在伦敦和香港做过近7年Delta One trader的我来回答吧：
- Delta one 的用途：Delta one products have many applications for internal and externalclient：
- Financial institutions (hedge funds, banks, insurers, and asset managers) are themain clients; products are used to gain market access, leverage or forstructured solutions (e.g., accounting, tax, regulatory, or dividend related);some retail and private banking clients is rising, pushed by increasingpopularity of ETFs (exchange-traded funds)
- Internally,deltaone activity is highly integrated with other businesses: the delta one deskleverages intensely the securities financing (also called securities lendingand borrowing) of the bank; it provides basic flow derivatives building blocksto other desks (structured products and solutions, brokerage execution, etc.),and delta one trading desks are typically a preferred desks for proprietarytrading activities
2. Delta one的主要收入来源：Delta one products have three key sources of revenues for trading desks:
- Tax optimization or “dividend arbitrage” strategies, often made through borrowing andlending the stock around the dividend payment date. This can be the largestsource of revenues for delta one in Europe. This activity is quite integratedwith the securities financing business to allow competitive edge on auctions ofsecurities pool done by large investors (e.g., pension funds)
- Bid offer spreads on the price of the product and commissions paid byexternal and internal clients
- Interest rates gains by borrowing and lending the underlying securitiesof the delta one product, i.e., the desk lends money at a higher rate than its funding cost (orvice versa, the desk borrows at lower rate than its placing cost)
3.Delta one相关的主要风险： Delta one are relatively low-risk trades if properly monitored andmanaged:
- In market risk, directional risk (beta) is high but is easily hedgeable and as suchalmost entirely hedged; more-difficult-to-hedge risks are related to corporateevents (dividends and M&A) and securities financing (interest rate risk androll-over risk)
- Counterparty risk is typically limited through margining agreements and concentrationlimits
- Operational risk is mainly related to tax optimization activities (reputational and economical risk),and can be limited by setting limits to the maximum amount of WHT reclaimablein each country
其实真的是好产品风险也可控。希望这个回答有帮助
另外在网上发现以下很有趣而且更口语化的解释，还蛮好的。以下出自What are Delta-One Trading Desks?
Delta One desks trade delta one, i.e. linear or non-option, equity products. The heart of this is usually equity return swaps.
Why is Delta One so lucrative?
If a Delta One desk sells 10 million SPX long on a swap it needs to hedge itself. Traditionally this would be done by buying 10 million dollars of SPX stocks (or the SPY ETF). But smarties figured out that there is a little bit of alpha in the mis-pricing between the different delta one instruments. Smarter smarties started building quant ETF, dividend, index, and other relatively benign but strangely profitable strategies on the hedge portfolio.
The end of it is thatDelta One is a low-risk, low-skill profit centre that gives a bank a cheap way to trade for alpha. It also gives the bank a tremendous amount of the market’s volume which is valuable intel for other desks at the firm.
Is it sexy?
As someone who works on the non-linear side of things where exponents don’t send us into seizures, Delta One (or ‘Synthetic Equity’) is…sort of B team. But you’ll be in at 8, out by 5, and earn a solid six figure, so eh.
Why does Delta One declare jihad on bank balance sheets so often?
Delta one involves a nickels-and-bulldozers scenario where massive trades are further levered up. Error tolerance is low. Because it’s really not a risky business unless you’re a goddamn idiot (it’s a static hedge for crying out loud).
It probably also doesn’t help that they have to sit close to us infinitely more badass volatility traders either :).
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