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The delta of an option is frequently considered to be the same as the probability that an option will be exercised, i.e., the probability that the option will be in the money at maturity. There is, however, a difference, especially when it comes to long-dated options on volatile stocks.

Algometrics, a London-based alternatives investment house, is closing and has returned the remaining USD85 million to investors. Stephen Smith, founder and managing director in London, said the firm and its managed fund, Algometrics Ltd., is winding down because it was having trouble raising additional capital. "It had become difficult to make money in a systematic way," he said, adding that the fund was not making the 15-30% returns that hedge fund investors demanded before they would contribute funds, declining to comment on the funds' performance. The fund, which specialized in statistical arbitrage and other quantitative trading in equities and fixed income, moved all its capital into cash in January after it stopped trading in Europe.

Nick Sheppard, executive director of the institutional equity division at Morgan Stanley in Tokyo, is leaving the firm to take a sabbatical, according to officials at the firm. Sheppard reports to Shawn Bardong, managing director and head of trading in Tokyo. Bardong declined comment and Sheppard could not be reached. Officials continued that the existing staff will handle Sheppard's duties, declining further comment. Simon Locke, spokesman, declined comment.

The Royal Bank of Scotland has hired Neil Murray, single-name credit-default swap trader, and Colin Macintosh, leveraged funds salesman, both from Commerzbank Securities, to bolster its capital markets team. Stewart Booth, global head of credit trading at RBS in London, said the hires were part of the bank's expansion plans for capital market products.

The euro/dollar risk reversal moved further in favor of euro calls as investors snapped up volatility. Six-month 25-delta risk reversals jumped to 0.78 vol Thursday from 0.55 vol on Monday as one investor bought a USD250 million euro call/dollar put struck at USD1.13 and sold a USD250 million euro put/dollar call at USD1.0250. The trade was executed when spot was at USD1.08 at a price of 0.6 vol. A similar trade was executed later in two USD350 million legs at a vol of 0.7750. In this trade, the investor bought a euro call/dollar put struck at USD1.15 and sold a euro put/dollar call struck at USD1.

UBS Warburg has hired Reinhardt Olsen, head of the institutional services group for international clients at Merrill Lynch, as an executive director and client relationship director for its fixed income, rates and currency group in New York, a newly created position that includes derivatives. Terrence Keeley, managing director for North American client relations at UBS, said Olsen, who reports into him, is experienced and well known in the fixed income universe, having worked in a variety of senior roles. Olsen, who declined comment, was previously head of high grade corporate banking at Merrill and has also worked as head of the U.S. debt market and integrated bank business at the firm. At UBS Olsen will focus on depositary institutions, said Kris Kagel, spokesman in New York.

Armajaro Securities, a structured products boutique, is seeking derivatives sales professionals to net more business from institutional clients increasing use of fixed income and equity products. Helmut Kleinschrod, head of trading in London, said the firm already has an adequate structuring team in place, but is looking to add up to three sales professionals who have well-established institutional clients. "We need sales people because we need clients, because that's where the capital is," Kleinschrod said.

Mandalay Resort Group, a casino resort operator, has entered two interest rate swaps, totaling USD475 million and maturing in December 2005 and in February 2006, which take the view that interest rates will not rise as rapidly as the curve is predicting in the short-term. Les Martin, v.p. and chief accounting officer in Las Vegas, said the fixed-to-floating swaps were tied to debt issues for accounting regulation reasons.

BondWeek is the leading news publication for fixed-income professionals, covering new deals, structures, asset-backed securities, industry and market activity.

BondWeek is the leading news publication for fixed-income professionals, covering new deals, structures, asset-backed securities, industry and market activity.

BondWeek is the leading news publication for fixed-income professionals, covering new deals, structures, asset-backed securities, industry and market activity.

Citigroup is slated to shop an $875 million deal backing Pharma Services Holding's cash buyout of pharmaceutical research and marketing firm Quintiles Transnational Corp. for $1.7 billion next month. The deal would pile on bank debt for a company that currently has very little debt, noted David Lugg, analyst for Standard & Poor's. A banker noted that the potential surge in debt multiples--from one time to 4.7 times--would be an important point to consider while looking at the credit. Structure and pricing for the deal is still to be determined, according to bankers. A spokeswoman for Quintiles noted the entire transaction should close in the third quarter. The credit will fund the acquisition along with $415.7 million in equity from One Equity Partners--the private equity arm of Bank One--and $586 million of Quintiles cash. One Equity Partners co-founded Pharma Services with Quintiles' founder Dennis Gillings.