Global events fail to rock dispersion trades

Yuriko Mita
Yuriko Mita, BAML

Despite recent market woes, dispersion trades continue to be popular with sophisticated market players such as hedge funds, according to dealers.

Dispersion trades involve investors selling a variance swap on an index and buying variance swaps on the constituent stocks, giving them a short correlation position. In other words, the investor would profit if the individual stocks move in an idiosyncratic way, with variance for those stocks rising more than the index.

In essence, the trade benefits

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 indvidual account here: