Latest on Derivatives
Capital-protected notes surge after US rate hikes
Higher cost of borrowing and equity selloffs revive old favourite of Asia’s structured products market
MSIM cuts third of FX options volume amid market contraction
Counterparty Radar: Manager pares $13bn of USD/RMB trades, deals blow to BNP’s market share
Commodities threaten pain for initial margins
Market volatility and spot-based Simm approach may drive large margin spikes in little-tested asset class
Latest
Quotes
Python gives us Excel on steroids
Antoine Savine, chief quantitative analyst at Danske Bank
What we’ve been through – and we’re still going through, to be honest – is a classic short gamma trap
Swaptions head at one large dealer
Term SOFR probably represents over 75% of new activity, because people love the set-in-advance nature
Andrew Irwin, vice-president of capital markets trading at Regions Bank
Editor's Choice
MSIM’s baffling $400m options splurge
Funds owned or advised by the manager have spent vast sums on a USD/CNH strategy that appears not to have paid off
Big Figure
Fuelling the fire
As the spread between two- and 30-year US dollar CMS moved below zero in March and through April, swaptions dealers faced a classic gamma trap, where their re-hedging helped contribute to a further inversion.
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Capital-protected notes surge after US rate hikes
Higher cost of borrowing and equity selloffs revive old favourite of Asia’s structured products market
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