Derivs - FX

Overall interest rates derivatives trading that was reported to the swap data repository over the last seven days decreased by 16% from the previous week, according to data from the International Swaps and Derivatives Week. However, overall credit default swaps trading increased by 4%.

John Gousias, the ex-head of investment grade flow credit trading at Royal Bank of Scotland in London, is joining HSBC as head of financials, index, options and ETF trading and co-head of European flow credit.

Institutional investors have been active in short-dated upside call flow on the Japan Exchange-Nikkei 400 index, a new trend according to traders. The trades, which had an average notional of around $1 million, follow an announcement from Japan’s Government Pension Investment Fund that it will include the new index in its benchmarks.

The Canadian Securities Administrators plans to extend the date for the implementation of over-the-counter derivatives trade reporting requirements until October 31 for clearing agencies and dealers, and until June 30, 2015 for all other OTC derivatives market participants.

A mix of hedge funds, real money and bank desks are looking at ways to avoid paying theta during the Easter holidays in Europe by trading payer spreads 1x1 on the iTraxx Main, with some also tapping 1x2 payers.

The Chicago Board Options Exchange reported that first day trading volume for its short-term volatility index options totaled an estimated 3,134. According to traders, the success of the new options with weekly expirations stems from the fact that the shorter time horizon of the VXST enables the options to be even more responsive to market moves than the longer-dated VIX.

Hedge funds and asset managers are considering buying protection on the iTraxx Crossover, and going long the EuroStoxx 50 with a time horizon of six months, expecting stocks to outperform credit in the near term.

James Chen, former managing director and head of Asia Pacific cash equities trading, program trading and delta one at Barclays, has joined BlueCrest Capital Management in Hong Kong.

Exotic equity traders at large financial firms have been selling long-dated Nikkei volatility via December 2016, 2017 and 2018 put options with strikes at around 90% of spot. Traders, however, have been hard pressed to find investors.

Société Générale is to launch structured certificates on the Solactive European Buyback Index, the first offering of its kind. The index was launched last month and has had an annual return of 24.13% from November 2008—March 2014.

The estimated amount of collateral in circulation in the non-cleared over-the-counter derivatives market decreased 14% from $3.7 trillion at the end of 2012 to approximately $3.17 trillion by December 31, 2013, according to a margin survey conducted by the International Swaps and Derivatives Association.

Four new members have been elected to the International Swaps and Derivatives Association’s board of directors, including senior staffers from Goldman Sachs and Morgan Stanley.