Amaranth has reportedly been unwinding equity correlation positions since May's uptick in implied volatility and correlation (DW, 5/22).
Wu is tipped to be joining SAC CapitalAdvisors. Calls to SAC regarding the hire were referred to external communications firm Citigate Sard Verbinnen, where Jonathan Gasthalter declined comment.
According to NASD registration information, both Delev and Wu had worked at Amaranth—previously Paloma Securities—since 2000. Wu worked at Goldman Sachs prior to joining Paloma.