
USD/CHF options burn banks amid illiquid markets
Options portfolios were impossible to delta hedge, traders say

Bank losses from January's shock Swiss franc move were probably the result of the companies being unable to delta hedge USD/CHF options books, according to traders and risk managers at four dealers.
In a matter of 20 minutes, the exchange rate of EUR/CHF dropped 30%, from 1.20 to 0.85, as liquidity evaporated and traders scrambled to get out of billions of dollars of long EUR/CHF bets.
The liquidiation of the one-way market made it impossible for USD/CHF options traders to delta hedge
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact customer services - www.fx-markets.com/static/contact-us, or view our subscription options here: https://subscriptions.fx-markets.com/subscribe
You are currently unable to print this content. Please contact customer services - www.fx-markets.com/static/contact-us to find out more.
You are currently unable to copy this content. Please contact info@fx-markets.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@fx-markets.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@fx-markets.com