Totally skewed: US annuity hedges magnify S&P volatility

Dealer hedging of popular retirement products affecting index greeks, say traders

Increase in skew is being blamed on the rush towards annuity products

Structured products have a nasty habit of undermining the foundations of the equity markets they track. Over the past year, for instance, stock index volatility and skew – not to mention certain foreign exchange pairs – have been influenced by dealers looking to hedge popular autocallable products.

Traders now claim to see similar dynamics in the largest index of them all – the S&P 500 (SPX) – thanks to US investors' enthusiasm for annuity products, in particular variable annuities (VAs) and

To continue reading...

You need to sign in to use this feature. If you don’t have a 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: