Royal Bank of Scotland (RBS) is seeking to unveil a spot foreign exchange trading algorithm, Risk.net reports. RBS Agile will help option traders automatically manage the gamma sensitivity associated with FX options portfolios to save 20% or more of their time. The new algorithm will monitor the gamma of an option’s position and automatically buy or sell spot FX to make sure the gamma remains within predetermined boundaries. It will be plugged into FX Stream, its current electronic FX trading platform, to drive volume to RBS trading desks.
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