Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Dealers are reporting a surge in activity for some types of trade as volatility has reappeared
The first sustained bout of equity volatility in more than two years is raising investors’ hopes of a better trading environment – even though thin liquidity made some early dislocations all but untradeable.
A month after its February 5 spike, the Vix index of S&P 500 volatility continues to bounce around in the high teens and low 20s. It had been trading below 10 points in early January.
“We see this as a longer-term shift in regime for volatility and correlation,” says a portfolio manager at
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The week on Risk.net, June 16–22, 2018
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