QIS 3.0 ‘bonanza’: hedge funds pivot from options to swaps
Pod-level scramble for max-loss exposure gives way to central risk books seeking overlays
Multi-strategy hedge funds that have scrambled to trade options on banks’ quantitative investment strategies (QIS) are increasingly switching to a delta one swap-based approach, banks report.
Previously seen as a low-cost way for portfolio managers to access diversified or operationally cumbersome exposures in a maximum loss format, dealers say conversations are now moving from individual pod level
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