Sparking interest
Structured product makers currently use the correlation swaps market to help unwind their positions. And a recent trade shows that options on equity index correlation are sparking at least some interest. John Ferry reports
At the end of February a rumour began circulating around derivatives trading desks that Credit Suisse First Boston (CSFB) had managed to pull off a rare transaction by selling a bespoke option on equity index correlation to a hedge fund.
The benefits to a dealer of performing such a trade are obvious. Structured product makers are perennially short correlation because they sell so much of it to
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