proprietary trading haircut

Discussion in 'Prop Firms' started by obsidian, May 31, 2012.

  1. obsidian


    Is there a place where I can compare haircuts on OTC derivatives (specifically, non-deliverable forwards and options) and hedged basket vs. ETF?

    It is boggling my mind how wide the discrepancies are between firms. One firm can literally charge 5x more haircut than another on the same hedged position.

    Aside from Abn Amro and Newedge, can anyone recommend some firms that are competitive in this area? I.e. medium/high frequency ETF arbitrage and interest rate arbitrage. I have about 8mio usd. Please feel free to PM me if you have any contacts. I am based in San Francisco.