Multi-Asset Derivatives

SPAN margin calculation, futures contract roll automation, real-time Greeks aggregation, perpetual funding rates, variance swaps, CDS, quanto options.

Skills: 28
Hand off: 160
Handed off from: 120

Index

All 28 skills in this domain, alphabetically. Hover a row for its situation; open it for the full playbook.

A

american-vs-european-style-option-exercise-handlingUse when a book holds long American-style options and today's question is exercise now or sell, comparing intrinsic value against the executable bid with the Merton ex-dividend condition as a cross-check.derivatives

B

binary-options-regulatory-and-risk-considerationsUse before researching or deploying a strategy in binary options or fixed-return event contracts, where the first question is whether the trade is lawful for that client category and jurisdiction rather than whether it has edge.binary-options

C

calendar-spread-and-multi-leg-order-atomicityUse when executing a multi-leg strategy on a venue with no native combination instrument, managing legging risk when one leg fills and the market moves before the other. A native spread instrument makes this unnecessary.multi-leg commodity-futures-storage-and-carry-cost-modelingUse when pricing physical commodity futures or designing roll strategies, linking spot to futures through financing, storage and insurance, extracting implied convenience yield and classifying contango against backwardation.cost-of-carry convertible-bond-arbitrage-data-requirementsUse when defining the data contract for a convertible bond arbitrage strategy and computing the screening metrics on top of it: parity, conversion premium, bond floor from the issuer credit spread, delta hedge size and net carry.arbitrage credit-default-swap-basics-for-algo-contextUse when integrating credit default swap metrics into a strategy or capital-structure arbitrage: hazard rates, implied default probability, indicative upfront on the post-2009 fixed-coupon convention, and risky annuity.credit-default-swap cross-asset-correlation-regime-shiftsUse when a multi-asset or risk-parity book depends on bonds hedging equities and you need to detect the regime shift where that relationship breaks, using a normalised matrix distance between correlation snapshots.correlation-matrix cross-margining-across-asset-classesUse when correlated positions sit at different clearing houses and you want to estimate the initial-margin offset and capital efficiency an approved cross-margining arrangement would give. Not the clearing house's own number.portfolio-margin

D

dividend-futures-and-forward-modelingUse when constructing an equity forward curve with discrete cash dividends, pricing dividend futures at fair value and detecting cash-and-carry arbitrage against the listed forward.forward-modeling

E

early-exercise-assignment-risk-managementUse when a book carries short American-style options that can be assigned before expiration, screening ex-dividend capture against the call's remaining time value and flagging at-parity in-the-money shorts.assignment-risk exchange-for-physical-efp-transactionsUse when an exchange for physical has been negotiated but not yet submitted, validating the opposite-side leg structure, the physical-to-futures quantity correspondence and the basis before it reaches the venue.efrp

F

futures-contract-roll-automationUse when an open futures position must move to the next expiration before the contract becomes an obligation, triggering on volume and open-interest crossover, days to expiration and first notice day.calendar-spread futures-expiry-week-liquidity-and-volatility-handlingUse when still trading a futures contract inside its final weeks, where liquidity leaves before expiry and quad-witching adds volatility; applies position-size haircuts and raises a roll mandate. The roll itself is futures-contract-roll-automation.liquidity-fragmentation fx-forward-and-swap-position-trackingUse when a treasury book holds FX outright forwards or swaps, pricing them by covered interest parity on each currency's own day-count basis and reporting forward points at the pair's pip size with discounted mark-to-market.fx-swap

I

interest-rate-swap-exposure-in-multi-asset-portfoliosUse when a multi-asset book holds vanilla fixed-versus-float interest rate swaps beside bonds and equities and you need first-order parallel-shift risk: annuity-based DV01 with signed pay-fixed and receive-fixed exposure.irs

M

multi-leg-strategy-margin-optimizationUse when sizing listed multi-leg option positions in a strategy-based margin account, computing the FINRA Rule 4210(f)(2) spread and maximum-potential-loss requirements so short legs are not margined naked.multi-leg-strategy

O

options-greeks-real-time-portfolio-aggregationUse when a multi-leg options book needs one continuously refreshed exposure figure, netting per-position delta, gamma, theta and vega into dollar terms using each contract's deliverable. Acting on it is greeks-based-portfolio-hedging-automation.options-greeks options-margin-span-calculation-globalUse when the margin requirement rather than notional decides whether an options or futures position is placeable, approximating the SPAN scanning-risk core across the standard risk-array scenarios. Not the clearing house's authoritative number.span-(standard-portfolio-analysis-of-risk)options-pin-risk-management-at-expiryUse on expiration day while the option can still be traded, measuring strike proximity and signed moneyness against the exercise-by-exception threshold so a writer knows what position they may hold on Monday.expiry-operations

P

perpetual-futures-funding-rate-handlingUse when a linear USDT or USDC-margined crypto perpetual position crosses a funding settlement and you need the real carry: mark-priced notional with the payment signed from the position's side, not the rate's.funding-rate physical-vs-cash-settlement-handlingUse on a position in an expiring contract, to resolve what the account is obliged to do and by when: a long pays an invoice, a short must present the deliverable, and cash settlement does neither.physical-delivery

Q

quanto-options-and-cross-currency-derivative-structuresUse when an underlying trades in one currency but the payoff settles in another at a rate fixed in the term sheet, applying the quanto drift adjustment for the asset-FX correlation. A composite option converts at spot instead.cross-currency

S

single-stock-futures-where-availableUse when checking whether a listed single stock future is priced outside the band cash-and-carry arbitrage can defend, bounded above by carry and below by the reverse trade net of borrow fee and discrete dividends.ssf

T

total-return-swap-synthetic-exposureUse when pricing or risk-managing a share-locked equity total return swap: the total return leg with manufactured dividends filtered by the ISDA dividend period, and the funding leg on a benchmark rate plus spread.trs

V

variance-swap-and-volatility-derivative-pricingUse when pricing, marking or risk-managing an OTC variance or volatility swap, replicating the fair variance strike from an out-of-the-money option strip and accruing realised variance on a seasoned position.volatility-swap vix-and-volatility-index-derivative-strategiesUse when classifying the front-two VIX futures curve as contango, backwardation or flat and sizing a position off it, annualising the front-month basis as a static-spot carry estimate rather than a forecast.volatility-derivatives

W

warrants-and-structured-product-integrationUse when pricing, hedging or marking listed covered warrants and Turbo warrants or CBBCs on HKEX, Euronext, SGX or Borsa Italiana, including the knock-out barrier that Turbos carry and covered warrants do not.covered-warrants weather-derivatives-and-niche-instrument-handlingUse when accumulating a heating or cooling degree-day or CAT index from station temperatures and pricing a CME weather future, option or capped OTC swap by burn analysis. Official settlement comes from the exchange's index provider.cme-weather

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