Put options
Equity markets have become so complex as to defy explanation
Experts struggle to rationalise wild swings in a market that is almost unrecognisable
Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
US funds piled on index hedges ahead of stock selloff
Counterparty Radar: Filings show managers adding more than $5.5 billion of puts in Q3, setting new high
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
Put options power up variable annuities
Insurance quants increase risk-adjusted profits using novel hedging technique
ETF options: the market’s latest credit hedge
Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Bonds fall from favour as shock absorbers for equity losses
Ultra-low rates force investors to rethink role of fixed income as diversifier
Berkshire Hathaway’s put option liabilities climb
Fair value liability climbed to $1.6 billion at end-June
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
Shale firms pump hedge books for liquidity lifeline
Lucrative hedge portfolios offer promise of cash but unlocking residual value won’t be simple
Sliding HSCEI threatens fresh autocallable losses
Banks nervy as index approaches key options barrier
Modelling the financial risks of wind generation with Weibull
The manner in which wind generation can affect the half-hourly APX price is discussed
Risk manager of the year (sovereign): Mexico’s Ministry of Finance and Public Credit
Oil hedging stabilises Mexican state finances amid price crash
UK election fog prompts surge of FTSE 100 puts
Puts on UK's leading index rose 30% last week, with put/call ratio nearing historical high
Cutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
How autocallable structured products came to dominate the retail market
Products still seen as easier sell than issuer-callables
Linn Energy SEC inquiry sparks hedge accounting debate
Linn Energy, once fêted as a leader in risk management, is under scrutiny by US regulators for its derivatives accounting practices – something that is casting a shadow over other master limited partnerships in the upstream oil and gas business, finds…
A new framework for assessing product complexity
A model of complexity
Experts question shift in Mexico oil hedging strategy
Use of put spreads in oil hedging programme leaves Mexico dangerously exposed to low oil prices if global economy sinks
Luxury goods stocks continue to sparkle in Switzerland
Deutsche Bank says the luxury goods sector is especially promising in the current financial climate, while Bank Vontobel in Switzerland has launched its fifth structured product based on a basket of luxury and fashion goods
Risk Japan: Bank of Japan concerned about wrong-way risk on banks’ cross-holdings
Helping banks by purchasing stock will create moral hazard, says Bank of Japan director-general
Trade of the month: reverse convertibles
Trade of the month: reverse convertibles