Volatility - Viva la variance

Equity derivatives

Volatile equity markets in May and June sent many variance swap traders scrambling for cover. The millions of dollars in mark-to-market losses suffered by prop desks, hedge funds and real money managers highlighted the difficulty of managing exotic equity risk. But rather than steering clear of variance swaps, some investors are again building exposure using a new generation of products.

"After May and June, it became difficult to sell volatility, and that's what hedge funds like to do - sell

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