FICC Market‑Making Desks: Then vs. Now
FICC market-making desks in large investment banks operate in principle similarly than 20 years ago.
Ondrej's Quant Blog
Blog about Trading, Quantitative Analytics and Financial Modelling.
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The end of forward guidance ?
The FED is heading into its second Federal Open Market Committee meeting since Kevin Warsh took office on May 22nd.
What is happening in Switzerland and what it means for macro traders ?
Since the war in Ukraine began in 2022, bond yields in major Western economies have generally been rising.
On USD/JPY "skewness"
💹 On Thursday, 30 April, the Japanese Yen surged from 160 to 156 against the dollar within just three hours during Tokyo's evening session (Fig 1).
On Hong Kong bonds
When arbitrage looks too good to be true
On Iran war and oil insider dealing
This week, the Financial Times published an article on traders placing $580 million in oil bets ahead of President Trump’s social media post about Iran talks.
Trump vs Powell conflict and the "Prisoner's dilemma"
I recently became interested in the game theory and came across a very intriguing 1982 paper written by game theorist Alan Blinder, discussing struggles between Reagan’s administration and the FED.
On bootstrapping the yield curve "backwards"
Have you ever come across the idea of bootstrapping a yield curve backwards?
On "euro peripherals" trading strategy
Have you ever considered shorting German bonds while buying Spanish or Portuguese to capture the yield difference?
On Sticky Delta and Sticky Strike
Do you know why traders quote option prices using implied vol rather than in the actual dollar terms ?