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The changing sources of volatility demand has led to more vega being traded in VIX futures and VIX exchange-traded products over listed S&P 500 and SPDR S&P 500 ETF options. In a presentation on the shifting landscape of volatility products, Maneesh Deshpande, head of Americas equity derivatives strategy at Barclays, identifies the changing trends in volatility demands and the likely market outlook for the VIX and volatility products. Rob McGlinchey reports.
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After more than 10 years since futures on the VIX began trading on the CBOE Futures Exchange, GlobalCapital Derivatives hosted a roundtable with senior buyside and exchange officials to look at how the exchange-traded and over-the-counter volatility markets have progressed in recent years. The topics of discussion included whether volatility has reached a point where it can be considered an asset class, implementation considerations for investors looking to allocate to volatility and persistent low liquidity in European and Asian volatility products.
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By Scott Maidel, senior portfolio manager at Russell Investments
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Buysiders grappled with the question of whether volatility can be observed as an asset class in a lively institutional investor panel session at the conference.
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Today, most institutional investors define a strategic asset allocation (SAA) that governs their investments and exposures across all sorts of asset classes. A typical SAA does not only contain a particular percentage point but also an upper and a lower boundary for each asset class. In case market prices of those asset classes move significantly, the boundaries serve as trigger points to buy or sell assets in order to rebalance the portfolio back to the target SAA. Christoph Gort, partner at SIGLO Capital Advisors, provides highlights from a research paper, in association with the Chicago Board Options Exchange, as to whether investors can rebalance a multi-asset class portfolio with such a SAA more systematically and more efficiently by writing call and put options.
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Pension funds and foundation and endowments are increasingly considering plan rebalancing utilising options. On the Asset Allocation Rebalancing Using Options panel, Pav Sethi, chief investment officer and chief executive officer of Gladius Capital Management, discusses how dynamic rebalancing has been accomplished in practice. Rob McGlinchey reports.