TARF pricing with the Dupire local volatility model
Following on from the first article on Target Redemption Forwards (see Handling the complexities), my colleagues Serena Manti and Gianluca Molteni have written an interesting article on pricing using the Dupire local volatility model as the path dependent features of these products means that the standard Balck Scholes model with it constatnt volatility assumption is […]
USD Rates – What’s New?
USD Outright Volumes The chart below shows monthly volumes since Sep 2021: Showing; And we shouldn’t avoid the chance to present another impressive chart. Average Daily Volumes in USD Rates keep on increasing each quarter: Will September 2024 be busy enough for us to close the quarter with another record? Stay tuned to the Clarus […]
Volumes in EUR Swaptions
June 2024 saw the largest number of EUR Swaptions reported to SDRs in the past three years: Showing; My interest in EUR Swaptions was sparked by a recent Risk.net article; I’m not sure our data shows much support for the idea that it was straddles specifically that led to a spike in volumes. Further complicating […]
Monitoring of Hedge Funds
Hedge funds are frequently in the financial news, which is not at all surprising given the size of the sector and the public profile and wealth of the founders. So it is good to see that a Hedge Fund Monitor has been released by the Office of Financial Research of the U.S. Department of the […]
Just how bad are trading conditions right now?
This is very likely a premature blog. But it’s August, it’s quiet, and I haven’t written a “live” blog since Credit Suisse went up the swanny. So whilst Bloomberg is declaring a “$6.4 Trillion Stock Wipeout” and Reuters a “Global Market Rout” I note at the very outset that more sanguine minds rule over at […]
Handling the complexities of TARF FX Options
Target Redemption Fowards (TARFs) are complex OTC financial instruments used in FX markets. An instrument type that many of us will have heard about in passing, but not had the need or time to delve into the details. My colleagues, Serena Manti and Gianluca Molteni have written the first of a series of articles on […]
GBP Swaps – What’s New?
It’s time to take a look at UK swap markets. I tend to do this about once a year, and the last time was June 2023: Again, I will reference FT Alphaville for their great coverage of the UK and in particular highlighting the potential for stability in one of their recent posts: A good […]
Allocation Workflow in Futures and Options
At Industry Events focusing on Futures and Options, you often hear about trade allocation workflow and efforts to improve this important post-trade process. Not knowing much about this topic, I recently read a very interesting article, “The evolution of F&O clearing workflows: Let’s talk allocation!” on the ION Markets Blog. Well worth a read.
€STR Volumes and Market Share June 2024
€STR Futures Our €STR Dashboard summarises key liquidity attributes in this growing market: Showing; Open Interest CCPView provides all the data we need on Open Interest for €STR futures: EURIBOR EURIBOR continues to dominate EUR STIR future volumes: Showing; CME €STR Watch The CME have added €STR to their monetary policy tracking tools, which is […]
2Q24 CCP Volumes and Share in IRD
Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparisons of volumes. Today we look at 2Q24 volume and market share in IRD for: Which show record high quarterly volumes for GBP, JPY, EMEA, AsiaPac and LatAm Swaps. Onto the charts, data and details. Volumes and Market Share For […]