Fears persist about forced unwind from ‘implicit’ short vol funds

February sell-off could presage a bigger slide if correlations change, buy-siders say


Short volatility products dominated the headlines after the Vix index spiked in February and the VelocityShares Daily Inverse VIX Short-Term ETN (XIV), the most prominent bank-backed exchange-traded note that bet on implied volatility staying low was wiped out.

A little less prominent in the headlines, but equally concerning to some market participants, were the fortunes of strategies that can be described as implicitly short volatility: systematic strategies that use realised or implied

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Asset-liability management: Special report 2023

There is nothing new about the dynamics behind the ALM banking crisis of earlier this year: maturity transformation, liquidity risk and interest rate risk are at the heart of the traditional banking business model. But these old threats have been given…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here