Options
Using option prices to trade the underlying asset
The authors propose strategies with which to trade the underlying assets of options based on large data sets generated by options trading.
Currency derivatives house of the year: UBS
Risk Awards 2025: Access to wealth management client base helped Swiss bank to recycle volatility and provide accurate pricing for a range of FX structures
FX options: rising activity puts post-trade in focus
A surge in electronic FX options trading is among the factors fuelling demand for efficiencies across the entire trade lifecycle, says OSTTRA’s commercial lead, FX and securities
Marex leapfrogs three FCMs with record F&O margin
New clients, trading activity surge and higher margin rates drive increase at UK broker
Option pricing under the normal stochastic alpha–beta–rho model with Gaussian quadratures
The authors integrate a Gaussian quadrature for option pricing under the normal alpha–beta–rho model, which they demonstrate to calculate accurate, arbitrage-free price and delta.
JPM sees upside in blurring lines between QIS and SMAs
Hedge funds are combining their strategies with bank indexes to create new products
Hedge funds pile into short volatility QIS options
New twist on capturing vol premium remains popular despite mixed performance in August vol spike
Chicago pits power IMC’s institutional options push
Talking Heads: IMCX lures 100 asset managers, while Dash partnership bolsters retail execution
Low FX vol regime fuels exotics expansion
Interest is growing in the products as a way to squeeze juice out of a flat market
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
Goldman Sachs retakes top FXO dealer spot with mutual funds
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