Volatility in vogue
The spike in volatility initiated by the collapse of the US subprime market has spurred mark-to-market losses of equity-linked products. While investors remain bullish about equity markets, dealers are preparing for the next batch of products that short sell volatility. But has volatility come of age as a standalone marketable underlying?
Sparked by the US subprime mortgage crisis, global volatility has risen to its highest level this year. The Chicago Board Options Exchange Volatility Index (Vix) reached 37.5 points on August 17, its highest level since 2002, and nearly double the historical average of 18.9 points since 1990. Stock markets also tumbled. Between August 8-15, the S&P 500 index plunged by 6% and the Dow Jones Eurostoxx 50 index slumped by 4.5%.
The value of many equity-linked structured products has decreased
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net 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 info@risk.net
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 info@risk.net
More on Equity markets
The future of equity derivatives: perspectives for UK equities and dividends
Managing equity and dividend risk today requires new trading strategies and products. In a webinar convened by Risk.net and hosted by Eurex, three experts discuss what’s next for the UK and European markets.
Follow the moneyness
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
What gold's rise means for rates, equities
It has been several years since we have seen volatility in gold. An increase in gold volatility can typically be associated with a change in sentiment and investor behavior. The precious metal has surged this year on increased demand for safe haven…
Breaking the collateral silos – Navigating regulation with a strategic alternative
Emmanuel Denis, head of tri‑party services at BNP Paribas Securities Services, discusses why financial institutions must rethink old practices of collateral management and instead adopt a tri-party approach, with which equities can be managed as…
BAML and Morgan Stanley shift Indian P-notes to Europe
Tax changes trigger move out of Mauritius and Singapore
Volatility traders wrestle with digital risk of Brexit
Skew on major indexes leaps after market wakes up to risks of UK's referendum
New US tax rules could hamper ETN market, dealers warn
IRS’s forthcoming Section 871(m) rules could inadvertently capture legacy ETNs
Dealers fear death of dividend risk premia strategy
Shrinking dividend futures premium hurting investors
Most read
- Top 10 operational risks for 2024
- Japanese megabanks shun internal models as FRTB bites
- Top 10 op risks: third parties stoke cyber risk