Category NEWS

Learn About Volatility Skew – Options Investing Basics

Learn About Volatility Skew BY MARK WOLFINGER Updated July 10, 2017 Volatility skew refers to fact that options on the same underlying asset, with different strike prices, but which expire at the same time, have a different implied volatility. When options first traded on an exchange, volatility skew was very different. Most of the time options that were out of […]

Managing Options Risk For Exotic Options

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MiFID II will ravage sales and trading jobs. Are you sure you’re ready?

by Sarah Butcher 31 July 2017 – If you work in a markets job in Europe, something dark and foreboding is lurking on the horizon. It seemed it would never arrive, but is now approaching with alarming alacrity: MiFID II will be implemented from January 2018. Everyone knows about the unbundling horror for equity research jobs. […]


YOU ROCKIN’ THE ZEIGARNIK EFFECT? “When you go to the effort to make a prioritized list of what you need to do the next day, you’re essentially opening a loop in your mind. As you sleep, your brain will automatically start preparing for the successful closing of those loops. It’s known as the ‘Zeigarnik Effect.’ […]


Summary of Key Guidelines Liquid Securities only 0% Exposure to Commodities 0% Exposure to Property / Real Estate 0% Exposure to Private Equity 0% Exposure to illiquid securities Risk Management VaR of a fund cannot exceed 20%, with 99% confidence level and 20 days holding period; minimum historical observation period of 1 year. Stress testing […]


tfe_dailyobservations-231116-2 Summary Global stock higher on back US records S. President-Elect is pledged to kill Trans-Pacific Partnership Fed rate hike priced at 100% by Bond Investors Sharp remainder of Stanley Fisher – 21 Nov 2016 Oil price near 1 month high on OPEC Dollar holds near 14 year high, gold maintains buyer interest Important calendar […]

TFE_WeeklyObservations (201116-1)

tfe_weeklyobservations-201116-1 Summary – November 8 to 20 US Presidential Election November 8, 2016 Stocks have stormed to record levels The rise in rates is very dangerous in equities as whole, not just in some sectors Traders interpreted President Elect Trump’s spending promises as economic growth and inflation booster, thus bond prices decreased with higher yields […]

10-Year Treasury Rises to 2% for First Time Since January

By Amey Stone Treasury yields continued to rocket higher Wednesday in the wake of Donald Trump’s presidential win. The yield on the benchmark 10-year note climbed above 2% for the first time since late January. As of 1 p.m. ET, it was 15 basis points higher than Tuesday’s close at 2.03%. A weak 10-year Treasury […]

U.S. Government-Bond Prices Fall on Trump Outlook

Yield on benchmark 10-year Treasury has biggest one-day increase since July 2013 By CAROLYN CUI and CHRISTOPHER WHITTALL Updated Nov. 9, 2016 3:54 p.m. ET 6 COMMENTS Government-bond prices tumbled Wednesday, sending the yield on the 10-year U.S. Treasury note above 2% for the first time in more than nine months, as investors rushed to […]

Prolonged low rates and low inflation did not have required impact 

The power of monatary policy tranmission has weekend post crisis and have failure suffisantly boost the economy. A prolonged period of low and negative interest rates may lead ti tighter credit conditions, but also make worse the trade-off between price and financial stability as higlighted back in january by former Bank of Governor, Christian Noyer. […]

Oil rebounds while rates collapse further…

Cooparative Saudi comments and OPEC talk plans in late September made oil to recover strongly.. The BoE cut rates and resumed QE in august, intensifiying the global search for yield. Global rates devlined further 10y yield falling below 1% and the UK 10y gilt rate deopping sharply. The BoJ dissoppointed markets on 29 july, leading […]

Fed rate hike probability at below 50% by end 2016

A Fed rate hike is jot priced by the markets :Fomc stays devided on the timing of next rate hike that we saw during the FOMC July meeting. #Points against a rate hike by end 2016 : -Inflation still low -elections -china growth decelerating 


BASEL III FOR DUMMIES! This Basel III for Dummies wouldn’t be possible without the kind assistance of Philippe Roca.  Readers’ Comments: “Though not a banking nor a treasury experienced professional, I have always had an interest in Basel Regulations, so thank you for sharing this!” “Interesting – good video and the debate is ongoing.” “A […]

Goldman’s Cohn defends bank’s trading business amid revenue slump

Goldman’s Cohn defends bank’s trading business amid revenue slump . View photo Gary D. Cohn, President and Chief Operating Officer, Goldman in Davos, Switzerland January 21, 2016. REUTERS/Ruben Sprich By Olivia Oran Related Stories Goldman Sachs (GS) Stock Gets Rating Upgrade at Oppenheimer Goldman CEO Blankfein says has ‘highly curable’ form of lymphoma Reuters […]

Trends in Structured Products

Trends in Structured Products Structured Products face a number of challenges in the current environment of tighter credit conditions and elevated volatility. As volatility has increased so too has the cost of derivatives. It is now more expensive to buy an option on an underlying asset than it was before the credit crunch. Another challenge […]

Yen Tanks, Here’s What To Expect Next Week

By Kathy Lien, Managing Director of FX Strategy for BK Asset Management. Thanks to the Bank of Japan, we’ve had a very exciting end to the first trading month of the year. 2016 started and ended with a bang after Japan’s central bank pulled out all of the stops by dropping interest rates below zero […]

Leveraged Products

Up to what date before expiry can I sell my warrant/Classic Turbo certificate? All products on equities and indices have their last stock exchange trading day three banking days before the valuation date. Commerzbank offers the opportunity in addition to continue trading the products OTC up to the valuation date. On the valuation date itself […]

Bond Trading 201: How To Trade The Interest Rate Curve

Bond Trading 201: Curve Trading How Traders Exploit Changes in the Shape of the Yield Curve In bond trading 102, we discussed how professional bond traders trade on expectations of changes in interest rates (referred to as “outrights”).   Bond traders also trade based on expected changes in the yield curve.  Changes in the shape of […]

The Greeks: Analyzing Risk for a Spread Position

You made a trade and are now short 5 put spreads. Analyze position risk, using the Greeks. Do you need an introduction to the Greeks? Table The Greeks: Sold 5 put spreads The numbers are per option GreekJul 75 PJul 80 P5-lot SpreadTheta 1.9 cents per day    2.6 cents per day      + 3.5 cents per day Delta -18 cents per point -33 short […]

How Bond Market Pricing Works

How Bond Market Pricing Works By Barry NielsenAAA |  The U.S. bond market is like the sport of baseball – you have to understand and appreciate the rules and strategies, or else it seems boring. It’s also like baseball in that its rules and pricing conventions have evolved over time, and they sometimes seem as […]

The Dollar’s Move Is More Dangerous Than You Think (

The Dollar’s Move Is More Dangerous Than You Think Michael Lewitt: With earnings season here, what’s lost in the “oohing and aahing” over the incoming results is a reasoned look at what’s influencing the dollar’s move and, more importantly, the effect it will have on our wallets, if not today, certainly down the road. Earnings and corporate reports are […]

The European Debt Crisis Visualized by Bloomberg

Understanding overall interest rate risk : Bond Portfolio Duration by Morningstar

Bond Portfolio Duration and the Flaw of Averages While a fund’s duration is useful, investors need to understand where the bonds sit on the yield curve to understand its impact. PrintCommentRecommend (3) By Thomas Boccellari | 04-22-15 | 06:00 AM | Email Article Interest-rate sensitivity, credit risk, and exposure to the yield curve are three of the biggest factors that […] // Barriers and Volatility

Barriers and Volatility Team Latte July 06, 2005 An interesting observation was made recently by one of our trader friends. He is a commodities options trader in one of the banks in the City and he has recently witnessed extreme non-linearity in the volatility of oil options. In the last few months the volume in […]

What volatility to use for pricing Barrier Options

What volatility to use for pricing Barrier Options Team Latte Dec 06, 2007 Recent high volatilities in the equity markets may have unsettled many a barrier option traders and investors holding structured products with knock-out and knock-in options. Volatility behaves in a non-linear way for barrier options. As the high actual (realized) volatilities start to […]

Invest With The Fed, By Brenda Jubin

On the back of a strong nonfarm payrolls number and a 5.5% unemployment rate U.S. markets sold off on Friday. Good news was once again bad news. The reasoning was that the Fed might start raising interest rates in June rather than September or even 2016 and that such an action would have a negative […]

How Much Influence Does The Fed Have? By Tim Keefe

How Much Influence Does The Fed Have? By Tim KeefeAAA |  The term monetary policy refers to the actions taken by a central bank to influence the price of credit to promote national economic goals. In the U.S., the Federal Reserve Act of 1913 gave the Federal Reserve responsibility for setting monetary policy. The Act […]

Evaluating Bond Funds: Keeping It Simple

Evaluating Bond Funds: Keeping It Simple By Investopedia StaffAAA |  Are you overwhelmed by the amount of information there is to analyze when evaluating a bond fund? Knowing what information is most important can be confusing regardless of whether you are looking at a research service like Morningstar or a mutual fund company’s website/prospectus. We’ll […]

Interest Rates And Your Bond Investments By David Harper

Most investors care about future interest rates, but none more than bondholders. If you are considering a bond or bond fund investment, you must ask yourself whether you think interest rates will rise in the future. If the answer is yes then you probably want to avoid long-term maturity bonds or at least shorten the […]

Understanding Bond Prices and Yields By Barry Nielsen, investopedia

Bond prices serve as a benchmark for many things, including interest rates, forecasts of future economic activity and future interest rates, and perhaps most importantly, they’re a smart component of a well managed and diversified investment portfolio. Understanding bond prices and yields can help any investor in any market, including equities. In this article we’ll […]

Institute of Trading and Portfolio Management – University Tour 2013

Maitriser les turbos et les warrants

Maitriser les turbos et les warrants Apprendre la bourse25/01/2012 à 13h46 Les warrants et les turbos sont des titres financiers émis par des banques qui en assurent la liquidité. Les principaux émetteurs sont société Générale, BNP Paribas, Commerzbank, RBS et Barcalys. Ces produits sont cotés en continu dans un compartiment dédié par Euronext Paris. Ils […]

Advanced Bond Concepts: Term Structure of Interest Rates

The term structure of interest rates, also known as the yield curve, is a very common bond valuation method. Constructed by graphing the yield to maturities and the respective maturity dates of benchmark fixed-income securities, the yield curve is a measure of the market’s expectations of future interest rates given the current market conditions. Treasuries, […]

Advanced Bond Concepts: Conclusion

Bonds vary according to characteristics such as the type of issuer, priority,coupon rate, and redemption features. Bond prices may be either dirty or clean, depending on when the last coupon payment was made and how much interest has been accrued. Yield is a measure of the income an investor receives if he or she holds […]

How The U.S. Government Formulates Monetary Policy

How The U.S. Government Formulates Monetary Policy By Reem HeakalAAA |  A monetary policy is the means by which a central bank (also known as the “bank’s bank” or the “bank of last resort”) influences the demand, supply and, hence, price of money and credit, in order to direct a nation’s economic objectives. Following the […]


DEFINITION OF ‘CONVEXITY’ A measure of the curvature in the relationship between bond prices and bond yields that demonstrates how the duration of a bond changes as the interest rate changes. Convexity is used as a risk-management tool, and helps to measure and manage the amount of market risk to which a portfolio of bonds […]

Bond Yield Curve Holds Predictive Powers

Bond Yield Curve Holds Predictive Powers By Barry NielsenAAA |  If you invest in equities, you should keep an eye on the bond market. If you invest in real estate, you should keep an eye on the bond market. If you invest in bonds, you should definitely keep an eye on the bond market! The […] // Mandarine Gestion optimiste pour les actions européennes

Mandarine Gestion optimiste pour les actions européennes La baisse du pétrole et de l’euro soutiendront les profits des entreprises du Vieux continent, estiment ses gérants. Valerio Baselli16.01.2015     Pour les gérants de Mandarine Gestion, en 2015 le leadership américain va se renforcer. La chute du pétrole et le recul de l’euro profiteront aux résultats des […]

3 Factors That Drive The U.S. Dollar

When it comes to the decision of whether you should buy or sell dollars, it all boils down to how the economy is performing. A strong economy will attract investment from all over the world due to the perceived safety and the ability to achieve an acceptable rate of return on investment. Investors always seek […]

2015: perspectives et stratégie d’investissement en Bourse

Pour débuter l’année, nous avons regroupé un ensemble d’analyses et de commentaires de gérants, de courtiers ainsi que les vues de Morningstar. 2015, l’année du retour de la volatilité Brokers et sociétés de gestion s’attendent à un regain de volatilité cette année, sur fond de divergence des cycles économiques et des réponses en matière de […]