Dispersion trades suffer in coronavirus selloff

Losses put at roughly $150m – even before markets tanked on March 9

coronavirus

A popular equity derivatives product – the dispersion trade – has come unstuck in the past fortnight, with the spreading coronavirus causing stock markets to fall in unison.

Investors have been betting the volatility of individual stocks will exceed that of the index, a strategy that attracted large inflows during the predominantly low-volatility markets of the past two years, when indexes have tended to be stable and single stocks have been more jumpy.

“Obviously all of that is now obsolete

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 copy this content. Please contact [email protected] to find out more.

To continue reading...

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