Volatility spikes cause losses

pg11-graph-gif

A series of sharp upward spikes in equity price volatility in the past month has forced some hedge funds to unwind variance swap positions after incurring large losses, traders say.

Variance swaps have been popular with hedge funds over the past 12 months, with many taking the view that the relatively benign equity market conditions of the past two years would continue. But inflation worries and anticipated interest rate hikes have created instability in the equity markets, causing volatility

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

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: