The debt ceiling of the USA is not yet the focus of the markets. Nevertheless on 13 January, the...
Latest articles on Markets
Structured products design can be influenced by market conditions: levels of interest rates, dividends and volatility drive the retail and institutional flow. But the flow of structured products can also influence market conditions, mainly volatility and dividends. The below articles will tackle some of those phenomena.
When Did the 60/40 Portfolio Start Failing?
The year 2022 has been named the year of the failure of the 60/40 portfolio. Indeed Its...
The Dieter’s Paradox: When Adding More Risks Feels Safer
Take a portfolio made 100% of Moderna shares. Take a second portfolio made of Moderna shares and...
What Will Stop The S&P Spot Down/Vol Down Dynamics (resp. up/up)?
One of the main features of the year 2022 is the spot/vol (by strike) dynamics of S&P 500 (see...
How a EUR/USD TARF Turned Sour And Put An Italian Corporate At Risk
According to an article published on Bloomberg , the...
Will The Winter Be Colder In Germany ?
This year the stock market has told us that Germany is over exposed to Russia versus the rest of...
S&P500 vs US Stocks: The Story Of Two Skews
Singles Skew Up Structured products on US underlyings have been mainly written on the big tech...
Spot Down / Vol Down
"Spot down / Vol down" is the name of the game in 2022. It is a puzzle for many volatility...
Where Has S&P500 Skew Gone?
Many things have collapsed this year but for vol traders, the most striking collapse has been the...
Volatility KnockOut Puts : Pay For The Way The Market Is (Not) Moving
We wrote recently about the temptation of the 3-month 95% put on SPX, that rarely pays out....
Products
Decrement Indices: You Are Warned!
The Central Bank of Ireland reiterates its warning on decrement indices In a letter sent to finance professionals in...
Nestlé, Roche, Novartis : Swiss curse or Swiss blessing?
Being a structurer is a great job: it means coming with payoffs or themes that make sense, that are attractive and...
The VKO Puts Makes Citi Equity Derivatives House Of The Year 2022
🏆 Citi has been named Equity Derivatives House of the year 2023 by Risk.net . In particular, Citi was rewarded for its...
Derivates
Structured Products = Alternative Investments ?
Asset managers tend to classify structured products as “alternatives”. That is rather a classification by default than...
Is Optimising Structured Products Really Optimal ?
Banks and independent software companies offer optimisers / optimizers for structured products It is quite standard...
What To Expect From VIX1D, The New One-Day VIX?
This week, another VIX was launched by CBOE: the VIX1D. it is meant to measure the 1-day volatility of...