RBS launches gamma hedging algo for forex clients

- Mark Pengelly
- 05 Sep 2011

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Royal Bank of Scotland (RBS) will this month launch a spot foreign exchange trading algorithm designed to help clients automatically manage the gamma sensitivity associated with forex options portfolios – a task the bank claims can absorb 20% or more of an option trader’s time when gamma hedging is conducted manually.

“It is an algorithmic trade engine that understands gamma,” said Tim Carrington, the bank’s London-based global head of foreign exchange.

Dubbed RBS Agile, the tool can be used in

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