I've recently been tasked with working more with more fixed-income derivatives, so I'm writing this more as a refresher for myself, but I've always guaged how well I know something based on how well I'm able to teach others.
Recall that the Black-Scholes price of a European-style call option is
\[ \begin{equation} \begin{aligned} C & = S\Phi(d_1)-Ke^{-rT}\Phi(d_2),\\ d_1 & = \frac{1}{\sigma\sqrt{T}}[log(S/K)+[r+(1/2)\sigma^2]T],\\ d_2 & = d_1-\sigma\sqrt{T}, \end{aligned} \end{equation} \]
where $\Phi(x)$ is the cumulative distribution function (CDF) of the standard normal distribution:
One of the most bizarre David vs. Goliath scenarios in modern finance, by far, belongs to the retail investors from Reddit's r/WallStreetBets versus Hedge Fund space. The story became such a fad that it garnered the attention of Treasury Secretary Janet Yellen and the SEC. With the democratization of finance, everyone can invest in markets once thought unobtainable to the common man.
r/WallStreetBets vs. Wall Street Hedge Funds The mania revolves around the most shorted stocks, shorted by hedge funds that hoped to make a killing when those stocks collapse.
The post about what Libra is; most of all, what it not.
Most people are very conscious shoppers. Some people are attracted to the brands; others may be attracted to the bargains. Then others are motivated by the social aspects of a firm and how certain businesses strive to make a positive impact on our society. To a certain extent, we all like Corporate Brands to make positive contributions towards environmental, social, and corporate governance (ESG). For the brands that fall short of their “Corporate Responsibility,” there’s always #CancelCulture.
The following is an general overview of vanilla options partial sensitivities (option greeks). This series will be a continuation of the project Option Payoffs, Black-Scholes, and the Greeks. We've already outlined the necessary terms for understanding Options and the Greeks here. In this post, I will be covering the first greek: Detla ($\Delta$).
The delta of an option, $\Delta$, is defined as the rate of change of the option price respected to the rate of change of the underlying asset price:
Elon Musk's battle against the media sheds new light on the growing distrust on the defenders of democracy.
Tesla’s 5.3% bonds due in 2025 would be five or six percentage points wider if they traded along regression of B3 and Caa1 rated automotive and industrial bonds, which is worse than the base-case scenario of two or three points wider using a 33% chance the bonds get downgraded by S&P. Technicals have been supported by active buying from T Rowe Price in 1Q, which combined with Franklin Resources owns about 28% of the total issue.
While demand for US Treasuries remains brisk at primary auctions, the same can hardly be said for the short-end of the market, where moments ago we saw what happens to auction demand in a time of rapidly rising rates.
As shown in the chart above, while the yield on the 3 month Bills auctioned off today came in largely as expected at 1.94%, the demand did not, and after an already depressed Bid-to-Cover ratio of 2.