Derivs - Equity

The Chicago Board Options Exchange has developed the CBOE S&P 500 Short-Term Volatility Index, which is calculated using S&P 500 options that expire every Friday.

Nick Perry, director in equity derivatives sales at Bank of Montreal in New York, has joined Wells Fargo in a similar role.

Mark Mehtonen is a Portfolio Manager, Tactical Allocation/Ilmarinen Alpha, at Ilmarinen Mutual Pension Insurance Co. in Finland. He spoke to Managing Editor Rob McGlinchey prior to the beginning of the Chicago Board Options Exchange’s Risk Management Conference Europe, at the Penha Longa Resort in Sintra, Portugal.

Enhancing counterparty credit risk management practices is a key focus for banks. This is in response to changes in accounting rules and new prudential and market regulations, which have tightened substantially following the financial crisis.

Larry Tabb has carved a unique spot as an objective observer of the derivatives market over the last 10 years. His firm’s research is seen as having the pulse of buy- and sellsiders—he also has the ear of regulators as evinced by his role in the Commodity Futures Trading Commission effort to define high-frequency trading. In an extensive interview with DW, he forecasts a vastly different OTC landscape emerging over the next five-seven years. The regulatory changes will see less bespoke flow and deals concentrated in fewer hands. He also foresees teething issues as swap execution facilities get off the ground, for example through a dash to get as many products as possible made available to trade.

Interoperability of global clearing models is not only undesirable but could kill product innovation, said Phupinder Gill, ceo of CME Group, at the 34th Bürgenstock annual global derivatives markets conference in Geneva.

The capital cost of clearing for banks could lead end-users to create shadow-banking entities to clear trades, according to panelists.

Migrating clients onto newly-approved swap execution facilities could take months, despite the U.S. Commodity Futures Trading Commission Wednesday deadline for swaps trading to be moved onto the platforms.

Dan Miller, global head of execution sales at BNP Paribas in Hong Kong, has left the firm.

Scott O'Malia, a commissioner at the Commodity Futures Trading Commission, wants an extension to the Oct. 2 deadline for trading on a swap execution facility, he told DW on the sidelines of the 34th Bürgenstock Global Derivatives Forum in Geneva today.

Interest from Nordic private banks and distributors in structured products linked to indices and baskets of stocks in Spain is increasing.

Zurich-based index provider STOXX has launched the STOXX Association of Southeast Asian Nations -Five Select Dividend 50 Index, which will be used as an underlying for exchange-traded funds and investment products.