At the end of December 2016 the European Repo market experienced an unprecedented level of volatility and dislocation, raising worries over the stability of the whole European Money market. During the trading day of December 28th the repo-rate for specials of several ‘core’ government bonds (including Germany, France, Belgium, Netherland and Austria) tightened to record-low […]
Since the last financial crisis much has been said, both by the specialized and public press, on the nature of derivatives and their role in the latest global financial meltdown. Actually, their diffusion and broad usage is much older than commonly thought. The oldest known transaction, in terms of actual features similar to an option […]
The aim of this article is to explain the main idea behind the concept of volatility arbitrage by using Delta neutral portfolios composed by a combined position in a derivative instrument sensible to changes in (expected) volatility of the underlying, in our case an option contract, and in the underlying itself, in our case a […]
What is the current market view on Gold? How are positioned the largest speculators in Oil? This article tries to exploit all these information thanks to a useful tool, known as the ‘Commitment Of Traders’ report. The main goal is to develop a passive trading strategy based on what the ‘Sharks’ are currently doing in the market, […]
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