Barcap aims to capture FX volatility
Barclays Capital has launched three FX Volatility indexes: the BetaVol, Smart BetaVol and AlphaVol. The indexes, which are designed to provide both portfolio diversification and event hedge protection against sudden market downturns, have been assembled in a response to both the interest in volatility as an asset class and the rapidly expanding FX volatility market.
“The FX volatility market has grown dramatically,” says Andy Kaufmann, co-head of FX structuring at Barclays Capital. “If one looks at the Bank for International Settlements (BIS) numbers, the FX options volume has grown four-fold between 2001 and 2007, and we are in effect looking at US$200 billion a day. But most market participants wishing to access the value available in the volatility markets can only do so in an indirect fashion, using instruments such as currency calls or puts. This is
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