Derivs - People and Markets

Institutional investors have been buying VIX call options with October expiries to express a bullish and long volatility view, following a slew of VIX calls that were sold when the market was down Tuesday.

The global macro picture remains a concern, but credit investors will turn their attentions to micro factors over the next few weeks as earnings season gains momentum.

Overall credit default swap notional that was reported to swap data repositories last week spiked by 41% from the previous week, according to data from the International Swaps and Derivatives Association. This follows five weeks of a consistent uptick in CDS notional, with a combined increase of 119%.

French corporates have been picking up accumulators on the euro against the US dollar as a tool to buy euros for a more favourable exchange rate by selling volatility in return.

Regulators should be cautious when proposing a clearing mandate for non-deliverable forwards due to the global nature of the fx market, along with regulatory differences between the US and Europe that have yet to be resolved.

The Chicago Board Options Exchange saw record volumes for futures that were traded on both the CBOE Futures Exchange and CBOE Volatility Index following an increase in market volatility.

A slew of major global banks have agreed to sign a protocol by the International Swaps and Derivatives Association that imposes a stay on cross-default and major termination rights within standard ISDA derivatives contracts if a counterparty defaults.

Swap execution facility TeraExchange has executed the first bitcoin derivatives transaction between bitcoin firm digitalBTC and an unknown hedging company.

Market participants have been trading very short-dated options on the euro against the dollar in a bid to hedge other cash positions that they still have on the currency pair.

We remarked last week that volatility had returned to the credit markets, and the spread oscillations this week suggests the trend is set to continue.

The head of rates and solutions structuring at Nomura in London is set to leave the firm after being put "at risk".

THEAM, a €40bn asset management division of BNP Paribas, plans to buy a nine-month put butterfly on the euro against the dollar to express a bullish dollar position in the coming weeks.