make FCM fifth-largest by total margin in the US
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
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
Taming of the skew sparks new debate over 0DTEs
Some pin lower put premium on short-dated market-maker hedging; others cite fundamentals
Franklin Templeton steps back into FX options
Former biggest user of the instrument among US mutual funds returns with $7.6bn of USD/JPY strategies
DCOs show resilience beyond key default thresholds – CFTC
Reverse stress test reveals clearing houses remain resilient under low to moderate market shocks
FX options’ MDP migration
Volumes on multi-dealer platforms are climbing, but dealers warn pricing may not be optimal