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
  • 24 Jul 2017
1 Citi 253,106.92 930 8.89%
2 JPMorgan 230,914.50 1036 8.11%
3 Bank of America Merrill Lynch 221,389.46 762 7.78%
4 Goldman Sachs 171,499.26 554 6.03%
5 Barclays 169,046.60 646 5.94%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • 25 Jul 2017
1 HSBC 27,039.93 106 7.36%
2 Deutsche Bank 25,125.19 81 6.84%
3 Bank of America Merrill Lynch 23,128.33 61 6.29%
4 BNP Paribas 19,315.94 110 5.26%
5 Credit Agricole CIB 18,706.93 106 5.09%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 13,488.13 59 8.47%
2 Citi 11,496.21 73 7.22%
3 UBS 11,302.86 45 7.09%
4 Morgan Stanley 10,864.95 59 6.82%
5 Goldman Sachs 10,434.21 54 6.55%