Greeks
d Premium / d Spot
What is Delta?
This gives you the option to buy spot a future time at a pre-agreed level
What is a vanilla call?
This is measures the difference in volatility between a same delta call and put
What is risk reversal?
This is when sales sends a price
What is a client RFQ?
This is a key piece of US employment that is typically released the first Friday of every month
What is non-farm payrolls?
d Delta / d Spot
What is Gamma?
This structure allows you to benefit from a directional move lower in spot, but with capped upside.
What is a vanilla put spread? (or seagull)
This measures the convexity of the volatility smile curve
What is fly?
This is what it's called when a trader offsets their risk
What is a hedge?
This is what the FOMC stands for
What is the Federal Open Market Committee?
d Premium / d Risk Reversal
What is Rega?
This binary structure pays 0 or 100% at expiry
One of these option frameworks assumes constant volatility across all strikes while the other doesn't
What is Black-Scholes vs Smile?
These middlemen facilitate trades between us and other banks
What are brokers?
This is the market's preferred gauge of inflation
What is CPI?
d Vega / d Vol
What is Volga?
This structure benefits on a move higher in spot as long as it doesn't expire above a pre-specified level, where the structure would expire worthless
What is an ERKO (topside)?
This is a way to determine if the risk reversal is performing or not
What is spot-vol correlation?
This marketing strategy allows us to recycle with clients risk that traders have on the books
What is an axe?
This measure of price change is the Fed's preferred measure of inflation?
What is PCE?
d Delta / d Vol
What is Vanna?
This structure pays out 0 or 100% depending on if spot touches a pre-agreed level at any point during a specific time frame, which is shorter in duration than the tenor of the binary option
What is a window digital?
In addition to vol gamma, this is a characteristic you get from buying a vanilla butterfly
What is riski gamma?
This is what we use to mark the curves higher for important times or days
What is an event weight?
This US rates spread can be a key predictor of a possible recession?
What is 2s/10s treasuries inversion?