CIBC to use Egar's dispersion software

CIBC World Markets, the investment banking arm of Canada's CIBC, has licensed Egar Dispersions, a volatility dispersion strategy analyser that shows investment opportunities in changes in the relationship between options on an equity index and options on the index constituents.

The software was developed by US- and Moscow-based trading and risk management systems provider Egar Technology.

The Egar Dispersion system provides several statistical measures of the stock components of an index, such as equivalent index volatility, contribution to index volatility along with measures on the index itself, which help dispersion traders pick the components of their portfolio as well as time the trade better.

“We were delighted to learn that Egar has designed a fully fledged analytical system to perform the functions we need for our new dispersion trading portfolio,” said Sanjay Dasgupta, executive director of the equity arbitrage group at CIBC World Markets. “With Egar’s new system, we now have a more effective and cost-efficient dispersion strategy.”

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