Derivs - Equity

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.

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.

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.

By Zem Sternberg, managing partner at Lake Hill Capital Management

UBS’ structured product platform, Equity Investor, is an example of a unique tool enabling clients to design a product that can then be priced and traded instantaneously. The firm’s pricing, structuring and electronic capabilities resulted in it being crowned the 2014 Americas Structured Products House Of The Year by Global Capital.

S&P Dow Jones Indices’ recent push to become a fully-fledged player in the fixed income marketplace, in addition to its strong presence across other asset classes, was lauded by market participants. That drive the firm’s achievement in winning the 2014 Global Capital Americas Index Provider Of The Year award.

Amendments to the trade reporting rule from the Ontario Securities Commission will delay the effective date of the reporting obligation for all counterparties, while also reducing the burden on local counterparties by removing the "fall-back" mechanism.

Investors have been entering one-month-to-one-year down-and-out-puts and “appearing” put spread strategies with strike prices of 90% and 80% of spot on the S&P 500, in a bid to monetize the elevated skew levels on the index.

Investec Structured Products has launched a UK Controlled Volatility Fund linked to the EVEN 30 index. The fund, through the EVEN 30 index, tracks the performance of the 30 least volatile stocks from the 100 largest companies listed in the UK.

Goldman Sachs won the Americas Derivatives House Of The Year award and the U.S. Derivatives House Of The Year award at the Global Capital Derivatives Americas Awards ceremony on Tuesday evening, which saw the firm win five awards in total. Bank Of America Merrill Lynch came away with the credit and fx award categories, while UBS won the structured products award and the electronic trading award for its Neo platform. Other winners on the night included Tradeweb SEF, BlackRock, Metlife, Société Générale and CME Group. The award ceremony was sponsored by Milliman.

The skillset and experience of Marty Chavez is superlative—few can boast the same degree of commercial and technological savoir-faire that has brought such success to a wide array of businesses across all asset classes and functions

Investors should look at buying a January 2015 variance swap on the SPDR S&P Metals and Mining exchange-traded fund for 29.7 points, while selling a Jan. 2015 variance swap on the S&P 500 for 17.2 points, in a bid to play possible impending turbulence in China and other emerging markets.