Equity Term Structure Trades Take Off

Hedge funds have been snapping up short-dated index volatility and selling long-dated vol to profit from a sudden steepening of term structure.

  • 17 Jun 2005
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Hedge funds have been snapping up short-dated index volatility and selling long-dated vol to profit from a sudden steepening of term structure. Five-year Euro STOXX 50 implied volatility was trading at 18% last week, while one-month was at 11%. Dealers said long-dated vol has spiked because of perceived market risks, such as the upset in credit derivative markets, and has not eased as much as short-dated vol, which seems to be less sensitive (DW, 5/20).

One volatility trader said, "It's an attractive trade right now." But, he noted the term structure is driven by market flows at the moment, which are against the hedge funds' positions. Institutional flow tends to buy long-dated options and sell shorter dates and this is supporting the steep term structure. "I'm not sure they'll make any money on this one," concluded the trader.

  • 17 Jun 2005

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 13 Mar 2017
1 JPMorgan 94,925.33 384 8.39%
2 Citi 87,531.58 331 7.74%
3 Bank of America Merrill Lynch 84,341.49 288 7.46%
4 Barclays 75,288.19 241 6.66%
5 Goldman Sachs 68,504.71 208 6.06%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 14 Mar 2017
1 Bank of America Merrill Lynch 10,650.87 23 11.13%
2 Deutsche Bank 8,169.49 17 8.53%
3 HSBC 6,243.46 23 6.52%
4 Citi 4,355.35 13 4.55%
5 SG Corporate & Investment Banking 4,273.37 17 4.46%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 21 Mar 2017
1 JPMorgan 5,440.56 17 10.74%
2 Deutsche Bank 4,468.97 23 8.82%
3 UBS 3,742.72 17 7.39%
4 Citi 3,393.89 23 6.70%
5 Goldman Sachs 3,360.93 18 6.63%