Equity derivatives
There was a slight feeling of déjà vu in the equity derivatives markets in May. As the eurozone sovereign debt crisis peaked, volatility and correlation shot up to recent highs. A succession of poor bank results followed, showing sharp declines in equity revenues in the second quarter, with many blaming the increase in volatility levels for the outcome.
This is more than slightly reminiscent of the fourth quarter of 2008, when most equity derivatives dealers were hit hard by a surge in
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