Credit volatility spurs interest in credit default swaptions market

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Options on credit default swaps and other credit volatility products are slowly gaining steam in the US, according to dealers. “With all the event risk we’ve had in the investment-grade market, there would be a lot of demand for people to buy that protection,” says James Vore, head of credit derivatives product management at Morgan Stanley in New York. “I just haven’t seen the other side of that – people who want to sell options.”

Rising credit default swap volumes and the trend towards

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