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Bank CDS Index

Bank CDS Index tracks the cost of insuring major bank credit risk and serves as a real-time indicator of banking-system stress and confidence.

Fractional-Reserve Banking

Fractional-reserve banking is taking deposits and holding only a fraction in reserves or liquid assets — credit creation with a run risk.

Leverage Ratio Constraint

Leverage Ratio Constraint — Non-risk-weighted capital floor binding balance-sheet capacity.

Regional Bank ETF

Regional Bank ETF performance helps track stress in smaller and mid-sized banks, especially around deposit stability, asset quality, and local credit conditions.

Systemic Risk Indicator

Systemic Risk Indicator — Aggregate capital shortfall under stress — connects banking to macro hedges.

CDX HY Index

CDX HY Index tracks the cost of insuring a basket of North American high-yield corporate credit and serves as a sensitive gauge of credit risk appetite and stress.

Credit Rating

A credit rating is an agency’s opinion of relative default risk — a letter grade that gates mandates, not a market price.

Credit Valuation Adjustment

Credit Valuation Adjustment — Adjustment to derivative value for counterparty default risk.

Default Risk

Default risk is the chance the issuer misses a contractual payment — the event credit spread is trying, noisily, to price.

High Yield OAS

High Yield OAS measures the spread of high-yield corporate bonds over risk-free Treasuries after adjusting for embedded options, serving as a key gauge of speculative credit stress.

Junk Bond

A junk bond is a high-yield, below-investment-grade credit — more equity-like default risk, still quoted in spread and price.

Loan Officer Survey

The Loan Officer Survey tracks bank lending standards and loan demand, providing insight into whether credit supply is tightening or easing in the real economy.

Loss Given Default

LGD is 1 minus recovery — the fraction of exposure lost when default happens.

Probability of Default

PD is the probability a name defaults over a horizon — real-world for books, risk-neutral for CDS.

AI / Machine-Learning CTA

A CTA whose signals come from ML (trees, nets, representations) rather than a hand-written MA — still a futures risk engine underneath.

ATR Unit Sizing

Size each new futures position so that 1 ATR move equals a fixed fraction of equity — the Turtle risk unit, still the cleanest per-trade language.

CTA Correlation-Adjusted Sizing

Shrink size when markets are moving together so that ‘20 commodities’ are not one energy-risk factor wearing 20 tickers.

CTA Long/Short Symmetry

Whether the program treats shorts with the same rules and risk as longs — the difference between a two-way CTA and a long-biased TAA in a futures wrapper.

CTA Options Strategy

Express views with listed options on futures — defined-risk directional, calendars, or vol — still a CTA if the underlying is a commodity interest.

CTA Pyramiding / Scale-In

Add units as the trend extends — more risk on a working trade — instead of a single full-size entry.

CTA Volatility Targeting

Scale the whole book (or each market) so forecast σ hits a target — the reason a 15% vol CTA is not ‘more leveraged crude’ in a quiet month.

Diversified CTA

A program that risks money across the four big futures groups — equity indices, bonds/STIR, FX, and commodities — rather than a single pit.

Multi-Strategy CTA

A single platform that allocates risk across trend, carry, short-term, RV, and sometimes options — a house of sleeves, not a style-pure trend shop.

Implied Volatility Surface

Implied Volatility Surface — Strike and tenor structure of implied vol, the core object for vol trading and risk.

Move Index

The MOVE Index tracks implied volatility in the U.S. Treasury market and serves as a benchmark for rates uncertainty and macro stress.

Option Greeks

Greeks are the sensitivities of option value to spot, vol, time, and rates — the risk report of a non-linear book.

Risk Reversal

Risk Reversal — Call-put spread package measuring directional skew in FX and equity options.

Skew

Skew measures the relative richness of downside versus upside implied volatility, helping track hedging demand and asymmetry in market risk pricing.

Variance Risk Premium

Variance Risk Premium — Gap between implied and realized volatility that systematic vol sellers harvest.

Vega Exposure

Vega Exposure — Sensitivity to implied volatility changes — core risk for vol books and structured products.

VIX Index

VIX Index measures implied volatility in S&P 500 options and is widely used as a shorthand for equity market fear and risk aversion.

CS01

CS01 is the dollar value of one basis point of credit spread — how much the book makes or loses if the name or index OAS/CDS widens by 1 bp.

DV01

DV01 is the dollar value of one basis point: how much the position’s mark changes if the yield (or the curve point you risk on) moves by 0.01%.

Risk-On Risk-Off

Risk-on / risk-off (RORO) is a one-factor tape: the same risk appetite impulse hits credit, EM, high-beta equity, and vol in one direction while Treasuries, the dollar, and gold take the other side.

TINA

TINA — There Is No Alternative — was the 2010s slogan that zero rates left no choice but equities (or credit), compressing risk premia because cash paid nothing.

Wrong-Way Risk

Wrong-way risk is when exposure rises at the same time the counterparty’s credit worsens — the hedge or the receivable fails exactly when you need it.

Option Blackboard · 1

strategy

Defined-Risk Bridge Playbook

Strategy bridge from Blackboard scanner cards into Options Lab templates without implying live broker execution.

Encyclopedia · 24

AI / Machine-Learning CTA

A CTA whose signals come from ML (trees, nets, representations) rather than a hand-written MA — still a futures risk engine underneath.

Quant · Foundations

Alpha

Alpha is return not explained by the risk factors you chose — a residual, not a personality.

Emerging Markets · Foundations

ATR Unit Sizing

Size each new futures position so that 1 ATR move equals a fixed fraction of equity — the Turtle risk unit, still the cleanest per-trade language.

Banking · Foundations

Bank CDS Index

Bank CDS Index tracks the cost of insuring major bank credit risk and serves as a real-time indicator of banking-system stress and confidence.

Equity · Foundations

Blue Chip

A blue chip is a large, established, usually profitable listed company — a reputation, not a risk-free claim.

BTP-Bund Spread

BTP-Bund spread measures the yield difference between Italian and German government bonds and is a key indicator of euro-area sovereign stress and fragmentation risk.

Quant · Foundations

Capital Asset Pricing Model

CAPM says expected excess return is beta times the market risk premium — one factor, one line, many violations.

Credit · Foundations

CDX HY Index

CDX HY Index tracks the cost of insuring a basket of North American high-yield corporate credit and serves as a sensitive gauge of credit risk appetite and stress.

Fixed Income · Foundations

Commercial Mortgage Delinquency

Commercial Mortgage Delinquency — Office and retail stress feeding through CRE credit and regional bank risk.

Strategies · Foundations

Convertible Arbitrage

Long the convertible and short the delta in the stock — harvest cheap implied vol / credit, with funding and squeeze risk.

Fixed Income · Foundations

Convexity Risk

Convexity Risk — Non-linear price response to yield changes, especially relevant in MBS and long bonds.

Fixed Income · Foundations

Credit Default Swap Spread

Credit Default Swap Spread — Market-implied default risk premium for single names and indices.

Credit · Foundations

Credit Rating

A credit rating is an agency’s opinion of relative default risk — a letter grade that gates mandates, not a market price.

Credit · Foundations

Credit Valuation Adjustment

Credit Valuation Adjustment — Adjustment to derivative value for counterparty default risk.

CTA Correlation-Adjusted Sizing

Shrink size when markets are moving together so that ‘20 commodities’ are not one energy-risk factor wearing 20 tickers.

CTA Long/Short Symmetry

Whether the program treats shorts with the same rules and risk as longs — the difference between a two-way CTA and a long-biased TAA in a futures wrapper.