Volatility derivatives at Eurex Exchange. November 2014
|
|
- Roderick Fleming
- 8 years ago
- Views:
Transcription
1 Volatility derivatives at Eurex Exchange November 2014
2 Agenda What volatility derivatives can do for you Eurex Exchange s volatility derivatives VSTOXX Advanced Services Liquidity and volume Trading strategies Market making programs Further information & contact details 2
3 Volatility diversifies portfolios Benefits of Volatility Derivatives in Portfolio Management EDHEC Risk Institute May 2012 Correlations converge to 1 in turbulent markets, and traditional diversification fails when needed most. Negative correlation between implied volatility and equity portfolio is robust at on a 10 year basis. Long volatility exposure is strongest in market downturns, exactly when it s needed most, and results in a substantial improvement of portfolio risk-adjusted performance. Even a modest allocation to volatility derivatives allows an investor to generate portfolios with more attractive downside risk properties. 3
4 Negative correlation and mean reversion EURO STOXX 50 Index versus VSTOXX When volatility is high, it can stay high or trend back down to a long-term mean. 4
5 What volatility derivatives can do for you Diversify and hedge your equity and credit portfolios. Equity funds are short volatility --- Equity falls, volatility rises. Equity put positions can be substituted by a position in volatility. Use volatility as a tail-risk hedge. Benchmark strategies require frequent rebalancing, driving costs up. Negative correlation of VSTOXX to EURO STOXX 50 offsets rebalancing costs. Generate returns Trade on volatility levels. Trade spreads between volatility indexes. Trade on mean reverting nature of volatility. Dispersion trading. 5
6 Agenda What volatility derivatives can do for you Eurex Exchange s volatility derivatives VSTOXX Advanced Services Liquidity and volume Trading strategies Market making programs Further information & contact details 6
7 EURO STOXX 50 volatility The VSTOXX index VSTOXX Index is based on market prices of EURO STOXX 50 Index Options. The VSTOXX index does NOT measure implied volatilities of ATM options, but the implied variance across all options of given time to expiry. The main index VSTOXX is designed as a rolling index at a fixed 30 days to expiry through linear interpolation of the two nearest of the eight available sub-indexes. The sub-indexes represent the eight expiry months with a maximum of two years and are calculated every five seconds. EURO STOXX 50 Option Front month expiry 7 days VSTOXX 30 Day Main Index EURO STOXX 50 Option 2nd month expiry 37 days Sub-index 1 Sub-index I n t e r p o l a t i o n 7
8 Weight Variance Exposure Variance Exposure Variance Exposure Volatility products at Eurex Exchange August 2014 Trading and hedging variance: Implied volatility strike Variance exposure of one option 0,25 0,20 0,15 0,10 0, , Spot Level Exposure of a strip of options 0,30 0,25 0,20 0,15 0,10 0,05 0, Spot Level Weighted by 1/K 2 = 0,60 0,50 0,40 0,30 0,20 0,10 0, Spot Level 0,06 X 0,05 0,04 0,03 0,02 0,01 0, Spot Level The number of options one needs per strike is proportional to (1/Strike 2 ) to assure a flat variance/vega profile. Due to the (1/Strike 2 )-behavior, one needs more and more downside puts the lower the straddle strike. 8
9 EURO STOXX 50 volatility The VSTOXX index Price screens and filters Option prices that are one-sided are screened out. Only options that are quoted within the maximum spreads of 8% are eligible. Cutting the wings exclusion of option prices that are too far OTM, ensures that prices used do not fall short of a minimum value of 0.5 index points. 9
10 Why the VSTOXX? European debt crisis has resulted in repeated mini spikes in VSTOXX. Higher negative correlation to the EURO STOXX 50 (ca ). Higher realized volatility of financials in VSTOXX (ca. 35%). Lower roll cost of ca. 1 volatility point per month, as VSTOXX futures term structure is less impacted by structural rolling of ETNs. Exploit relative value opportunities between the VSTOXX and the VIX. 10
11 Product specifications Symbol OVS FVS Product Name VSTOXX Options VSTOXX Mini Futures Underlying Contract Value The VSTOXX Index, a market estimate of expected volatility that is calculated every 5 seconds by using real-time EURO STOXX 50 option bid/ask quotes. EUR 100 per index point of the underlying Price Quotation and Minimum Price Change In points with two decimal places. The Minimum Price Change is 0.05 points (equivalent to a value of EUR 5). Contract Months Exercise Price Intervals Exercise Staggered by Volatility Index Level: = < 20-1 Index Point > 20 and =< Index Points > 50-5 Index Points The next eight successive calendar months European-style; an option can only be exercised on the Final Settlement Day of the respective option series until 21:00 CET Settlement Daily Settlement Price Last Trading Day and Final Settlement Day Final Settlement Price Cash settlement, payable on the first exchange day following the Final Settlement Day. Established by Eurex, determined through a binomial pricing model. Determined during the closing auction of the respective futures contract. 30 calendar days prior to the third Friday of the expiration month of the underlying options. This is usually the Wednesday prior to the second last Friday of the respective expiration / maturity month. Average of the VSTOXX values on the Last Trading Day between 11:30 and 12:00 CET. Block Trade Size 500 Contracts 1,000 Contracts Vendor Codes Bloomberg: V2X INDEX OMON Reuters: 0#FVS+ Bloomberg: FVSA INDEX Reuters: 0#FVS: 11
12 Agenda What volatility derivatives can do for you Eurex Exchange s volatility derivatives VSTOXX Advanced Services Liquidity and volume Trading strategies Market making programs Further information & contact details 12
13 VSTOXX Advanced Services Implied volatility derivatives are not just another index product. Index construction and 2nd degree derivatives pricing require greater due diligence from end-users looking to trade in the volatility space. To facilitate product approval processes and to streamline academic studies and practical trading guides, Eurex has created a range of VSTOXX tutorials and analytical tools for researchers, traders and investors: Develop your own data history of EURO STOXX 50 options and VSTOXX Recalculate the VSTOXX sub-indexes and the main 30 day index Value derivatives available on the VSTOXX index Back-testing database for optimization of EURO STOXX 50 portfolios with VSTOXX futures and options. 13
14 Tutorial Analyzing historical VSTOXX data Creation of a Database Generate a database containing historical data of the EURO STOXX 50 and VSTOXX. Use an external source (e.g. a Web site) and prepare the data within Python. Data Analysis We use the data to learn more about the correlation between EURO STOXX 50 and VSTOXX. There is a number of empirical studies that show that the volatility indexes are in general strongly negatively correlated with stock indexes, and we can now verify these results. 14
15 Tutorial Calculation of VSTOXX In this section we demystify the index formula: by calculating the VSTOXX Index and its sub-indexes from scratch. Collect EURO STOXX 50 options data and required money market rates Compute forward prices Calculate strikes distances Set at and out of the money strikes and collate this to: Calculate VSTOXX sub-indexes and determine main 30 day VSTOXX via interpolation 15
16 Tutorial GL 96 for VSTOXX options Andreas Gruenbichler and Francis A. Longstaff published in 1996 (GL96) a semi-analytical ( closed ) pricing formula for European volatility call options. They model volatility directly and make the assumption that volatility follows a square-root diffusion process. This section implements their formula as well as a Monte Carlo simulation for their financial model. The red dots are the values from the Monte Carlo simulation which are quite accurate. This level of accuracy is reached with 50 time steps and 50,000 simulation paths. 16
17 Back-testing with VSTOXX There is ample academic research that shows that adding volatility products like VSTOXX to an equity portfolio improves risk return profiles and trading results. The Back-testing Application EURO STOXX 50 plus VSTOXX: Back-test for a portfolio of direct investments in both the equity and volatility index. EURO STOXX 50 plus VSTOXX Futures: Back-test for a portfolio of direct investments in both the equity index and volatility index futures. Four Assets: Back-test for a portfolio of up to four assets; choose e.g. DAX, EURO STOXX 50, VSTOXX, VSTOXX Futures or VSTOXX Options and choose your weightings, position rolling & portfolio rebalancing rules as well as transaction costs. 17
18 Back-testing with VSTOXX index 18
19 Back-testing with VSTOXX Index 19
20 Agenda What volatility derivatives can do for you Eurex Exchange s volatility derivatives VSTOXX Advanced Services Liquidity and volume Trading strategies Market making programs Further information & contact details 20
21 VSTOXX volume and open interest VSTOXX Futures VSTOXX Options 2014 daily volume increased to 27,000, up over 30% over 2013 volumes daily average volume: 12,000 contracts. 21
22 Options Futures Volatility products at Eurex Exchange August 2014 Liquidity overview for volatility derivatives VSTOXX Futures are quoted up B/O spread ~ 0.10 near month expiries, ~ 0.2 for back months VSTOXX Options are quoted across all 8 expiry months. Trades in the dealer market are commonly done in sizes of 1,000-5,000 contracts. 22
23 Agenda What volatility derivatives can do for you Eurex Exchange s volatility derivatives VSTOXX Advanced Services Liquidity and volume Trading strategies Market making programs Further information & contact details 23
24 VSTOXX term structure VSTOXX term structure was in contango 72% of the time since When volatility rises, the term structure flattens, or goes into backwardation. 24
25 VSTOXX calendar spreads In September 2013, VSTOXX was at 18, about 3 points under its long term mean. When the VSTOXX Futures term structure is in contango, going long comes at a cost of about 1 volatility point per month, making the timing of long volatility trades crucial. In 2013, VSTOXX expiry 3 versus 6 was -1,5, with a long term average of -1,0 since Long positioning via the 3/6 VSTOXX Futures calendar spread offered opportunity. VSTOXX 20. Sep 2013 VSTOXX 8. Oct 2013 FVS3 Index 19,45 18,95 FVS6 Index 22,35 20,25 FVS 3 vs 6-2,9-1,3 25
26 Integrated calendar spread trading Prior to March 2013, Eurex offered 3 calendar spread combinations Transaction costs for spread trading are now cut in half and more. Outrights Spreads 50 of the 150 lots on the Jul12 Offer are from implied pricing 26
27 Inter product spread trading in volatility derivatives 9 April 2014: VSTOXX vs. VIX Futures term structure 6 May 2014: VSTOXX vs. VIX Futures term structure Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 VSTOXX VIX VSTOXX VIX On 9 April 2014, near month VSTOXX futures were trading 3 index points over VIX futures. The term structure of the VSTOXX and VIX were nearly parallel. Short VIX futures term structure roll-down strategies combined with long VSTOXX Futures offered returns on a short-term basis. Risk is reduced and managed with a hedge in VSTOXX futures, but the roll down trade is not risk free as the VIX term structure can go flat, or rise independently of VSTOXX as observed in the revisited fiscal cliff woes in October
28 VIX/VSTOXX spread trading the term structure roll down Sell VIX 2-month future, buy VSTOXX 2-month future. Keep the position until expiry. Re-enter position every month. Date VIX VSTOXX 0-month 1-month 2-month 0-month 1-month 2-month P&L VIX P&L VSTOXX P&L combined ,69 15,5 17,1 16,85 17,65 18,65 4,46 1,53 5, ,07 14,75 15, ,7 19,7 0,39 2,46 2, ,64 14,5 15,95 20,18 19,8 20,5 2,78-3,95-1, ,46 16,45 16,75 22, ,3-0,47-1,85-2, ,17 15,3 16,4 16,55 18,45 19,7 1,97 0,14 2, ,22 17,7 18,35 20,45 21,2 21,9 1,93-1,52 0, ,43 15,6 16,95 19,84 20,55 21,55 2,18-2,91-0, ,42 16,1 16,95 20,38 21,1 21,55-0,26-2,27-2, ,77 14,7 15,9 18,64 19,5 20,4 1,75-5,14-3, ,21 15,5 16,53 19,28 19,4 19,05 1,98-1,94 0, , ,15 15,26 16,4 19,1 3,35-2,46 0, ,55 15,6 16,3 17,11 18,1 19,1 0,93-1,14-0, ,8 14,75 15,5 16,64 17,4 18,2-0,07 4,65 4, ,37 15,78 16,41 17,96 17,95 18,05 0,54 0,14 0, ,57 16,23 16,77 22,85 19,15 19,85 2,67-4,72-2, ,87 16,34 16,78 18,19 19,05 19,45 5,04-6,19-1, ,1 15,03 15,64 15,13 17,35 18,15 4,61-3,27 1, ,74 12,7 13,7 13,26 15,5 16,8 1,55 0,28 1, ,03 12,7 13,6 14,88 15,8 16,55 0,57-0,19 0, ,15 13,5 14,2 17,08 17,05 17,45-1,72 4,78 3, ,03 14,25 14,95 16,36 17,25 17, ,92 18,1 18,05 22,23 20,15 18,5 Total 100,65-68,61 32, ,05 10,41 14, ,42-55,45 6, ,99-19,05 1, ,19-4,52 8,67 Expectations are met: Both VIX and VSTOXX futures are in contango. VIX futures roll down more than VSTOXX due to the steeper VIX term structure, and a profit was made. VSTOXX depreciated from a higher level, and losses were not compensated by VIX roll down. 28
29 Systematic selling of VSTOXX puts (tiered approach) Motivation Expect long term volatility increase Avoid higher call prices Protect against VSTOXX mean reversion The trade Systematically sell OTM front month VSTOXX puts according to the table, hold position until expiry. VSTOXX near month future level Sell Put Strike with distance to future < > Result Strategy profitable every month from April 2011 to June Total profit from 2011: 6.1 points, Avg points per month. Roll-down of 1,000 options results in net profit of 1000*100*6.1 = 610,000. HOWEVER, the massive decline of the VSTOXX in September 2012 has negatively impacted the strategy, accentuating the importance of the overall volatility environment in the execution of the systematic short put selling. 29
30 Agenda What volatility derivatives can do for you Eurex Exchange s volatility derivatives VSTOXX Advanced Services Liquidity and volume Trading strategies Market making programs Further information & contact details 30
31 New VSTOXX Futures Market-Making scheme Minimum contract size Scheme 1: 200 contracts Scheme 2: 250 contracts Scheme 1 Contract months volatility index points for bids up to 20 index points. 1 percent for bids greater than 20. Maximum spread Required coverage Contract months volatility index points for bids up to 20 index points. 2 percent for bids greater than 20. Scheme 2 Contract months volatility index points for bids up to 20 index points. 0.5 percent for bids greater than 20. Contract months volatility index points for bids up to 20 index points percent for bids greater than per cent of the total trading period on a monthly average. Maturity range All eight maturities must be covered. Incentive For scheme 1 and 2: 100 per cent free rebate for trades on the M-account from 1 September 2014 until 31 December 2014, for fulfilling monthly obligations. 31
32 Market-Making volatility options Minimum Contract Size 25 contracts Maximum Spread* Bid up to 2 max Spread 0.40 points Bids from 2 to per cent of bid price i.e. Option bid = 4.00, thus a spread 80 bps Bid > 20 max Spread 4 points Required Coverage Expiry Range 70 per cent of the total trading period on a monthly average for calls and puts in five out of nine strikes around the current index level. Asymmetric quotation is allowed. Four of eight expirations have to be covered Incentive 100 per cent free rebate for trades on M-account until December 31, 2014, for fulfilling monthly obligations. Eurex will also grant a revenue sharing and distribute 50 per cent of the net trading fee among the top 3 performing Market Makers on a monthly basis. The kickback is determined as a share of the trading volume of the three Market Makers. 32
33 Market-Makers Company Contact Person Phone Morgan Stanley VSTOXX Futures Gabriel Manceau Societe Generale VSTOXX Options Laurent van Hollemeersch Optiver Holding B.V VSTOXX Futures & Options Flow Traders VSTOXX Futures Maanit Chhabra Pascal Teekens DRW Investments VSTOXX Options Vincent Kory
34 Agenda What volatility derivatives can do for you Eurex volatility products VSTOXX Advanced Services Liquidity and volume Trading strategies Market making programs Further information & contact details 34
35 Further information Information on Product page: Factsheet: STOXX strategy index guide: VSTOXX Advanced Services: 35
36 Contact us Sales Frankfurt Sales Paris Sales Zurich France Schuster Eurex Frankfurt AG Neue Börsenstraße Frankfurt / Main Germany P: +49 (0) F: +49 (0) france.schuster@eurexchange.com Paul Beck Deutsche Börse AG Representative Office France 17, rue de Surène Paris France P: +33 (0) F: +33 (0) paul.beck@eurexchange.com Markus-Alexander Flesch Eurex Zürich AG Loewenstrasse Zürich Switzerland P:+41 -(0) F:+41 (0) markus-alexander.flesch@eurexchange.com Sales UK Sales Americas Sales Asia & Middle East Stuart Heath Deutsche Börse AG UK Representative Office One Canada Square, Canary Wharf London, E14 5DR United Kingdom P: +44 (0) F: +44 (0) stuart.heath@eurexchange.com Vassilis Vergotis Eurex 233 South Wacker Drive - Suite 2450 Chicago, IL USA P: F: vassilis.vergotis@eurexchange.com Roland Schwinn Eurex Frankfurt AG 50 Raffles Place No Singapore Land Tower Singapore P: F: roland.schwinn@eurexchange.com 36
37 Eurex 2013 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG (Eurex Clearing) as well as Eurex Bonds GmbH (Eurex Bonds) and Eurex Repo GmbH (Eurex Repo) are corporate entities and are registered under German law. Eurex Zürich AG is a corporate entity and is registered under Swiss law. Clearstream Banking S.A. is a corporate entity and is registered under Luxembourg law. U.S. Exchange Holdings, Inc. and International Securities Exchange Holdings, Inc. (ISE) are corporate entities and are registered under U.S. American law. Eurex Frankfurt AG (Eurex) is the administrating and operating institution of Eurex Deutschland. Eurex Deutschland and Eurex Zürich AG are in the following referred to as the Eurex Exchanges. All intellectual property, proprietary and other rights and interests in this publication and the subject matter hereof (other than certain trademarks and service marks listed below) are owned by DBAG and its affiliates and subsidiaries including, without limitation, all patent, registered design, copyright, trademark and service mark rights. While reasonable care has been taken in the preparation of this publication to provide details that are accurate and not misleading at the time of publication DBAG, Clearstream, Eurex, Eurex Clearing, Eurex Bonds, Eurex Repo as well as the Eurex Exchanges and their respective servants and agents (a) do not make any representations or warranties regarding the information contained herein, whether express or implied, including without limitation any implied warranty of merchantability or fitness for a particular purpose or any warranty with respect to the accuracy, correctness, quality, completeness or timeliness of such information, and (b) shall not be responsible or liable for any third party s use of any information contained herein under any circumstances, including, without limitation, in connection with actual trading or otherwise or for any errors or omissions contained in this publication. This publication is published for information purposes only and shall not constitute investment advice respectively does not constitute an offer, solicitation or recommendation to acquire or dispose of any investment or to engage in any other transaction. This publication is not intended for solicitation purposes but only for use as general information. All descriptions, examples and calculations contained in this publication are for illustrative purposes only. Eurex and Eurex Clearing offer services directly to members of the Eurex exchanges respectively to clearing members of Eurex Clearing. Those who desire to trade any products available on the Eurex market or who desire to offer and sell any such products to others or who desire to possess a clearing license of Eurex Clearing in order to participate in the clearing process provided by Eurex Clearing, should consider legal and regulatory requirements of those jurisdictions relevant to them, as well as the risks associated with such products, before doing so. Eurex derivatives are currently not available for offer, sale or trading in the United States or by United States persons (other than EURO STOXX 50 Index Futures, EURO STOXX 50 ex Financials Index Futures, EURO STOXX Select Dividend 30 Index Futures, EURO STOXX Index Futures, EURO STOXX Large/Mid/Small Index Futures, STOXX Europe 50 Index Futures, STOXX Europe 600 Index Futures, STOXX Europe 600 Banks/Industrial Goods & Services/Insurance/Media/Travel & Leisure/Utilities Futures, STOXX Europe Large/Mid/Small 200 Index Futures, Dow Jones Global Titans 50 IndexSM Futures (EUR & USD), DAX /MDAX /TecDAX Futures, SMIM Futures, SLI Swiss Leader Index Futures and VSTOXX Mini Futures as well as Eurex inflation/commodity/weather/property and interest rate derivatives). 37
Volatility products at Eurex Exchange. February 7, 2012
Volatility products at Eurex Exchange Volatility Products at Eurex Exchange Agenda Introduction Properties of volatility Eurex products, liquidity and volume VSTOXX strategies at a glance Further information
More informationEU Short Selling Regulation
EU Short Selling Regulation Overview and Implementation Concept 1 September, 2012 EU Short Selling Regulation - Article 15 Extract of the Regulation Buy-in procedures 1. A central counterparty in a Member
More informationThe International Derivatives Exchange. February 2009
The International Derivatives Exchange February 2009 Eurex The International Derivatives Exchange Risk Statement Risk Statement This presentation is for information purposes only and shall not constitute
More informationFX Futures & Options. FX derivatives at Eurex Exchange. June 2014
FX Futures & Options FX derivatives at Eurex Exchange June 2014 Agenda Introduction of FX Futures and Options Liquidity provision at Eurex Exchange Contract specifications Fees and margining Further information
More informationVDAX -NEW. Deutsche Börse AG Frankfurt am Main, April 2005
VDAX -NEW Deutsche Börse AG Frankfurt am Main, April 2005 With VDAX -NEW, Deutsche Börse quantifies future market expectations of the German stock market Overview VDAX -NEW Quantifies the expected risk
More informationTrading Opportunities in European Products. March 2010
Trading Opportunities in European Products March 2010 Eurex The International Derivatives Exchange Risk Statement Risk Statement This presentation is for information purposes only and does not constitute
More informationEurex Exchange s T7 Product and Instrument File Descriptions
Product and Instrument File Descriptions Version 3.0 Date 23 November 2015 Eurex 2015 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream),, Eurex Clearing AG (Eurex Clearing) as well as Eurex
More informationVariance Futures on Eurex Exchange. Product description & clearing concept
Product description & clearing concept Content Product description Clearing concept Appendix 2 Outline Challenge: Swap products difficult to capture via futures transaction based settlement required Product
More informationFutures Trading with EURO STOXX 50 & DAX Electronic Contracts
Futures Trading with EURO STOXX 50 & DAX Electronic Contracts John F. Carter www.tradethemarkets.com in conjunction with Eurex Futures Exchange & Infinity Brokerage www.tradethemarkets.com 1 Disclaimer
More informationthe basics of Implied Volatility
the basics of Implied Volatility About VSTOXX and VIX Short- and Mid-Term Futures Indices Volatility is a complex investment tool and is aimed at sophisticated investors who understand the way volatility
More informationRussell Rhoads, CFA Instructor The Options Institute. 2010 Chicago Board Options Exchange, Incorporated. All rights reserved.
Trading VIX Futures and Options Russell Rhoads, CFA Instructor The Options Institute 2010 Chicago Board Options Exchange, Incorporated. All rights reserved. CBOE Disclaimer Options and futures involve
More informationHedging and Discounting Euro swaps with a secured benchmark. October 2015
Hedging and Discounting Euro swaps with a secured benchmark October 2015 Agenda Developments in European Interbank Funding ECB selects STOXX GC Pooling indices Volatility, drivers and impact of unsecured
More informationEurex Short-Term Euro-BTP Futures. increasing alpha opportunities. in European fixed income markets for the buy side
November 2010 Eurex Short-Term Euro-BTP Futures increasing alpha opportunities in European fixed income markets for the buy side On October 18, 2010, Eurex Exchange expanded its suite of fixed income derivatives
More informationEurex Repo s New Trading System F7
Release 1.0 Participant Simulation Guide Version 1.0 Date 18 September 2014 Abstract This document describes the timeline, features as well as simulation focus days for the s F7 Simulation. participants
More informationUpdate on HKEx Equity Derivatives Market. Derivatives Trading Global Markets Division 24 April 2015
Update on HKEx Equity Derivatives Market Derivatives Trading Global Markets Division 24 April 215 Exchange Participants Global Distribution Distribution of the Origins of HKFE Exchange Participants America
More informationEXECUTE SUCCESS. {at work}
EXECUTE SUCCESS TM {at work} VIX T H E C B O E V O L A T I L I T Y I N D E X 1 W H AT I S V I X & W H AT D O E S I T M E A S U R E? T H E I N D U S T R Y S TA N D A R D I N V O L AT I L I T Y MEASUREMENT
More informationDAXplus Covered Call Index. Deutsche Börse AG Frankfurt am Main January 2006
DAXplus Covered Call Index Deutsche Börse AG Frankfurt am Main January 2006 Index-option strategies generate excess return with lower risk as well as performance benchmarks Possible use cases for index-option
More informationEurexOTC Clear. Member Guide Approved Trade Source: December 2015
EurexOTC Clear Member Guide Approved Trade Source: December 2015 Agenda Overview OTC Client Clearing workflow Supported Functionality/ Flow Product Scope Trade Flow Novation Flow Interface for Trade Entry
More informationPricing and Strategy for Muni BMA Swaps
J.P. Morgan Management Municipal Strategy Note BMA Basis Swaps: Can be used to trade the relative value of Libor against short maturity tax exempt bonds. Imply future tax rates and can be used to take
More informationMANAGING POSITIONS PRE- AND POST-TRADE. For educational purposes only. For professional and institutional clients only
MANAGING POSITIONS PRE- AND POST-TRADE For educational purposes only. For professional and institutional clients only Introduction GABRIEL MANCEAU Barclays, Volatility Trader ANTOINE DELGA Bloomberg, Equity
More informationeurex circular 177/14
eurex circular 177/14 Date: 8 August 2014 Recipients: All Trading Participants of Eurex Deutschland and Eurex Zürich and Vendors Authorized by: Michael Peters High priority Money Market Derivatives: Amendment
More informationAn easy way of investing offshore
A JSE / Deutsche Bank initiative An easy way of investing offshore Exchange Traded Funds ETFs Itrix DJ EURO STOXX 50 Itrix FTSE 100 Itrix ETFs allow you to Diversify your investment portfolio offshore
More informationThe Merchant Securities FTSE 100. Hindsight II Note PRIVATE CLIENT ADVISORY
The Merchant Securities FTSE 100 Hindsight II Note Our first FTSE-100 Hindsight Note is now fully subscribed; however, as a result of exceptional investor demand we are launching the FTSE- 100 Hindsight
More informationSingle Stock Futures at Eurex Exchange
Single Stock Futures at Eurex Exchange +900 opportunities in equity trading February 2014 Agenda +900 Single Stock Futures are tradable at Eurex Exchange Majority of SSF volume is executed via EurexOTC
More informationSLVO Silver Shares Covered Call ETN
Filed pursuant to Rule 433 Registration Statement No. 333-180300-03 April 15, 2014 SLVO Silver Shares Covered Call ETN Credit Suisse AG, Investor Solutions April 2014 Executive Summary Credit Suisse Silver
More informationHedging Borrowing Costs with Eurodollar Futures
Hedging Borrowing Costs with Eurodollar Futures DTN/The Progressive Farmer 2010 Ag Summit December 9, 2010 James Boudreault, CFA Financial Research & Product Development CME Group Agenda 1. Introduction
More informationeurex circular 187/08
eurex circular 7/ Date: Frankfurt, July, Recipients: All Trading Members of Eurex Deutschland and Eurex Zürich, all Clearing Members of Eurex Clearing AG and Vendors Authorized by: Peter Reitz Action required
More informationMini-DAX. Maximum Opportunity.
Mini-DAX. Maximum Opportunity. Webinar - Interactive Brokers Thursday, 3 December 2015, 12:00 EST Agenda Summary Market analysis of the DAX Futures Contract details DAX highlights About Eurex Exchange
More informationDISCLAIMER. A Member of Financial Group
Tactical ETF Approaches for Today s Investors Jaime Purvis, Executive Vice-President Horizons Exchange Traded Funds April 2012 DISCLAIMER Commissions, management fees and expenses all may be associated
More informationEquity derivative strategy 2012 Q1 update and Trading Volatility
Equity derivative strategy 212 Q1 update and Trading Volatility Colin Bennett (+34) 91 28 9356 cdbennett@gruposantander.com 1 Contents VOLATILITY TRADING FOR DIRECTIONAL INVESTORS Call overwriting Protection
More informationSensex Realized Volatility Index
Sensex Realized Volatility Index Introduction: Volatility modelling has traditionally relied on complex econometric procedures in order to accommodate the inherent latent character of volatility. Realized
More informationWhat does the Dow Jones-UBS Commodity Index track?
Dow Jones-UBS Commodity Index FAQ What does the Dow Jones-UBS Commodity Index track? The Dow Jones-UBS Commodity Index is an index tracking the performance of a weighted group of exchange-traded futures
More informationeurex circular 096/09
eurex circular 096/09 Date: Sender: Recipients: Authorized by: Frankfurt, May 25, 2009 1. Eurex Deutschland und Eurex Zürich 2. Eurex Clearing AG All Trading Members of Eurex Deutschland and Eurex Zürich,
More informationSwiss Alpha Strategy Certificates
Swiss Alpha Strategy Certificates Harvesting option premium Nomura NOVEMBER 2006 Nomura and its platform Altrus Nomura The Nomura Group is a global financial services firm dedicated to providing a broad
More informationHow To Get A Better Return From International Bonds
International fixed income: The investment case Why international fixed income? International bonds currently make up the largest segment of the securities market Ever-increasing globalization and access
More informationeurex circular 218/13
eurex circular 218/13 Date: 8 October 2013 Recipients: All Trading Participants of Eurex Deutschland and Eurex Zürich and Vendors Authorized by: Jürg Spillmann Eurex Exchange s T7 disaster recovery test
More informationDual Listing of the SGX EURO STOXX 50 Index Futures in Singapore
September 2011 Dual Listing of the SGX EURO STOXX 50 Index Futures in Singapore Mr Tobias Hekster Managing Director, True Partner Education Ltd Senior Strategist, Algorithmic Training Group of Hong Kong
More informationRegistered country information Vanguard Investment Series plc and Vanguard Funds plc
Registered country information Vanguard Investment Series plc and Vanguard Funds plc The value of investments, and the income from them, may fall or rise and investors may get back less than they invested.
More information96 97 98 99 00 01 02 03 04 05 06 07 08* FDI Portfolio Investment Other investment
Chartbook Contact: Sebastian Becker +49 69 91-3664 Global Risk Analysis The unwinding of Yen carry trades Some empirical evidence 3 2 1-1 -2-3 -4 October 31, 28 Many years before the sub-prime crisis hit
More information10 knacks of using Nikkei Volatility Index Futures
10 knacks of using Nikkei Volatility Index Futures 10 KNACKS OF USING NIKKEI VOLATILITY INDEX FUTURES 1. Nikkei VI is an index indicating how the market predicts the market volatility will be in one month
More informationthe basics of commodities
the basics of commodities About (ETNs) Investors have shown increasing interest in commodities, which as an asset class can offer opportunities to fine-tune a portfolio s risk and return characteristics.
More informationPrice List for Eurex Clearing AG As of 11.01.2016
Page 1 Preamble 5 Basic Principles... 5 1. Fees for Clearing Licenses... 5 2. [Cancelled]... 6 3. Transaction Fees for Derivatives Transactions (Order Book Transactions and Off-Book-Transactions on the
More informationEurex Clearing C7 C7 Release 3.0 Overall Report Changes
Eurex Clearing C7 C7 Release 3.0 Overall Report Changes External Version Date 13 May 2016 Eurex 2016 Deutsche Börse AG (DBAG), Clearstream Banking AG (Clearstream), Eurex Frankfurt AG, Eurex Clearing AG
More informationLearning Curve Interest Rate Futures Contracts Moorad Choudhry
Learning Curve Interest Rate Futures Contracts Moorad Choudhry YieldCurve.com 2004 Page 1 The market in short-term interest rate derivatives is a large and liquid one, and the instruments involved are
More informationCIO Flash Revisions to our 2016 global outlook Jan 25, 2016
CIO Flash Revisions to our global outlook Jan 25, +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH +++ CIO FLASH The global macro picture:
More informationTracker Certificate on Solactive Cloud Computing Performance-Index
BRANDSCHENKESTRASSE 90, CH-8002 ZÜRICH +41 58 800 1111 TERMSHEET@EFGFP.COM WWW.EFGFP.COM Final Termsheet Participation-Products SSPA Product Type: 1300 Tracker Certificate on Solactive Cloud Computing
More informationInterest Rate Derivatives Complete Your Picture in Fixed Income Investment Management. eurex
Interest Rate Derivatives Complete Your Picture in Fixed Income Investment Management eurex Contents Introduction 02 Fixed Income Futures 04 Delivery and Deliverable Basket Options on Fixed Income Futures
More informationExchange Traded Funds. An Introductory Guide. For professional clients only
Exchange Traded Funds An Introductory Guide For professional clients only Exchange-Traded Funds (ETFs) started to be used in Europe in the early 2000s but over the past few years they have grown their
More informationSingapore Exchange. Optionality Opportunities in the Asian Gateway. Mr Rick Aston, SVP Head of Institutions Singapore Exchange Limited
Singapore Exchange Optionality Opportunities in the Asian Gateway Mr Rick Aston, SVP Head of Institutions Singapore Exchange Limited SGX Market Record Volume Annual record volume in 2008: 61.8 million
More informationIdentifying the Differences Between VIX Spot and Futures
PRACTICE ESSENTIALS STRATEGY 201 U.S. Identifying the Differences Between VIX Spot and Futures CONTRIBUTOR Berlinda Liu berlinda.liu@spdji.com The S&P Dow Jones Indices Practice Essentials series is a
More informationXetra. The market. Xetra: Europe s largest trading platform for ETFs. ETF. One transaction is all you need.
Xetra. The market. Xetra: Europe s largest trading platform for ETFs ETF. One transaction is all you need. Deutsche Börse Group is the leading global service provider to the securities industry. Its cutting-edge
More informationFX Options NASDAQ OMX
FX Options OPTIONS DISCLOSURE For the sake of simplicity, the examples that follow do not take into consideration commissions and other transaction fees, tax considerations, or margin requirements, which
More informationSingle Stock Futures at Eurex Exchange. February 2016
Single Stock Futures at Eurex Exchange February 216 Agenda 1, + Single Stock Futures (SSFs) are tradable at Eurex Exchange Majority of SSF volume is executed via Eurex Trade Entry Services Extensive usage
More informationMONEY MARKET FUTURES. FINANCE TRAINER International Money Market Futures / Page 1 of 22
MONEY MARKET FUTURES 1. Conventions and Contract Specifications... 3 2. Main Markets of Money Market Futures... 7 3. Exchange and Clearing House... 8 4. The Margin System... 9 5. Comparison: Money Market
More informationCopyright 2015 All rights reserved. Phelix Power Futures
Phelix Power Futures EEX at a glance The European Energy Exchange develops, operates and connects secure, liquid and transparent markets for energy and related products. EEX is a regulated market according
More informationMarket Making for Exchange Traded Funds. Corporates & Markets
Market Making for Exchange Traded Funds Corporates & Markets Commerzbank your trusted partner in the ETF market Since the start of the new millennium, exchange traded funds (ETFs) have experienced phenomenal
More informationCorporate and Investment Banking. Standard Bank Africa Commodity Index Exchange Traded Note
Corporate and Investment Banking Standard Bank Africa Commodity Index Exchange Traded Note Introduction to Commodities as an Asset Class 2 The Standard Bank Africa Commodity Index 4 Standard Bank s Blue
More informationCurrency Options. www.m-x.ca
Currency Options www.m-x.ca Table of Contents Introduction...3 How currencies are quoted in the spot market...4 How currency options work...6 Underlying currency...6 Trading unit...6 Option premiums...6
More informationONIA Swap Index. The derivatives market reference rate for the Euro
ONIA Swap Index The derivatives market reference rate for the Euro Contents Introduction 2 What is an EONIA Swap? 3-4 EONIA Swap Index The new benchmark 5-8 EONIA 9-10 Basis Swaps 10 IRS vs. EONIA Swap
More informationDerivatives on RDX USD Index
Derivatives on RDX USD Index Russian DR Equity Index Derivatives February 2016 Agenda Introduction RDX USD Index Contracts specifications Market-Making Fees and pricing Further information Appendix 2 Introduction
More informationVariance swaps and CBOE S&P 500 variance futures
Variance swaps and CBOE S&P 500 variance futures by Lewis Biscamp and Tim Weithers, Chicago Trading Company, LLC Over the past several years, equity-index volatility products have emerged as an asset class
More informationIdentifying the Differences Between VIX Spot and Futures
PRACTICE ESSENTIALS STRATEGY 201 U.S. Identifying the Differences Between VIX Spot and Futures CONTRIBUTOR Berlinda Liu Berlinda.liu@spdji.com The S&P Dow Jones Indices Practice Essentials series is a
More informationNote on New Products in F&O Segment. 2. Options Contracts with Longer Life/Tenure. 6. Exchange-traded Currency (Foreign Exchange) F&O Contracts
Note on New Products in F&O Segment Contents 1. Mini Contracts in Equity Indices 2. Options Contracts with Longer Life/Tenure 3. Volatility Index and F&O Contracts 4. Options on Futures 5. Bond Index and
More informationINDEX GUIDE MARKET VECTORS US DYNAMIC PUT WRITE INDEX
INDEX GUIDE MARKET VECTORS US DYNAMIC PUT WRITE INDEX VERSION 1.12 06.2015 CONTENT TABLE OF CONTENTS 1. INTRODUCTION 3 1.1 MARKET VECTORS SPECIALTY INDICES 3 1.2 NAMES AND SYMBOL 3 1.3 BASE DATE AND BASE
More informationReference Manual Currency Options
Reference Manual Currency Options TMX Group Equities Toronto Stock Exchange TSX Venture Exchange TMX Select Equicom Derivatives Montréal Exchange CDCC Montréal Climate Exchange Fixed Income Shorcan Energy
More informationMeasuring Volatility in Australia
CONTRIBUTOR Berlinda Liu Director Global Research & Design berlinda_liu@spdji.com How is VIX computed? Select first and second month OTM puts and OTM calls Compute implied volatility for each maturity
More informationGuggenheim Investments. European High-Yield and Bank Loan Market Overview
Guggenheim Investments European High-Yield and Bank Loan Market Overview August 2015 European High-Yield & Bank Loan Market Overview Please see disclosures and legal notice at end of document. 2 August
More informationThe Coming Volatility
The Coming Volatility Lowell Bolken, CFA Vice President and Portfolio Manager Real estate Securities June 18, 2015 www.advantuscapital.com S&P 500 Percent Daily Change in Price September 2008 to April
More informationAbout Volatility Index. About India VIX
About Volatility Index Volatility Index is a measure of market s expectation of volatility over the near term. Volatility is often described as the rate and magnitude of changes in prices and in finance
More informationAll Volatility Index Futures and Security Futures Market Participants
CFE Information Circular IC12-04 Date: January 6, 2012 To: From: Re: All Volatility Index Futures and Security Futures Market Participants Research and Product Development Department Volatility Index Futures
More informationIntroduction to Equity Derivatives on Nasdaq Dubai NOT TO BE DISTRIUTED TO THIRD PARTIES WITHOUT NASDAQ DUBAI S WRITTEN CONSENT
Introduction to Equity Derivatives on Nasdaq Dubai NOT TO BE DISTRIUTED TO THIRD PARTIES WITHOUT NASDAQ DUBAI S WRITTEN CONSENT CONTENTS An Exchange with Credentials (Page 3) Introduction to Derivatives»
More informationOPTIONS TRADING SIMULATOR QUICK GUIDE. Reshaping Canada s Equities Trading Landscape
OPTIONS TRADING SIMULATOR QUICK GUIDE Reshaping Canada s Equities Trading Landscape OCTOBER 2014 Orders Trading Market order A market order will be executed at the current marketable price. Limit order
More informationSSgA CAPITAL INSIGHTS
SSgA CAPITAL INSIGHTS viewpoints Part of State Street s Vision thought leadership series A Stratified Sampling Approach to Generating Fixed Income Beta PHOTO by Mathias Marta Senior Investment Manager,
More informationMulti Express Certificate with Fix Coupon Linked to WTI Crude Oil & Gold Issued by UBS AG, London Branch
Multi Express Certificate with Fix Coupon Linked to WTI Crude Oil & Gold Issued by UBS AG, London Branch Cash settled EUSIPA Product Type: Express Certificate (1260) / ISIN: DE000UBS6DT2 Information on
More informationEffective downside risk management
Effective downside risk management Aymeric Forest, Fund Manager, Multi-Asset Investments November 2012 Since 2008, the desire to avoid significant portfolio losses has, more than ever, been at the front
More informationEurex in Asia: Diversity, flexibility and 100 percent commitment.
Eurex in Asia: Diversity, flexibility and 100 percent commitment. www.eurexasia.com Partner with one of the world s leading derivatives exchanges Eurex Group is comprised of Eurex Exchange, Eurex Clearing,
More informationSector Rotation Strategies
EQUITY INDEXES Sector Rotation Strategies APRIL 16, 2014 Financial Research & Product Development CME Group E-mini S&P Select Sector Stock Index futures (Select Sector futures) provide investors with a
More informationA smoother path to US equity income?
A smoother path to US equity income? Introducing the benefits of low volatility dividend strategies and the new PowerShares S&P 500 High Dividend Low Volatility UCITS ETF June 2015 This document is directed
More informationEVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX
DECEMBER 2008 Independent advice for the institutional investor EVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX EXECUTIVE SUMMARY The CBOE S&P 500 PutWrite Index (ticker symbol
More informationIndex Options. James Bittman. Unique Features & Strategies. Senior Instructor The Options Institute at CBOE
Index Options Unique Features & Strategies James Bittman Senior Instructor The Options Institute at CBOE Disclosures In order to simplify the computations, commissions have not been included in the examples
More informationNOVEMBER 2010 VOLATILITY AS AN ASSET CLASS
NOVEMBER 2010 VOLATILITY AS AN ASSET CLASS 2/11 INTRODUCTION Volatility has become a key word of the recent financial crisis with realised volatilities of asset prices soaring and volatilities implied
More informationThe following subpart contains contract specifications for Futures contracts on stock index ( Index Futures Contracts ).
Zürich Page 1 1 Part: Contract Specifications for Futures Contracts 1.3 Subpart: Contract Specifications for Index Futures Contracts The following subpart contains contract specifications for Futures contracts
More information3 Year Note Linked To WTI Crude Oil Simplified Prospectus, 15 August 2013
1 PRODUCT DESCRIPTION This 3 Year Note / is a USD denominated Note linked to WTI Crude Oil (the Underlying ) (the Note ). The Note offers the investor quarterly Coupons linked to the 3M USD Libor rate
More informationOnline Share Trading Currency Futures
Online Share Trading Currency Futures Wealth warning: Trading Currency Futures can offer significant returns BUT also subject you to significant losses if the market moves against your position. You may,
More informationThe basics of ipath Exchange Traded Notes
The basics of Learn more about ipath Please see important disclaimers at the end of this document. This material is to be read in conjunction with the relevant base prospectus and relevant final terms
More informationETFX FUND COMPANY PUBLIC LIMITED COMPANY
The Company and the Directors, whose names appear on page 131 of the Prospectus, are the persons responsible for the information contained in this Fund Supplement and accept responsibility accordingly.
More informationContent. 15 An Example of FX Option Trade. 3 About 4 Fast, Transparent, Liquid ve Secure Investment Environment. 16 An Example of FX Option Trade
FX DERIVATIVES Content 3 About 4 Fast, Transparent, Liquid ve Secure Investment Environment 5 When Trading a FX Contract, One Buys/ Sells the Amount of Contract Size 6 In, Contract Expiry Months Are Standard
More informationdb x-trackers US Dollar Money Market ETF Asia s First Money Market ETF
db x-trackers US Dollar Money Market ETF Asia s First Money Market ETF This material is for investment professionals and has been prepared solely for information purposes and does not constitute an offer,
More informationNewEuroMTS Overview. October 2005
NewEuroMTS Overview October 2005 1 NewEuroMTS Rationale Driven by accession to the EU by 10 new countries in 2004 in compliance with Maastricht Criteria Expected convergence with Euro-Zone interest rates
More informationOptions: Definitions, Payoffs, & Replications
Options: Definitions, s, & Replications Liuren Wu Zicklin School of Business, Baruch College Options Markets Liuren Wu (Baruch) s Options Markets 1 / 34 Definitions and terminologies An option gives the
More informationLake Hill Crude Oil Market Update
Lake Hill Crude Oil Market Update Oil markets are experiencing forced hedging, unwinds and de-risking by both producers and consumers, exacerbating the recent spike in volatility. This distressed trading
More informationU.S. Dollar Index Contracts
U.S. Dollar Index Contracts FAQ June 2015 What is the Dollar Index? The U.S. Dollar Index is a geometrically-averaged calculation of six currencies weighted against the U.S. dollar. The U.S. Dollar Index
More informationInterest Rate Options
Interest Rate Options A discussion of how investors can help control interest rate exposure and make the most of the interest rate market. The Chicago Board Options Exchange (CBOE) is the world s largest
More informationTransfers of securities to RBS plc pursuant to Part VII of the UK Financial Services and Markets Act 2000 RBS plc Part VII Scheme Effective Date
Transfers of securities to RBS plc pursuant to Part VII of the UK Financial Services and Markets Act 2000 On 6 February 2010 ABN AMRO Bank N.V. (registered with the Dutch Chamber of Commerce under number
More informationClear Alpha Trading Strategies Fund Class A Shares USD a UCITS IV compliant fund
Fund Terms Inception date 20 January 2011 Legal structure Fund AUM Firm AUM Share classes Investment Objective UCITS IV fund domiciled in Ireland $47.3 million $93.7 million USD Class (EUR, GBP also available)
More informationwww.optionseducation.org OIC Options on ETFs
www.optionseducation.org Options on ETFs 1 The Options Industry Council For the sake of simplicity, the examples that follow do not take into consideration commissions and other transaction fees, tax considerations,
More informationTrading the Yield Curve. Copyright 1999-2006 Investment Analytics
Trading the Yield Curve Copyright 1999-2006 Investment Analytics 1 Trading the Yield Curve Repos Riding the Curve Yield Spread Trades Coupon Rolls Yield Curve Steepeners & Flatteners Butterfly Trading
More informationUBS AG ANNOUNCEMENT. Proposed Issue of 15,000,000 European Style Index Put Warrants relating to the Hang Seng Index
UBS AG (Incorporated with limited liability in Switzerland) ANNOUNCEMENT Proposed Issue of 15,000,000 European Style Index Put Warrants relating to the Hang Seng Index Introduction UBS AG (the Issuer )
More informationEurex Trader Examination
Eurex Trader Examination Question atalogue Eurex 2014 Printed in Germany. All proprietary rights and interest in this publication shall be vested in Eurex Administration and Management ( Eurex ) and all
More informationOnline Share Trading Currency Futures
Online Share Trading Currency Futures pic Currency Futures Introduction Currency futures contracts can be hard-working additions to any investor s or trader s portfolio. They provide a way to hedge the
More information