$10B+ market global
AutocallablesMulti
$10B+ autocallable issuance global
Source: encyclopedia
2020 div crash COVID
Dividend SwapsShort
2020 div swap collapse on COVID cuts
Source: encyclopedia
Archegos 2021 TRS blowup
Total Return SwapsShort
Archegos $20B TRS blowup March 2021
Source: encyclopedia
Argentina sovereign CDS
CDS DeepMulti
Argentina sovereign CDS multiple defaults
Source: encyclopedia
Auction settlement
CDS DeepMulti
Auction settlement post-event
Source: encyclopedia
Autocallable structured products
AutocallablesMulti
Autocallable - early redemption if barrier
Source: encyclopedia
Average pairwise correlation
Correlation TradingMulti
Avg pairwise correlation realized vs strike
Source: encyclopedia
Average price options
Asian OptionsMulti
Asian options - avg price payoff
Source: encyclopedia
Banks short corr from worst-of
Correlation TradingShort
Banks short corr from worst-of options
Source: Arxiv
Banks short div dispersion
Dividend SwapsShort
Banks short div from autocallables
Source: encyclopedia
Big Bang Protocol 2009
CDS DeepMulti
2009 Big Bang Protocol standardization
Source: encyclopedia
Bill Hwang Sect Capital
Total Return SwapsMulti
Bill Hwang Archegos founder
Source: encyclopedia
Bond TRS portfolio synthetic
Total Return SwapsMulti
Bond TRS for synthetic portfolio
Source: encyclopedia
CDS basis arb
CDS DeepMulti
CDS basis = bond yield - CDS spread
Source: encyclopedia
CDS skew curve trade
CDS DeepMulti
CDS curve trades - flatten/steepen
Source: encyclopedia
CDX HY high yield
CDS DeepMulti
CDX HY high yield index
Source: encyclopedia
CDX index NA IG
CDS DeepMulti
CDX NA IG investment grade index
Source: encyclopedia
Capitalize on corr decline
DispersionLong
Long dispersion = bet on falling corr
Source: Numerix
Carry trade vehicle
Power Reverse DualMulti
PRDC for carry trade leverage
Source: encyclopedia
Cliquet ratchet options
CliquetMulti
Cliquet - locked-in periodic resets
Source: encyclopedia
Composite quanto
QuantosMulti
Composite quanto FX exposure
Source: encyclopedia
Conditional var swap
Variance SwapsMulti
Conditional var swap - barrier-conditional
Source: Wiki
Correlation = portfolio var / Σ comp var
Correlation TradingMulti
Realized corr = ratio of variances
Source: Arxiv
Correlation swap pure
Correlation TradingMulti
Correlation swap pure correlation exposure
Source: Quantpedia
Corridor var swap
Variance SwapsMulti
Corridor var swap - within range
Source: Wiki
Credit Suisse $5.5B Archegos
Total Return SwapsShort
Credit Suisse $5.5B loss from Archegos
Source: encyclopedia
Credit event types
CDS DeepMulti
Bankruptcy + failure to pay + restructuring
Source: encyclopedia
Dispersion trade short index var
DispersionMulti
Short index var + long components var
Source: Numerix
Dividend swap on index
Dividend SwapsMulti
Dividend swap - bet on realized div level
Source: encyclopedia
Equity TRS most common
Total Return SwapsMulti
Equity TRS most common type
Source: encyclopedia
Eurex Stoxx 50 div futures
Dividend SwapsMulti
Eurex Euro Stoxx 50 dividend futures
Source: encyclopedia
Everest options + Himalayas
Correlation TradingMulti
Everest + Himalaya structured worst-of
Source: Arxiv
Floating strike
LookbackMulti
Floating strike lookback
Source: encyclopedia
Forward-start option later strike
Forward-StartMulti
Forward-start - strike set later
Source: encyclopedia
Forward-start sequence
CliquetMulti
Sequence of forward-start options
Source: encyclopedia
Forward-start var swap
Variance SwapsMulti
Forward-start var swap
Source: Wiki
Funded TRS
Total Return SwapsMulti
Funded TRS - upfront payment
Source: encyclopedia
Gamma flat strategy
DispersionMulti
Gamma-flat dispersion using gamma swaps
Source: Arxiv
Gamma swap
Variance SwapsMulti
Gamma swap - price-weighted variance
Source: Wiki
ISDA Determinations Committee
CDS DeepMulti
ISDA DC determines credit events
Source: encyclopedia
Implied vs realized spread
Correlation TradingMulti
Implied corr trades rich vs realized
Source: Quantpedia
Index < avg components vol
DispersionMulti
Index vol < avg components (corr <1)
Source: Numerix
Index TRS
Total Return SwapsMulti
Index TRS exposure
Source: encyclopedia
Index vs single-name
CDS DeepMulti
Index vs single-name dispersion CDS
Source: encyclopedia
JPMorgan London Whale 2012
CDS DeepShort
JPMorgan London Whale CDX trade $6B loss
Source: encyclopedia
KO Knock-Out auto
AutocallablesMulti
KO knock-out at upper barrier
Source: encyclopedia
LCDS loan CDS
CDS DeepMulti
LCDS loan-only credit default swap
Source: encyclopedia
LTCM 1998 var swap loss
Variance SwapsShort
LTCM was short variance via short straddles
Source: encyclopedia
Long div swap value
Dividend SwapsLong
Long div swap when div trades cheap
Source: encyclopedia
Long stock dispersion 2024-25
DispersionLong
Single-stock vol > index vol = long dispersion
Source: Numerix
Lookback option full path
LookbackMulti
Lookback - max/min over period
Source: encyclopedia
Lower premium than vanilla
Asian OptionsMulti
Asian < vanilla premium (lower vol)
Source: encyclopedia
Lyxor short dispersion
DispersionShort
Lyxor short dispersion - index var rich
Source: Quantpedia
Mag 7 names drove dispersion
DispersionLong
Tech high-vol drove dispersion 2024-25
Source: Numerix
Negative basis trade
CDS DeepLong
Negative basis - long bond + buy CDS protection
Source: encyclopedia
No 13F reporting historically
Total Return SwapsMulti
TRS hidden from 13F (Archegos lesson)
Source: encyclopedia
Option on option
Compound OptionsMulti
Compound options - call on call etc
Source: encyclopedia
Option on var
Variance SwapsMulti
Options on realized variance
Source: Wiki
PRDC Japanese yen
Power Reverse DualMulti
Power Reverse Dual Currency JPY
Source: encyclopedia
Phoenix barrier coupon
AutocallablesMulti
Phoenix - coupon if above barrier
Source: encyclopedia
Positive basis trade
CDS DeepShort
Positive basis - short bond + sell CDS
Source: encyclopedia
Pure variance exposure
Variance SwapsLong
Pure variance exposure (vs straddle skew)
Source: Numerix
Quanto FX-denominated
QuantosMulti
Quanto - foreign asset in domestic FX
Source: encyclopedia
Range accrual notes
Range AccrualsMulti
Range accrual - coupon if within range
Source: encyclopedia
Realized vs strike payout
Variance SwapsMulti
Pay (RV² - K²) × notional
Source: Numerix
Replicated by log contract
Variance SwapsMulti
Var swap = log contract Neuberger 1996
Source: Springer
Reverse convertible structured
Reverse ConvertiblesMulti
Reverse convertible - bond + short put
Source: encyclopedia
SEC 10B-1 disclosure new
Total Return SwapsMulti
SEC 10B-1 disclosure rules post-Archegos
Source: encyclopedia
SNAC Standard NA Contract
CDS DeepMulti
SNAC standardized contract 2009
Source: encyclopedia
SPX div futures
Dividend SwapsMulti
CME SPX dividend futures
Source: encyclopedia
Sell var to harvest VRP
Variance SwapsIncome
Sell var to harvest VRP volatility risk premium
Source: encyclopedia
Single-name CDS
CDS DeepMulti
Single-name credit default swap
Source: encyclopedia
Snowball coupons
Range AccrualsMulti
Snowball - coupons compound if in range
Source: encyclopedia
Sovereign CDS Greece 2012
CDS DeepMulti
Greece 2012 sovereign CDS triggered
Source: encyclopedia
Steepener TARN
Range AccrualsMulti
Steepener TARN - target accrual note
Source: encyclopedia
Synthetic CDO ABACUS Goldman
CDS DeepShort
Goldman ABACUS synthetic CDO 2010
Source: encyclopedia
Synthetic exposure no ownership
Total Return SwapsMulti
TRS gives synthetic exposure no ownership
Source: encyclopedia
TRS deep
Total Return SwapsMulti
Total Return Swap - exchange total return
Source: encyclopedia
TRS for offshore tax
Total Return SwapsMulti
TRS for offshore tax structuring
Source: encyclopedia
Theta-flat strategy
DispersionMulti
Theta-flat dispersion strategy
Source: Arxiv
Toxic in 2008
Power Reverse DualShort
PRDC toxic in 2008 - JPY rally
Source: encyclopedia
Tranched CDX index credit
CDS DeepMulti
Tranched CDX exposure 0-3% 3-7% 7-15%
Source: encyclopedia
Unfunded TRS
Total Return SwapsMulti
Unfunded TRS - margin only
Source: encyclopedia
Use straddles for dispersion
DispersionMulti
Straddles for dispersion - vol exposure
Source: Springer
Used in M&A bid
Compound OptionsMulti
Used in M&A bid bond contingencies
Source: encyclopedia
Used in commodities
Asian OptionsMulti
Asian common in commodity hedging
Source: encyclopedia
Used in employee options
Forward-StartMulti
Forward-start in employee comp
Source: encyclopedia
VIX as variance term structure
Variance SwapsMulti
VIX = 30-day SPX variance swap
Source: encyclopedia
Var swaps for dispersion cleaner
DispersionMulti
Variance swaps cleaner exposure for dispersion
Source: Springer
Variance is convex
Variance SwapsMulti
Variance is convex - upside torpedo
Source: encyclopedia
Variance swap basics
Variance SwapsMulti
Variance swap - bet on realized variance
Source: Numerix
Vega + volga exposures
DispersionMulti
Dispersion has vega + volga exposure
Source: Arxiv
Vega-weighted dispersion
DispersionMulti
Vega-weighted dispersion construction
Source: encyclopedia
Vol vs var swap diff
Volatility SwapsMulti
Volatility swap less convex than var swap
Source: encyclopedia
Volatility of variance vol-of-vol
Variance SwapsMulti
Vol-of-vol = vega-volga
Source: encyclopedia
Volatility swap pure σ
Volatility SwapsMulti
Volatility swap - pure σ (not σ²)
Source: Wiki
Volswap concave Jensen
Volatility SwapsMulti
Volatility swap concave (Jensen's inequality)
Source: encyclopedia
Worst-of basket
AutocallablesMulti
Worst-of basket autocallable
Source: encyclopedia
Yield enhancement reverse
Reverse ConvertiblesIncome
Yield enhancement at risk of being put
Source: encyclopedia
iTraxx Europe CDS
CDS DeepMulti
iTraxx Europe Crossover index
Source: encyclopedia
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.