S&P 500
Talking Heads 2024: All eyes on US equities
How the tech-driven S&P 500 surge has impacted thinking at five market participants
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
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
Nvidia is growing up. It’s not settling down
Chip maker is a mega cap that doesn’t act like one
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
Collapse of correlation fails to stem zeal for dispersion
New analysis suggests immensely popular relative value strategy may have more upside
Luxury watches: a viable alternative investment or mere speculative trend? An analysis of two decades before the pandemic
The authors analyse the investment performance of collectible watches for the period 1999 - 2020, finding they outperformed the S&P 500 index and other luxury collectible goods.
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Options market still searching for cause of the Vix plunge
BIS paper blames yield-enhancing structured products, but market participants are unconvinced
Trend following struggles to return to vogue
Macro outlook for trend appears to be favourable, but 2023’s performance flop gives would-be investors pause for thought
Can ChatGPT unlock better investment portfolio selection?
This white paper explores the potential uses of generative AI models, such as ChatGPT, for investment portfolio selection.
Neural joint S&P 500/VIX smile calibration
A one-factor stochastic local volatility model can solve the joint calibration problem
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Zero-day options: ticking time bombs or high alpha trades?
Zero-day-to-expiration (0DTE) options have surged in popularity over the past several years, with 0DTE options now exceeding 40% of daily trading volumes in S&P 500-linked options by recent estimates. A panel of market experts provide their perspectives…
Taking stock: putting a price on US bank regulation post-SVB
Tougher requirements could “blow a hole” of 200+bp in regulatory capital ratios – and cripple equity returns
‘Globalisation rewired’: what does it mean for investors?
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
Is low vol crowded? That depends who you ask
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk