19 Mar 2025
Greeks – Vega: a crucial parameter for effective dynamic hedging
FVC’s Tim Mortimer looks at the role of Vega, or sensitivity to the volatility level.
30 Jan 2025
Nvidia: defensive barriers at safe distance as stock falls
Only 60 very short-term products linked to Nvidia launched since November 2024 have breached their defensive barriers as a result of yesterday’s historic crash.
29 Jan 2025
Nvidia: defensive barriers at safe distance as stock plunges
Only 60 very short-term products linked to Nvidia launched since November 2024 have breached their defensive barriers as a result of yesterday’s historic crash.
25 Sep 2024
Greeks aggregation: the value of calculating total risk
Looking at the aggregated risk of large portfolios provides valuable insight into trading distortions and opportunities that may not be immediately obvious by simply tracking issuance trends.
13 Dec 2023
Korean banks halt HSCEI-linked sales, implied vols unscathed by Vega bids
Five major banks in South Korea have now halted the sale of equity linked securities (ELS) linked to the Hong Kong Hang Seng China Index (HSCEI).
15 Nov 2023
Roche: most defensive barriers at safe distance as stock struggles
More than 75% of live products featuring the Swiss share are more than 10% away from crossing their Knock-In barriers; 55% at more than 20% from breaching them.
15 Nov 2023
Roche: most defensive barriers at safe distance as stock struggles
More than 75% of live products featuring the Swiss share are more than 10% away from crossing their Knock-In barriers; 55% at more than 20% from breaching them.
14 Nov 2023
HSCEI: Vega supply muted by lower issuance
Almost 70% of live products featuring the Hang Seng China Enterprises Index (HSCEI) are in safe territory and far from breaching their defensive barriers.
14 Nov 2023
HSCEI: Vega supply muted by lower issuance
Almost 70% of live products featuring the Hang Seng China Enterprises Index (HSCEI) are in safe territory and far from breaching their defensive barriers.
12 Jan 2022
Hedging structured products: pricing considerations
The hedging process is one of the most important aspects of creating structured products.
09 Dec 2020
Understanding the Greeks: all pricing parameters
This article is the second part of a survey on the importance and role of Greeks in structured products and derivatives.
25 Nov 2020
Meet the ‘Greeks’: first order sensitivities
This article is the first of two pieces looking at the importance and role of ‘Greeks’ in structured products and derivatives.