1. Q&A: Delta One
September 15, 2011
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1.
What is Delta one?
2.
Does this mean banks are
gambling with their own money again?
3.
So what are ETFs and what does
Delta One have to do with them?
4.
Are regulators looking at any
of this?
5.
Who use Delta One?
2. The Origins And Evolution Of Delta-One
October 29, 2012
3. Delta One – What do they do?
Non 14, 2012
“Any trading desk will want to find the
cheapest hedge and will have to create innovative hedges to maximise its own
profits. Hence the traders will engage in all kinds of trading and arbitrage
activities in various derivatives, which could be seen as proprietary trading.”
4. Delta one and Un0understood Risk
Sep 15, 2011
Do you know about Delta One Desks? You will
know more after today, considering it may be the division that is causing UBS
to suffer yet another OMG “rogue” trading loss of $2 billion: Adoboli held over
$2bn UBS “rogue trade”. Adoboli’s Linkedin page says he is director of ETF and
Delta One Trading at UBS.
Delta One desks are named for the “neutral”
type of trading strategies that exploit minute arbitrages among indexes and
instruments trading in the plethora of trading destinations worldwide that they
trade in. They are one of Wall Street’s best kept secrets. Every financial
institution is deeply involved with Delta One trading. Delta One desks
typically deal in prop high frequency trading centered around ETF’s, swaps,
baskets, and also include futures and options. If you know this much, you know
more about Delta One than most on the street.
If you are a hedge fund, and you want
exposure to US oil refiners, excluding Haliburton and Baker Hughes, you might
ask your brokerage firm to create a swap-based product for that customization,
and Delta One would likely be involved. Lots of math and correlation is
involved folks, more than my cave man brain typically can handle.
But you should also understand that Delta
One is also about collateral, security lending and funding, and perhaps even
ETF basket collateral.
I learned about Delta One over a year ago
from, in my opinion, Business Journalism’s greatest reporter, Isabella
Kaminska, of the Financial Times. In fact please read what she had to say about
Delta One just a few months ago on the FT’s Site: Deta One: the Special Ops of
Trading.Considering how large ETF’s have become relative to the market, and
that the collateral involved in their creation/redemption processes by
Authorized Participants can be varied and not intuitive, and that these
activities fall under Delta One typically at Big Banks, perhaps it is time for
Delta One to become less of a secret. Especially With the Regulators. Talk
about un-understood divisions and black swan potential.
6. Delta one: the special ops of equity
trading
Apr 11, 2011
“What makes any Delta one trader successful
is thus a canny blend of market timing (including HFT and
algorithmically-assisted timing), innovative hedging, access to funding and
flow. Interestingly, more often than not, a stock’s direction is entirely irrelevant
to the trader, or so we are told — especially when it comes to trading the
dividend side of the market.”
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