Structural changes behind rise in long-dated skew, say dealers

market volatility
Volatility: a source of dealer losses

The European sovereign debt crisis caused a jolt in equity market volatility earlier this year, but dealers say structural market changes are to blame for the persistence of elevated levels of long-dated volatility and skew.

The shifts are a "regime change" for the equity derivatives market, say some bankers.

Market turmoil in May had a nasty knock-on effect on equity derivatives desks, with some measures of skew – which represents the difference in implied volatility between out-of-the-money

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:

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 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: