Prop traders plead for faster SACCR amid options stress

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By Ross Lancaster
24 Mar 2020

Proprietary trading firms, dealing with swollen options supply, are pleading for regulators to hurry along changes to counterparty credit risk calculations (SACCR) that in their present form are threatening their ability to make markets.

The extreme volatility of the past few weeks has left strike prices on many listed options wildly out of the money, as the underlying assets they reference have plummeted. Derivatives exchanges have addressed this by rolling out new contracts with strikes that are closer to market prices and ...

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