Dispersion trades suffer in coronavirus selloff
Losses put at roughly $150m – even before markets tanked on March 9
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
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