Volatility products hit by negative roll yield

Getting a grip on volatility

bertranddelarue-bnpparibas

It has not been the easiest of times for volatility investors. Volatility has remained relatively subdued over the past year, despite the sovereign debt crisis in the eurozone, and is way off its peak at the end of 2008. At the same time, the term structure of volatility is upwardly sloping, partly reflecting the uncertainty in future market conditions. There is nothing particularly unusual in that, but it’s behind a huge drag on the performance of a variety of volatility-based products – creati

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