RBS Agile™ is an algorithmic trade engine that understands gamma and can be used in a variety of ways. At its simplest, it monitors the gamma of an option’s position and can automatically buy or sell spot foreign exchange to ensure the position remains within predetermined boundaries. In addition, it can also replicate volatility swaps with different fixings, allowing clients to trade hourly gamma against daily gamma, for example.
While RBS Agile™ is currently the only algorithm of its kind to be made available to clients, it was originally used as a time-saving device for RBS options traders, enabling them to better optimise their time and bring value added expertise to clients.
Commenting on the system, Tim Carrington, global Head of Foreign Exchange at RBS, said: "We are delighted to be at the vanguard of an initiative that will enhance the way clients trade by advising them when to trade. RBS Agile™ automatically interprets and analyses a portfolio position and executes a trade in the marketplace. With RBS Agile™, we are delivering the tools into the hand of the clients which will make trading volatility more accessible for them".