Discussion on Call Overwriting, Rates, 0DTE: All Options Considered

FICC Focus
26/09/2023 15 min
Discussion on Call Overwriting, Rates, 0DTE: All Options Considered

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Episode Synopsis

In this edition of the All Options Considered podcast, BI's Chief Global Derivatives Strategist Tanvir Sandhu is joined by Pierre de Saab, Partner at Dominice to discuss the latest developments in the volatility landscape. Topics discussed includes interest-rate volatility, VIX risk premium, call overwriting strategies and zero-days-to-expiry options (ODTEs), which now make up more than 50% of the overall volume of SPX options traded.

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