22 May 2025
Volatility: neutralising Vega
In this article, we look further at Vega - the (real) great unknown in options trading and its risk measure by delving into the put-call parity concept on an SPX use case.
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15 May 2025
2024 maturities: SX5E-linked soft-protected products beat underlying, twin wins deliver 20% on average
The second most utilised equity underlying in the structured products market has kept the pace with the S&P 500 index in delivering value to structured products investors in 2024.
15 May 2025
Trading books weather out SPX crash, barriers unscathed
The market turbulence triggered by the new tariffs imposed by the US government has put the focus on structured products which unleashed market chaos in the past when exotic desks piled up to buy Vega as knock-in put levels were breached.
24 Apr 2025
Greeks use case: Delta hedging in action
We look at the impact of the sharp intraday stock rally earlier this month on the Delta and Gamma of an SPX European long call option.
16 Apr 2025
Greeks – Theta: the value of options in structured products over time
Theta is one of the most critical concepts in option and structured product pricing, representing the rate at which an option's value changes over time.