Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Entire portfolios have been built on the adage that the world catches a cold when the US sneezes – a family of popular relative value trades allow investors to fund long volatility bets on Asian and European indexes by selling volatility on the S&P 500. But the rule was turned on its head in February’s selloff, leaving investors with an estimated $500 million in losses, and posing an awkward question: what to do when the US is the sickly one?
The answer varies. Some have chosen to limit their
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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Derivatives
