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Aaron Brask
+ 44 (0)20 7773 5487
Products
Clients
Client strategies
Barclays Capital
Vanilla options
Variance swaps
Dividend swaps
Correlation swaps
Structured products
Products
Clients
Client strategies
Barclays Capital
Corporates
Hedge funds
Corporates
Hedge funds
Products
Clients
Client strategies
Institutional
Corporate
Retail / private bank clients
Hedge funds
Barclays Capital
Corporates
Buybacks
Financing
Compensation
Put protection
Collars
Call overwrites
Hedge funds
Leverage
Volatility trading
Retail / private
investors
Structured products
Eg, capital guaranteed
notes
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Products
Clients
Client strategies
Institutional
Corporate
Retail / private bank clients
Hedge funds
Barclays Capital
Collars
Mitigates cost of protection
Sacrifice upside potential
Call overwrites
Generally done on stocks
Generates income
Other strategies
Eg, 1x2 call spread overlays
Sell further upside to amplify smaller
returns
* All strategies presented as overlays (ie, assuming client already
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holds the underlying).
Products
Clients
Client strategies
Institutional
Corporate
Retail / private bank clients
Hedge funds
Barclays Capital
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Convertible
issuance,
rights
issues,
ESOP
Products
Clients
Client strategies
Institutional
Corporate
Retail / private bank clients
Hedge funds
Barclays Capital
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70
100
Zero
coupon
bond
Today
5 years later
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Payoff
100
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Products
Clients
Client strategies
Institutional
Corporate
Retail / private bank clients
Hedge funds
Barclays Capital
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Hedge funds
Some use options as a means of leverage but most primarily speculate
on volatility
Strategies include
Volatility relative value
Dispersion / correlation
Skew trades
Dividends
One general trend is to take other side of some of the asymmetric flows
For example, volatility skew:
Empirically, markets go up over time,
but downside options (puts) cost more than upside options (calls)
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Volatility dimensionality
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Protection buying
Structured products (participation)
Volatility
Implied correlation
generally elevated as a
result of these flows
(equivalent to saying index
volatility is rich relative to
single stock volatility)
Convertible bonds
Structured products
Stock vol
Call overwriting
Index vol
Structured products
Protection buying
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Time
Products
Clients
Client strategies
Barclays Capital
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Sales
Trading
Flow
Hedge funds,
prop desks,
fund managers,
pensions,
insurers,
endowments,
corporates,
retail + private banks,
etc.
Coverage split
between client,
regional, and
product focus
Exotics
Structuring
Delta-1
Arbitrage
Research
Equity derivatives research is divided amongst regions but coordinated globally. Supports
sales, trading and clients.
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Research
website
Equity
derivatives
research
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