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Consultez les articles et les sources concernant les institutions. Les articles sont en anglais ; vérifiez directement les sources originales.

Dossiers publiés
148
Piliers thématiques
13

Articles et sources

FR · VOL-SURFACE-DESK

Articles et sources

Consultez les articles et les sources concernant les institutions. Les articles sont en anglais ; vérifiez directement les sources originales.

Référentiels Institutionnels 2026 →Classements Quantitatifs →Données des institutionsAutorités de Supervision →Pôles Thématiques →Archives Chronologiques →
Toutes les Catégories (148)0DTE Gamma & Volatility Surface (31)VIX Term Structure & Skew (31)Second-Order Greeks & Hedging (30)OCC Margin & Dispersion Desk (29)Market Insights (17)Volatility and Options (3)Regulatory Compliance (1)Regulatory Benchmarks (1)Compliance Forensics (1)Solvency and Protection (1)Options Greeks, Volatility Surfaces & Quantitative Dispersion (1)Volatility Surface & Derivatives Desk (1)Volatility Surface & Dealer Flow Mechanics (1)

29 dossiers correspondants

Référentiels Institutionnels 2026 →Classements Quantitatifs →
OCC Margin & Dispersion Desk

Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX): Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (59.0% Share of SPX Options Volume Benchmark)

Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) stands at 59.0% (Share of SPX Options Volume) (Source: Cboe Global Markets, 2026-10-20), governing daily VX1-to-VX2 roll math ($1,000/

Point clé : Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) prints at 59.0% (Share of SPX Options Volume) under Cboe Global Markets supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX): 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (59.0% Share of SPX Options Volume Benchmark)

Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) stands at 59.0% (Share of SPX Options Volume) (Source: Cboe Global Markets, 2026-10-20), governing terminal Charm delta bleed and PM-settled…

Point clé : Cboe SPX 0DTE Options Volume (59% Share) & Dealer Gamma Exposure (GEX) (SPX-0DTE-GEX) prints at 59.0% (Share of SPX Options Volume) under Cboe Global Markets supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (6.5 hrs Intraday Cash Decay Window Benchmark)

Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) stands at 6.5 hrs (Intraday Cash Decay Window) (Source: Cboe Options Institute, 2026-10-20), governing extracting single-day event…

Point clé : Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) prints at 6.5 hrs (Intraday Cash Decay Window) under Cboe Options Institute supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (6.5 hrs Intraday Cash Decay Window Benchmark)

Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) stands at 6.5 hrs (Intraday Cash Decay Window) (Source: Cboe Options Institute, 2026-10-20), governing index variance vs. constituent…

Point clé : Vanna (dDelta/dVol) & Charm (dDelta/dTime) Second-Order Dealer Hedging (VANNA-CHARM-FLOWS) prints at 6.5 hrs (Intraday Cash Decay Window) under Cboe Options Institute supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (20 min Intraday Monte Carlo Interval Benchmark)

OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) stands at 20 min (Intraday Monte Carlo Interval) (Source: The Options Clearing Corporation, 2026-10-20), governing exact Black-Scholes-Merton…

Point clé : OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) prints at 20 min (Intraday Monte Carlo Interval) under The Options Clearing Corporation supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (20 min Intraday Monte Carlo Interval Benchmark)

OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) stands at 20 min (Intraday Monte Carlo Interval) (Source: The Options Clearing Corporation, 2026-10-20), governing preventing vertical call…

Point clé : OCC STANS 20-Minute Intraday Risk Snapshots & 0DTE Margin Add-On (OCC-STANS-MARGIN) prints at 20 min (Intraday Monte Carlo Interval) under The Options Clearing Corporation supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation): Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact ($1,000 Standard VX Point Multiplier Benchmark)

Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) stands at $1,000 (Standard VX Point Multiplier) (Source: Cboe Futures Exchange (CFE), 2026-10-20), governing intraday futures rebalancing…

Point clé : Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) prints at $1,000 (Standard VX Point Multiplier) under Cboe Futures Exchange (CFE) supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation): Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers ($1,000 Standard VX Point Multiplier Benchmark)

Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) stands at $1,000 (Standard VX Point Multiplier) (Source: Cboe Futures Exchange (CFE), 2026-10-20), governing 99% 2-day Expected Shortfall…

Point clé : Cboe VIX Futures Term Structure (VX1/VX2 Contango vs. Backwardation) (VIX-VX1-VX2-ROLL) prints at $1,000 (Standard VX Point Multiplier) under Cboe Futures Exchange (CFE) supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (1 Day Event Jump Volatility Horizon Benchmark)

Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) stands at 1 Day (Event Jump Volatility Horizon) (Source: Cboe Global Markets, 2026-10-20), governing daily VX1-to-VX2 roll math ($1

Point clé : Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) prints at 1 Day (Event Jump Volatility Horizon) under Cboe Global Markets supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (1 Day Event Jump Volatility Horizon Benchmark)

Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) stands at 1 Day (Event Jump Volatility Horizon) (Source: Cboe Global Markets, 2026-10-20), governing terminal Charm delta bleed and

Point clé : Cboe 1-Day (VIX1D) & 9-Day (VIX9D) Ultra-Short Volatility Benchmarks (VIX1D-VIX9D-SHORT) prints at 1 Day (Event Jump Volatility Horizon) under Cboe Global Markets supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (+8.5 pts Implied vs. Realized Corr Spread Benchmark)

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) stands at +8.5 pts (Implied vs. Realized Corr Spread) (Source: BIS Quarterly Review / Cboe COR1M, 2026-10-20), governing extracting…

Point clé : S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) prints at +8.5 pts (Implied vs. Realized Corr Spread) under BIS Quarterly Review / Cboe COR1M supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (+8.5 pts Implied vs. Realized Corr Spread Benchmark)

S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) stands at +8.5 pts (Implied vs. Realized Corr Spread) (Source: BIS Quarterly Review / Cboe COR1M, 2026-10-20), governing index variance…

Point clé : S&P 500 Index vs. Single-Stock Implied Correlation & Dispersion Trading (INDEX-DISPERSION) prints at +8.5 pts (Implied vs. Realized Corr Spread) under BIS Quarterly Review / Cboe COR1M supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (148.5 Cboe SKEW Index Level Benchmark)

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) stands at 148.5 (Cboe SKEW Index Level) (Source: Cboe Exchange, 2026-10-20), governing exact Black-Scholes-Merton analytical derivatives…

Point clé : SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) prints at 148.5 (Cboe SKEW Index Level) under Cboe Exchange supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (148.5 Cboe SKEW Index Level Benchmark)

SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) stands at 148.5 (Cboe SKEW Index Level) (Source: Cboe Exchange, 2026-10-20), governing preventing vertical call-spread and horizontal…

Point clé : SPX 25-Delta Put-Call Skew, Risk Reversals & Cboe SKEW Index Tail Pricing (SPX-25D-SKEW) prints at 148.5 (Cboe SKEW Index Level) under Cboe Exchange supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (d2V/dσ2 Vega Convexity Derivative Benchmark)

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) stands at d2V/dσ2 (Vega Convexity Derivative) (Source: Quantitative Derivatives Desk Standard, 2026-10-20), governing intraday futures…

Point clé : Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) prints at d2V/dσ2 (Vega Convexity Derivative) under Quantitative Derivatives Desk Standard supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (d2V/dσ2 Vega Convexity Derivative Benchmark)

Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) stands at d2V/dσ2 (Vega Convexity Derivative) (Source: Quantitative Derivatives Desk Standard, 2026-10-20), governing 99% 2-day

Point clé : Third-Order & Cross-Vega Greeks: Vomma (Volga), Zomma & Speed Mechanics (VOMMA-ZOMMA-SPEED) prints at d2V/dσ2 (Vega Convexity Derivative) under Quantitative Derivatives Desk Standard supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers (0.0 bps Butterfly & Calendar Arb Floor Benchmark)

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) stands at 0.0 bps (Butterfly & Calendar Arb Floor) (Source: CME / Cboe Volatility Surface Engine, 2026-10-20), governing daily

Point clé : SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) prints at 0.0 bps (Butterfly & Calendar Arb Floor) under CME / Cboe Volatility Surface Engine supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement (0.0 bps Butterfly & Calendar Arb Floor Benchmark)

SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) stands at 0.0 bps (Butterfly & Calendar Arb Floor) (Source: CME / Cboe Volatility Surface Engine, 2026-10-20), governing terminal…

Point clé : SABR Stochastic Volatility vs. Gatheral SVI Arbitrage-Free Surface Fitting (SABR-SVI-SURFACE) prints at 0.0 bps (Butterfly & Calendar Arb Floor) under CME / Cboe Volatility Surface Engine supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (+4.2 pts VXN over VIX Volatility Spread Benchmark)

Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning (NDX-QQQ-GAMMA) stands at +4.2 pts (VXN over VIX Volatility Spread) (Source: Cboe / Nasdaq Derivatives, 2026-10-20), governing extracting single-day

Point clé : Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning (NDX-QQQ-GAMMA) prints at +4.2 pts (VXN over VIX Volatility Spread) under Cboe / Nasdaq Derivatives supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (+4.2 pts VXN over VIX Volatility Spread Benchmark)

Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning (NDX-QQQ-GAMMA) stands at +4.2 pts (VXN over VIX Volatility Spread) (Source: Cboe / Nasdaq Derivatives, 2026-10-20), governing index variance vs. constituent…

Point clé : Nasdaq-100 (NDX) vs. SPX Implied Volatility Spread & Tech Gamma Pinning (NDX-QQQ-GAMMA) prints at +4.2 pts (VXN over VIX Volatility Spread) under Cboe / Nasdaq Derivatives supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (96.4 30-Day VVIX Benchmark Benchmark)

Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing exact Black-Scholes-Merton analytical derivatives…

Point clé : Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) prints at 96.4 (30-Day VVIX Benchmark) under Cboe Global Markets supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity: 25-Delta Strike Skew, Put Wing Convexity & No-Arbitrage Bounds (96.4 30-Day VVIX Benchmark Benchmark)

Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) stands at 96.4 (30-Day VVIX Benchmark) (Source: Cboe Global Markets, 2026-10-20), governing preventing vertical call-spread and horizontal…

Point clé : Cboe VVIX (Volatility of VIX) & Out-of-the-Money VIX Call Convexity (VVIX-VOL-OF-VOL) prints at 96.4 (30-Day VVIX Benchmark) under Cboe Global Markets supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional: Dealer Delta/Gamma Hedging Equations & E-Mini S&P 500 Futures Impact (σ2 - K2 Variance Payoff Scaling Benchmark)

Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) stands at σ2 - K2 (Variance Payoff Scaling) (Source: ISDA Equity Derivatives Definitions, 2026-10-20), governing intraday futures

Point clé : Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) prints at σ2 - K2 (Variance Payoff Scaling) under ISDA Equity Derivatives Definitions supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional: Clearinghouse Margin Monte Carlo Scenarios & Intraday Call Triggers (σ2 - K2 Variance Payoff Scaling Benchmark)

Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) stands at σ2 - K2 (Variance Payoff Scaling) (Source: ISDA Equity Derivatives Definitions, 2026-10-20), governing 99% 2-day Expected…

Point clé : Over-the-Counter SPX Variance Swaps vs. Corridor Variance & Vega Notional (VARIANCE-SWAPS) prints at σ2 - K2 (Variance Payoff Scaling) under ISDA Equity Derivatives Definitions supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure: Constant-Maturity Contango Roll Drag & Backwardation Flip Triggers ($16.0B+ Quarterly SPX Collar Notional Benchmark)

Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) stands at $16.0B+ (Quarterly SPX Collar Notional) (Source: Cboe / Listed Options Flow Desk, 2026-10-20), governing daily VX1-to…

Point clé : Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) prints at $16.0B+ (Quarterly SPX Collar Notional) under Cboe / Listed Options Flow Desk supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure: 3:50 PM ET Market-on-Close (MOC) Imbalance & 4:00 PM Cash Settlement ($16.0B+ Quarterly SPX Collar Notional Benchmark)

Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) stands at $16.0B+ (Quarterly SPX Collar Notional) (Source: Cboe / Listed Options Flow Desk, 2026-10-20), governing terminal Charm…

Point clé : Institutional Quarterly Equity Collar Rolls & Strike Pinning Microstructure (JPM-COLLAR-HEQT) prints at $16.0B+ (Quarterly SPX Collar Notional) under Cboe / Listed Options Flow Desk supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid: FOMC & CPI Event Volatility Crush & Forward Variance Decomposition (98.5 bps Annualized Normal Vol (1Y10Y) Benchmark)

CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) stands at 98.5 bps (Annualized Normal Vol (1Y10Y)) (Source: CME Group / ICAP Swaption Matrix, 2026-10-20), governing extracting…

Point clé : CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) prints at 98.5 bps (Annualized Normal Vol (1Y10Y)) under CME Group / ICAP Swaption Matrix supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid: Correlation Spike Stress Audit & Institutional Dispersion Unwinds (98.5 bps Annualized Normal Vol (1Y10Y) Benchmark)

CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) stands at 98.5 bps (Annualized Normal Vol (1Y10Y)) (Source: CME Group / ICAP Swaption Matrix, 2026-10-20), governing index

Point clé : CME SOFR Options & Interest Rate Swaption Normal (Bachelier) Volatility Grid (SOFR-SRO-SWAPTIONS) prints at 98.5 bps (Annualized Normal Vol (1Y10Y)) under CME Group / ICAP Swaption Matrix supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →
OCC Margin & Dispersion Desk

FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts: Partial Derivative Formulas, Scaling Units & Tenor Surface Grid (15.0% Broad-Based Index Stress Range Benchmark)

FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts (PORTFOLIO-MARGIN-TIMS) stands at 15.0% (Broad-Based Index Stress Range) (Source: FINRA / OCC Portfolio Margin, 2026-10-20), governing exact Black…

Point clé : FINRA Rule 4210 Portfolio Margin vs. Reg T Strategy-Based Options Haircuts (PORTFOLIO-MARGIN-TIMS) prints at 15.0% (Broad-Based Index Stress Range) under FINRA / OCC Portfolio Margin supervision as of 2026-10-20.

Dr. Alistair Finch, CQF, FRM
ENLire l’original en anglais →

Données des institutions

Données des institutions

Consultez les données importées sur les institutions, autorités et marchés. Elles peuvent être incomplètes ou obsolètes ; vérifiez les informations actuelles à la source.

Voir le Classement Institutionnel Complet →Consulter la Matrice des Référentiels 2026 →

Données des institutions

OANDA
Données des institutions
Saxo
Données des institutions
AvaTrade
Données des institutions
Straits Financial Group
Données des institutions
StoneX One
Données des institutions
MagnetFX
Données des institutions

Régulateurs

Taipei Exchange (TPEx)4

Taipei Exchange (TPEx)

Voir le registre du superviseur →
U.S. Securities and Exchange Commission2

U.S. Securities and Exchange Commission

Voir le registre du superviseur →
Commodity Futures Trading Regulatory Agency of Indonesia (BAPPEBTI)4

Commodity Futures Trading Regulatory Agency of Indonesia (BAPPEBTI)

Voir le registre du superviseur →
Jakarta Futures Exchange (JFX)4

Jakarta Futures Exchange (JFX)

Voir le registre du superviseur →
AMF1

Autorité des marchés financiers

Voir le registre du superviseur →
AMF2

The Autorité des marchés financiers

Voir le registre du superviseur →
Articles et sources | VolSurface Desk | VolSurface Desk