Re-strike

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Equity Derivatives Anatomy™

Resources About the Equity Derivatives Definitions | (full wikitext) | (nutshell wikitext)
Hot topics Synthetic Prime Brokerage Anatomy | The Triple Cocktail | Cancellation and Payment | Calculation Agent
TOC | 1 General Definitions | 2 Option Transactions | 3 Exercise of Options | 4 Forward Transactions | 5 Equity Swap Transactions | 6 Valuation | 7 Settlement | 8 Cash Settlement | 9 Physical Settlement | 10 Dividends | 11 Adjustments and Modifications | 12 Extraordinary Events · 12.8 Cancellation Amount · 12.9 Additional Disruption Events · 12.9 List of ADEs · 12.9(b) Consequences of ADEs | 13 Miscellaneous

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Of a swap, to reset the notional based on the present value (in equity derivatives lingo, the Final Price) of the underlier.

A useful little trick if you want to avoid being blown up by a fund like Archegos, because when you restrike, your static margin adjusts to the new notional value of the swap, makloing it a bit like dynamic margin.

Some swaps restrike on every Calculation Period end date; some only restrike if the notional moves more than say 20% from the Initial Price.

See also