- Interest Rate Derivatives
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Articles & Newsletters
These documents are PDF files.
Interest Rate Derivatives
BAX
Government of Canada Bond Futures
CGB – Ten-Year Government of Canada Bond Futures
- The Collapse of Long-Term Forward Yields
- CGB as Substitute for 10y Benchmark Bonds - Strategy Comparison: 2011-2020
- New Year, New CGB Opportunity?
- Compare and Contrast: Shorting CGB Versus 10-Year Benchmark
- CGB Case Study: Wildcard Option Exercise
- Preview: 2018 Annual CTD Switch for CGB
- Hedging Provincial Bonds with CGB Contracts
- CGB – Driven Leverage and Credit Overlay
- CGB – A Guide to Futures Roll Analysis
- CGB as Substitute for 10y Benchmark Bonds
- Auction, Benchmark, CGB, or Off-the-Run?
CGF – Five-Year Government of Canada Bond Futures
- CGF as Substitute for 5y Benchmark Bonds - Strategy Comparison: 2013-2020
- 5-year Cash vs. CGF Futures vs. 5-year IRS: A Comparative Analysis
- CGF as Substitute for 5y Benchmark Bonds
- CGF – Mapping the Possibilities
- CGF Implied Repo Analysis
- CGF Invoice Spread
- Opportunity to Sell CGFZ6 Basis
- CGF Unlocking Liquidity in the Canadian Yield Curve
General
- Think Outside the Benchmark
- COVID-19 Recovery: Canada versus the USA
- CGF CGB - Understanding the Implied Repo Rate
- Five Ideas in a Challenging Bond Market
- Wildcard Option Simulation
- 2019 Spring Bond Events
- Canada/US: Across the Curve
- Long Maturity Canada Yields Are Not For You
- CGF CGB – Removing the Bias from 5-10 Steepeners
- Embedded Options in CGF and CGB Futures
- Canada Swap Spreads (CGF & CGB)
- Canada’s Seasonal "Mortgage Trade"
Roll Updates
Equity Derivatives
- Analysing the Implied volatility term structure
- SMJ: When Volatility Means Opportunity
- SMJ: How Canada Became the Cannabis Investment Hub
- Option-based signals and systematic strategies
- Cost of Trading: a Cash Market vs Futures Market Comparison
- Stock financing and option prices
- Carry opportunities: How to identify and exploit it
- Covered Calls: Managing Risk Exposure and Generating Value During Volatile Times
- Options on leveraged ETFs
- Options on unhedged ETFs and inter-listed stocks
- A guide to SXF roll
- Index options and correlation trading
- High volatility: the case of cannabis stocks
- Interest rates regimes and option prices
- Covered calls are the same as cash-secured puts: How equivalent positions can help you size up a strategy
- What is volatility and how does it impact option selling returns?
- The good the bad and the ugly – market lore and overwriting?
- Using Options to Hedge Sectoral Risk
