Clearly, August was a very trying month for many banks and while much of what happened then can be blamed on the difficulty in pricing forwards, it seems that some other issues have surfaced, particularly around pricing and revaluations.
Few people really want to talk about whether or not there are any issues. It’s as if the market is trying to convince itself that, by keeping silent, nobody will know. But the buzz is that many banks are having problems in pricing even vanilla options, particularly in dollar/yen.
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