The trade idea that we recommended on Abbott is still sitting on a near-to-zero P&L because the stock has realized less volatility than we expected. While given the protective nature of the trade keeping the position open until option expiration would not lead to much risk, we still recommend to close the position due to a setup deterioration.
Finding the Optimal Hedge for a Swap Maker’s Inventory
In the world of fixed income markets, hedging against interest rate exposure is one of the most essential aspects of risk management. This is especially true for market makers. Client trades leave the desk with exposure to rate risk across the tenors clients trade and due to adverse selection
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