It is too early to give the industry a pat on the back, but equity derivatives traders feel they deserve it. Realised and implied volatility leapt in August without – they claim – triggering the kind of pain seen in May 2010, when a similar jump caught many banks out. This time, bid/offer spreads widened and liquidity decreased, but less violently than last year, dealers say.
“As intra-day volatility spiked, market-makers had to charge more to cover themselves against huge intra-day market moves
The week on Risk.net, July 14–20, 2017Receive this by email