Euromoney Foreign Exchange Awards 2023: Best bank trading – best bank for FX options: UBS
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Euromoney Foreign Exchange Awards 2023: Best bank trading – best bank for FX options: UBS

UBS’s extended coverage across multiple time zones and consistent liquidity provision – even during challenging market conditions – has boosted its market share particularly in emerging-market options.

“We have invested further in our cutting-edge risk-management system, introducing a new model that improves the pricing and risk representation of our exotic products, expanding the system to multi-currency products, and introducing live portfolio risk-ticking visualization,” explains Mathieu Reaud, global head of FX derivatives trading at UBS.

The new system stores individual valuations for every derivative transaction through its lifetime. This allows UBS to develop accurate profitability metrics for individual client trades, identifying flows that are difficult to monetise and thus providing better liquidity to its franchise.

“We also improved our algo-marked surfaces by modernising the fitting methodology using a new bespoke model, extending the marking to skewness dynamics, and covering more currency pairs, including thinly traded correlation pairs,” says Reaud.

Mathieu Reaud_960.jpg
Mathieu Reaud

A multi-year strategy has transformed FX options trading at UBS. The bank’s traders interact closely with clients through various means such as daily market updates, a weekly risk initiative email providing bespoke market colour and trading ideas, a bi-weekly 30-minute risk-takers call to discuss key views and market trends, and ad hoc expert calls on contemporary topics.

UBS’s powerful trading platform provides innovative functionality for generating trading ideas, fast execution on green-light prices, and post-execution monitoring and restructuring services.

“Our volatility data services offer subscription-based packages of high-quality granular data across over 400 currency pairs, with hourly or daily frequencies delivered via REST and FIX APIs [messaging application programming interfaces],” says Reaud. “The fact that many major buy-side institutions, banks and trading venues subscribe to the service is testament to the quality of the offering.”

UBS plans to extend this offering to its risk-management tools, starting with its bespoke gamma hedging algo.

“We have established ourselves as a top-performing bank for FX options, demonstrating a commitment to leveraging data, adopting cutting-edge technologies typically only available in linear products, and delivering an extensive range of exceptional services,” says Reaud.

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