This article appears courtesy of Institutional Investor
Source: Derivatives Week
Abigail Moses
The nascent index tranche options market is being held back because few dealers are willing or able to quote prices, preventing a liquid market from taking shape. Only a handful of firms in the U.S., among them Merrill Lynch, are pricing tranche options, but other dealers are holding off from entering the fray. The identities of the other active firms could not be ascertained.
Dealers said they are focused on better modeling the tranches themselves, rather than moving on to the next generation of tranche trading.
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