12. Index trades

  1. Vinod Kothari

Published Online: 20 MAR 2012

DOI: 10.1002/9781118390412.ch12

Credit Derivatives and Structured Credit Trading, Revised Edition

Credit Derivatives and Structured Credit Trading, Revised Edition

How to Cite

Kothari, V. (2008) Index trades, in Credit Derivatives and Structured Credit Trading, Revised Edition, John Wiley & Sons (Asia) Pte. Ltd., 2 Clementi Loop, #02-01, Singapore 129809. doi: 10.1002/9781118390412.ch12

Publication History

  1. Published Online: 20 MAR 2012
  2. Published Print: 19 SEP 2008

ISBN Information

Print ISBN: 9780470822920

Online ISBN: 9781118390412

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Keywords:

  • index trades;
  • index options;
  • price fixings;
  • index spreads;
  • intrinsic spreads

Summary

This chapter contains sections titled:

  • Reasons for popularity of index trades

  • Development of the index trades

  • Tranche trading

  • Index options and tranche options

  • iTraxx Europe

  • iTraxx Asia

  • iTraxx total return indices

  • LevX

  • Eurex iTraxx credit futures

  • CDX

  • ABX

  • CMBX

  • LCDX

  • TABX

  • Other indices

  • Index spreads and intrinsic spreads

  • Endnotes