Quant funds plan to ‘skip the day’ after French election

Some model-driven investors see signs of crowding in short volatility trades

paris-sunset

Some quant funds say they will shut off their algorithms if volatility spikes after the first round of voting in the French presidential election on Sunday. Funds are being cautious due to signs of crowding in short volatility trades and the possibility of a favourable result for the far-right candidate, Marine Le Pen. “Everybody will be covering their short positions, and then all of a sudden the option price will explode even more than normal,” Ernest Chan, head of quantitative investment