Volatility
US swap rate failed during volatility rout
The Ice swap rate was not published on February 6 due to a lack of electronic prices during equity turmoil
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
Statistics of VIX futures and their applications to trading volatility exchange-traded products
In this paper, the authors study the dynamics of Chicago Board Options Exchange volatility index (VIX) futures and exchange-traded notes (ETNs)/exchange-traded funds (ETFs).
Ensuring reliability in a rapidly changing energy landscape
Igor Koprivnikar, member of the management board at Gen-i, discusses what sets the organisation apart as the top power dealer in eastern Europe, the benefits that a global portfolio can bring for clients in regional European markets, and how strong…
Don’t count on vol regime change – BlackRock quant
“This time next year volatility will most likely be low,” says Fishwick
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Vix curve gave warning of February volatility spike
Research by NYU’s Marco Avellaneda offers insight into short-vol strategy
The present of futures
Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments
Cash no longer king in European swaptions
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
QE unwind won’t spur volatility, say quants
Bond-buying schemes have “almost zero” link to volatility of stocks, says Wolfe Research
How Asia’s structured products dodged equities sell-off
Dealers deserve praise for improved structures, greater diversification and better risk transfer
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Now casting: options traders needed for disaster movie
Gamma deserves share of spotlight in volatility drama
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
The impact of unconventional monetary policy shocks on the crude oil futures market
This paper examines how West Texas Intermediate (WTI) crude oil price returns and volatilities respond to changes in US monetary policy.
Foreign exchange correlation swap: problem solver or troublemaker?
A correlation structure is an important element in pricing products such as correlation swaps
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
XIV hedging rule helped protect Credit Suisse
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
MUFG launches CDS franchise in US with bet on volatility
Clearing helps Japanese bank branch out into US single names
Bull run shows up differences in factor strategies
Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS
Forecasting crypto crashes with bubble analysis
Analysis finds bubble signals in bitcoin and ether, write trio of quant risk managers
Investors warm to quant tools to gauge political risk
Many funds have lost confidence in traditional ways of measuring political risk
Taper talk drives wild swings in JSCC-LCH basis
Difference between pay-fixed yen swap rates at LCH and JSCC neared 16bp before falling 30% last week
History suggests stock market crash not imminent – Goetzmann
Stock market bubbles have seldom burst, says Yale economist