19 Feb 2025
Greeks – Gamma: a crucial measure to rebalance delta hedging
In this article, we look at the role Gamma to understand how to re-hedge positions in relation to the rate at which Delta changes in relation to the underlying.
22 Jan 2025
Greeks – Delta: the put/call parity rule
As the launch of the SRP Greeks solution approaches, we dive deep into the various risk characteristics that the option positions in structured products are exposed to.
25 Sep 2024
Greeks aggregation: the value of calculating total risk
Looking at the aggregated risk of large portfolios provides valuable insight into trading distortions and opportunities that may not be immediately obvious by simply tracking issuance trends.
12 Jan 2022
Hedging structured products: pricing considerations
The hedging process is one of the most important aspects of creating structured products.
26 Mar 2021
Pharma in structured products (part 5) - option trading strategies and delta hedging
The next section of our analysis focuses on call butterfly, iron condor, bull call spread and bear put Spread option strategies and how adequately their profit potential has been realised in the case of Teva Pharmaceutical (Teva), BioMarin Pharmaceutical (BMRN), HCA Healthcare (HCA), Merck (MRK), and Fresenius Medical Care (FMS).