Vexed by variance
Variance swaps and dispersion trades have been extremely popular with hedge funds and proprietary trading desks over the past 18 months. But a spike in equity volatility in May and June has caused hundreds of millions of dollars in losses at some firms. Jayne Jung investigates
While many traders cheered the return of equity volatility in May and June, not all saw it as an opportunity for greater returns. For some investors, particularly those with short volatility positions through variance swaps and dispersion trades, the pick-up in volatility caused millions of dollars in mark-to-market losses. The losses haven't had a terminal effect on volatility trading - only one or two desks are thought to have retreated from the market, unlike last year, when losses in the
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 print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Barclays disputes CDS committee decision ahead of auction
Representing the bank, law firm Milbank argues the committee’s approach risks constraining the market and goes against expectations
How Risk.net’s robots unlocked Ucits trade data
Machine learning tool helps reveal the largest European derivatives users – and who they trade with
Pricing and funding woes hit gilt repo
QT-driven funding cost rises combined with clients’ price demands see at least two banks pull back
China set to extend NDF trading scheme for onshore banks
CFETS expected to introduce RFQ functionality and more currencies for non-deliverable forwards
New data reveals Pimco is top Ucits interest rate swaps user
Counterparty Radar: US managers and dealers reign supreme in European retail fund space
Goldman appoints new financial risk head
Promotion sees Josh Schiffrin oversee strategy and financial risk, including trading supervision
Another post-Libor rate aims to clear Iosco bar
After two rivals were slapped down by the benchmark overseer last year, will Axi fare differently?
Crypto options need more principal market-makers – GS trader
Absence of risk warehousing market-makers holding back options development, says GS crypto trader