An Introduction to Warrants
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On the Optionality and Fairness of Atomic Swaps
On the optionality and fairness of Atomic Swaps Runchao Han Haoyu Lin Jiangshan Yu Monash University and CSIRO-Data61 [email protected] Monash University [email protected] [email protected] ABSTRACT happened on centralised exchanges. To date, the DEX market volume Atomic Swap enables two parties to atomically exchange their own has reached approximately 50,000 ETH [2]. More specifically, there cryptocurrencies without trusted third parties. This paper provides are more than 250 DEXes [3], more than 30 DEX protocols [4], and the first quantitative analysis on the fairness of the Atomic Swap more than 4,000 active traders in all DEXes [2]. protocol, and proposes the first fair Atomic Swap protocol with However, being atomic does not indicate the Atomic Swap is fair. implementations. In an Atomic Swap, the swap initiator can decide whether to proceed In particular, we model the Atomic Swap as the American Call or abort the swap, and the default maximum time for him to decide is Option, and prove that an Atomic Swap is equivalent to an Amer- 24 hours [5]. This enables the the swap initiator to speculate without ican Call Option without the premium. Thus, the Atomic Swap is any penalty. More specifically, the swap initiator can keep waiting unfair to the swap participant. Then, we quantify the fairness of before the timelock expires. If the price of the swap participant’s the Atomic Swap and compare it with that of conventional financial asset rises, the swap initiator will proceed the swap so that he will assets (stocks and fiat currencies). -
Schedule of Product and Service Risk Disclosures Is for Use by 1
Schedule of Product and Service Risk PART II: : PRODUCTS AND INVESTMENTS Disclosures Set out below is an outline of the major categories of risk that may be PART I: INTRODUCTION associated with certain generic types of Financial Instruments, which should be read in conjunction with Parts III and IV. This Schedule of Product and Service Risk Disclosures is for use by 1. SHARES AND OTHER TYPES OF EQUITY INSTRUMENTS professional clients of the following J.P. Morgan companies only and must not be relied on by anyone else. The companies are: J.P. Morgan Europe Limited, 1.1 General JPMorgan Chase Bank, National Association, J.P. Morgan Limited, J.P. Morgan Securities plc (“JPMS plc”), J.P. Morgan Markets Limited, A risk with an equity investment is that the company must both grow in value J.P. Morgan AG and J.P. Morgan Dublin plc, these companies being referred and, if it elects to pay dividends to its shareholders, make adequate dividend to collectively or, as the context may require, individually, as “J.P. Morgan” payments, or the share price may fall. If the share price falls, the company, if and to any “Affiliate” of J.P. Morgan being direct or indirect subsidiaries of listed or traded on-exchange, may then find it difficult to raise further capital to J.P. Morgan and the direct or indirect subsidiaries of J.P. Morgan’s direct or finance the business, and the company’s performance may deteriorate vis a indirect holding companies from time to time, any entity directly or indirectly vis its competitors, leading to further reductions in the share price. -
OPTION-BASED EQUITY STRATEGIES Roberto Obregon
MEKETA INVESTMENT GROUP BOSTON MA CHICAGO IL MIAMI FL PORTLAND OR SAN DIEGO CA LONDON UK OPTION-BASED EQUITY STRATEGIES Roberto Obregon MEKETA INVESTMENT GROUP 100 Lowder Brook Drive, Suite 1100 Westwood, MA 02090 meketagroup.com February 2018 MEKETA INVESTMENT GROUP 100 LOWDER BROOK DRIVE SUITE 1100 WESTWOOD MA 02090 781 471 3500 fax 781 471 3411 www.meketagroup.com MEKETA INVESTMENT GROUP OPTION-BASED EQUITY STRATEGIES ABSTRACT Options are derivatives contracts that provide investors the flexibility of constructing expected payoffs for their investment strategies. Option-based equity strategies incorporate the use of options with long positions in equities to achieve objectives such as drawdown protection and higher income. While the range of strategies available is wide, most strategies can be classified as insurance buying (net long options/volatility) or insurance selling (net short options/volatility). The existence of the Volatility Risk Premium, a market anomaly that causes put options to be overpriced relative to what an efficient pricing model expects, has led to an empirical outperformance of insurance selling strategies relative to insurance buying strategies. This paper explores whether, and to what extent, option-based equity strategies should be considered within the long-only equity investing toolkit, given that equity risk is still the main driver of returns for most of these strategies. It is important to note that while option-based strategies seek to design favorable payoffs, all such strategies involve trade-offs between expected payoffs and cost. BACKGROUND Options are derivatives1 contracts that give the holder the right, but not the obligation, to buy or sell an asset at a given point in time and at a pre-determined price. -
Global Energy Markets & Pricing
11-FEB-20 GLOBAL ENERGY MARKETS & PRICING www.energytraining.ae 21 - 25 Sep 2020, London GLOBAL ENERGY MARKETS & PRICING INTRODUCTION OBJECTIVES This 5-day accelerated Global Energy Markets & Pricing training By the end of this training course, the participants will be course is designed to give delegates a comprehensive picture able to: of the global energy obtained through fossil fuels and renewal sources. The overall dynamics of global energy industry are • Gain broad perspective of global oil and refined explained with the supply-demand dynamics of fossil fuels, products sales business, supply, transportation, refining, their price volatility, and the associated geopolitics. marketing & trading • Boost their understanding on the fundamentals of oil The energy sources include crude oil, natural gas, LNG, refined business: quality, blending & valuation of crude oil for products, and renewables – solar, wind, hydro, and nuclear trade, freight and netback calculations, refinery margins energy. The focus on the issues to be considered on the calculations, & vessel chartering sales, marketing, trading and special focus on the price risk • Master the Total barrel economics, Oil market futures, management. hedging and futures, and price risk management • Evaluate the technical, commercial, legal and trading In this training course, the participants will gain the aspects of oil business with the International, US, UK, technical knowledge and business acumen on the key and Singapore regulations subjects: • Confidently discuss the technical, -
Covered Warrants and Leverage Certificates Sedex
SeDeX Covered Warrants and Leverage Certificates SeDeX “Leverage Foreword products increase the potential Covered Warrants and Leverage Certificates are the Leverage effect two categories of securitised derivatives listed on the Leverage effect amplifies both SeDeX that are characterised by the presence of underlying rises leverage effect. This is the mechanism whereby investors – through a and falls derivative – are able to control a certain underlying by performance Instruments with leverage effect allow investors investing just a small part of the capital needed to acquire the opportunity to participate in the performance of possession thereof. In this way, whenever a change occurs the underlying asset to an extent that is more than in the value of the underlying, the percentage variations of proportional to the changes in the underlying, an instrument with leverage effect are greater than those and in so doing to enhance the potential yield pertaining to a direct investment in the underlying. of the portfolio.” of their portfolio. These instruments are suitable for experienced investors who understand their working mechanisms and who use them to make targeted investments in underlyings that are expected to generate a profit. “Leverage products Easy to access, simple to use can be traded Covered Warrants and Leverage Certificates can be easily purchased and sold, just like shares, at any time during the for very small continuous trading phase of the SeDeX market. It is therefore quick and easy for investors to constantly amounts.” monitor their investments. Investments in leverage products can be made even for very small amounts and without the need to apply the margin deposit payment system. -
Options Strategy Guide for Metals Products As the World’S Largest and Most Diverse Derivatives Marketplace, CME Group Is Where the World Comes to Manage Risk
metals products Options Strategy Guide for Metals Products As the world’s largest and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges – CME, CBOT, NYMEX and COMEX – offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through its CME Globex electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk in both listed and over-the-counter derivatives markets. Options Strategy Guide for Metals Products The Metals Risk Management Marketplace Because metals markets are highly responsive to overarching global economic The hypothetical trades that follow look at market position, market objective, and geopolitical influences, they present a unique risk management tool profit/loss potential, deltas and other information associated with the 12 for commercial and institutional firms as well as a unique, exciting and strategies. The trading examples use our Gold, Silver -
Analysis of the Trading Book Hypothetical Portfolio Exercise
Basel Committee on Banking Supervision Analysis of the trading book hypothetical portfolio exercise September 2014 This publication is available on the BIS website (www.bis.org). Grey underlined text in this publication shows where hyperlinks are available in the electronic version. © Bank for International Settlements 2014. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISBN 978-92-9131-662-5 (print) ISBN 978-92-9131-668-7 (online) Contents Executive summary ........................................................................................................................................................................... 1 1. Hypothetical portfolio exercise description ......................................................................................................... 4 2. Coverage statistics .......................................................................................................................................................... 5 3. Key findings ....................................................................................................................................................................... 5 4. Technical background ................................................................................................................................................... 6 4.1 Data quality ............................................................................................................................................................. -
American Style Stock Options
AMERICAN STYLE OPTIONS ON EQUITY - CONTRACT SPECIFICATIONS – 100 SHARES OPTION STYLE American style, which can be exercised at any time. UNDERLYING Well-capitalized equity securities. INSTRUMENT CONTRACT SIZE Apart from exceptions or temporary adjustments for corporate actions, an equity option contract generally relates to 100 shares of the underlying equity security. The Contract Value is equal to the quoted option price in Euro multiplied by the number of underlying shares. MINIMUM The tick size of the premium quotation is equal to € 0.01 (€ 1 per contract). PRICE MOVEMENT (TICK SIZE AND VALUE) EXPIRY Euronext Paris will publish a list with the number of maturities listed per option class. The MONTHS option classes will be divided in 4 different groups. ■ Group I: 3 monthly, the following 3 quarterly, the following 4 half yearly and the following 2 yearly maturities are opened. Cycle Expiry Months Cycle Lifetime (Months) Monthly Every Month 1; 2; 3 Quarterly March, June, September, December 6; 9; 12 GROUP 1 Half-Yearly June, December 18; 24; 30; 36 Yearly December 48; 60 ■ Group II: 3 monthly, the following 3 quarterly and the following 2 half yearly maturities are opened. Cycle Expiry Months Cycle Lifetime (Months) Monthly Every Month 1; 2; 3 Quarterly March, June, September, December 6; 9; 12 GROUP 2 Half-Yearly June, December 18; 24 ■ Group III: 3 monthly and the following 3 quarterly maturities are opened. 3 Cycle Expiry Months Cycle Lifetime (Months) Monthly Every Month 1; 2; 3 GROUP Quarterly March, June, September, December 6; 9; 12 www.euronext.com AMERICAN STYLE OPTIONS ON EQUITY - CONTRACT SPECIFICATIONS – 100 SHARES ■ Group IV: 4 quarterly maturities are opened. -
1. BGC Derivative Markets, L.P. Contract Specifications
1. BGC Derivative Markets, L.P. Contract Specifications ......................................................................................................................................2 1.1 Product Descriptions ..................................................................................................................................................................................2 1.1.1 Mandatorily Cleared CEA 2(h)(1) Products as of 2nd October 2013 .............................................................................................2 1.1.2 Made Available to Trade CEA 2(h)(8) Products ..............................................................................................................................5 1.1.3 Interest Rate Swaps .........................................................................................................................................................................7 1.1.4 Commodities.....................................................................................................................................................................................27 1.1.5 Credit Derivatives .............................................................................................................................................................................30 1.1.6 Equity Derivatives .............................................................................................................................................................................37 1.1.6.1 Equity Index -
Option Strategies for Novice Tra
PREFACE Dear trader, When Questrade introduced multi-leg options strategies into our IQ trading platforms, the whole team was pretty excited. One of our clients was thrilled too. He said “stocks compared to options are like driving an automatic compared to a six-speed stick shift. With stocks (and automatics), you have a destination and you point and steer. With options, you are continually evaluating and adjusting your approach, shifting up or down according to market activity. It can be exciting, but it can also be quite sedate.” We’ve seen a range of clients embrace options trading. Our active traders were clearly the first on board. Slowly we’ve seen more of our buy-and-hold investors testing the more basic strategies. They were happily reaching their goals with stocks, ETFs, mutual funds and bonds. But they wanted more options. Which brings us to this book, option strategies for novice traders. This is the first of three options ebooks, and will demystify the security for anyone ready to get started with fundamental strategies. We cover option types and important terminology, the four best strategies for novices, the market outlook of each, payoff diagrams, and how to set up your strategies. Enjoy the read. Edward Kholodenko President & CEO, Questrade, Inc. The contents of this eBook are for informational purposes only, and are not intended to provide any specific financial advice or guidance. CHAPTER 1 INTRODUCTION TO OPTIONS An option is a contract between two market participants that gives the option holder the right, but not the obligation, to buy or sell a specified number of shares at a fixed price up to the option expiration date. -
Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market
Is warrant really a derivative? Evidence from the Chinese warrant market Eric C. Chang School of Economics and Finance The University of Hong Kong Pokfulam Road, Hong Kong Email: [email protected] Xingguo Luo School of Economics and Finance The University of Hong Kong Pokfulam Road, Hong Kong Email: [email protected] Lei Shi HSBC School of Business Peking University University Town, Shenzhen, P. R. China Email: [email protected] Jin E. Zhang1 School of Economics and Finance The University of Hong Kong Pokfulam Road, Hong Kong Email: [email protected] First Version: January 2008 This Version: January 2012 Keywords: Warrants; the Chinese warrant market; Option pricing model JEL Classification Code: G13 1 Corresponding author, Tel: (852) 2859 1033, Fax: (852) 2548 1152. The authors would like to acknowledge helpful comments and suggestions from Charles Cao, Dengshi Huang, Hao Wang and seminar participants at Hai Nan University, South China Normal University, Peking University, 2009 China International Conference in Finance (CICF 2009) in Guangzhou, and 2011 HKU-HKUST-Stanford Conference in Quantitative Finance in Hong Kong. Jin E. Zhang has been supported by a grant from the Research Grants Council of the Hong Kong Special Administrative Region, China (Project No. HKU 7549/09H). Is warrant really a derivative? Evidence from the Chinese warrant market Abstract This paper studies the Chinese warrant market that has been developed since August 2005. Empirical evidence shows that the market prices of warrants are much higher systematically than the Black-Scholes prices with historical volatility. The prices of a warrant and its underlying asset do not support the monotonicity, perfect correlation and option redundancy properties. -
Intraday Volatility Surface Calibration
INTRADAY VOLATILITY SURFACE CALIBRATION Master Thesis Tobias Blomé & Adam Törnqvist Master thesis, 30 credits Department of Mathematics and Mathematical Statistics Spring Term 2020 Intraday volatility surface calibration Adam T¨ornqvist,[email protected] Tobias Blom´e,[email protected] c Copyright by Adam T¨ornqvist and Tobias Blom´e,2020 Supervisors: Jonas Nyl´en Nasdaq Oskar Janson Nasdaq Xijia Liu Department of Mathematics and Mathematical Statistics Examiner: Natalya Pya Arnqvist Department of Mathematics and Mathematical Statistics Master of Science Thesis in Industrial Engineering and Management, 30 ECTS Department of Mathematics and Mathematical Statistics Ume˚aUniversity SE-901 87 Ume˚a,Sweden i Abstract On the financial markets, investors search to achieve their economical goals while simultaneously being exposed to minimal risk. Volatility surfaces are used for estimating options' implied volatilities and corresponding option prices, which are used for various risk calculations. Currently, volatility surfaces are constructed based on yesterday's market in- formation and are used for estimating options' implied volatilities today. Such a construction gets redundant very fast during periods of high volatility, which leads to inaccurate risk calculations. With an aim to reduce volatility surfaces' estimation errors, this thesis explores the possibilities of calibrating volatility surfaces intraday using incomplete mar- ket information. Through statistical analysis of the volatility surfaces' historical movements, characteristics are identified showing sections with resembling mo- tion patterns. These insights are used to adjust the volatility surfaces intraday. The results of this thesis show that calibrating the volatility surfaces intraday can reduce the estimation errors significantly during periods of both high and low volatility.