Market Recap 05/05/2019

US On Wednesday, following the FED committee’s meeting, Jerome Powell announced that the US central bank is leaving interest rates unchanged by saying that “we don’t see a strong case for moving (interest rates) in either direction”. Although the United States showed an impressive GDP growth in the first quarter of 2019, investors were expecting […]

Greexotics – A First Step in the Land of Exotic Derivatives Greeks – Part 2

Following the first article of the series in which we analyzed the greeks of a Binary option, in this second part of the series we would like to introduce Asian options and their greeks. Asian options are part of a broader macro-class of exotic derivatives named Path Dependent Derivatives; in fact exos can be divided […]

Wind of change: VIX futures strategies

Introduction 2018 will be remembered by many investors as a difficult year. In sharp contrast to 2017, when S&P500 was performing spectacularly (+19.4% YoY), 2018 brought a bitter disappointment to many. Not only in terms of absolute performance (-7% YoY), driven heavily by the impressive sell-off in the last quarter of the year, but also […]

Market Recap 28/04/2019

US During the trading week S&P500 and Nasdaq have increased their market value while the Dow Jones 30 has been quite steady. The S&P500 has closed the week at 2940, increasing by 1%, while the Nasdaq, in the same period, moved from 7980 to 8148, rising by 2.1%. The Dow Jones has been steady around […]

The Rising Sun Shadow over Europe: is the fear of European Japanification real

Intro Recently, fears for an “European Japanification” have regained popularity due to raising concerns about the growth’s slowdown and similar underlying long-term dynamics of the two economies. In this article we aim to walk through Japan’s “Lost Decades”, and the following Bank of Japan’s response to figure out monetary tools, beyond central bank traditional repertoire, […]

Indian Election 2019 – World’s Biggest Parliamentary Exercise And What’s In It For You

India, the world’s largest democracy with 900 million eligible voters, is currently engaged in one of the most complex voting exercises around the modern democratic world. The sheer logistics of the largest election on earth is, naturally complex; the election is being held in 7 phases, spanning from 11th April to 19th May with the […]

Market Recap 14/04/2019

US This week, the two major economic data that we see important at the US are: the monthly CPI which was recorded as 0,1% ,slightly below the 0,2% expectations, and the monthly PPI which was recorded as 0,6% , beating the 0,6% expectations. Next week retail sales and Philadelphia FED’s Manufacturing Index will be released […]

Dark Pools: Fifty Shades of Trade

“Make all the trades through the dark pools so it masks what we’re doing. That way we’ll preserve our head start, which will not be a long one.” This is how Bobby Axelrod instructs his traders to get rid of his natural gas positions in the latest episode of the famous TV series, Billions. Dark […]

Greexotics – A first step in the land of exotic derivatives greeks – Part 1

How does the Delta of a lookback option behave? What is Cross-Gamma? Is the Vega of a digital option ever negative? And furthermore, how do these exotic greeks (“greexotics) evolve as time passes and implied volatility changes? In this series of articles, we would like to give the reader a brief but comprehensive answer to […]

Market Recap 07/04/2019

US With the beginning of the earnings season this week FactSet reported that in the first quarter analyst lowered earnings-per-share estimates by 7.2%, the largest decline since 2016 Q1. One of their main fears is that the record rise in wages which has outpaced the PCE for the previous quarters, may lead to lower margins […]

Advanced ETF Mechanics and Its Flaws

In this article we will skip the introduction of the very fundamental characteristics of ETFs and focus on the more advanced mechanics, here meaning the different replication methods accompanied by a glance at current developments in the respective section. With an understanding of these more advanced mechanics, we will then seek to stress two major […]

How to Trade Football Clubs: A Case Study on Juventus

In this article we analyze how to set up trading strategies on listed football clubs exploiting the peculiar behaviour of returns and implied volatility in correspondence to UEFA Champions League matches. In particular, this article is structured in four parts. In the first part, we briefly introduce the link between revenues of clubs and the […]

Market Recap 30/03/2018

US S&P closed the week at 2,834, up 0.7% during the day and marks its best performing quarter in the last 10 years being up 14% from December. On Friday, DJIA closed 0.8% higher at 25,929. The Nasdaq Composite climbed 0.8% to close at 7,729. 10-year Treasuries ended the week at around 2.406%. US stock […]

1000%: Liquidity Crunch in the Turkish Swap Market. What future for the Lira?

History of Turkey’s crisis Over the course of its history, Turkey has been continuously striving towards beneficial economic relations with Europe. Turkey became an associate member of the European Economic Community in 1963, and later joined the Customs Union in 1995. As a result of a period of very high growth and sound managing of […]

Reasoning why the DAX is the lame duck

As one may have noticed, over the not so recent past the German benchmark index DAX has trailed its major European country equity indices. An investor who invested four years ago in the DAX would have lost about 4% while the French CAC 40 returned 21%. With Germany as so often being referred to as […]

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