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
  • Today
1 Citi 356,356.29 1337 9.08%
2 JPMorgan 317,952.80 1443 8.10%
3 Bank of America Merrill Lynch 316,523.82 1098 8.06%
4 Goldman Sachs 235,165.28 784 5.99%
5 Barclays 229,116.44 888 5.84%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 HSBC 34,312.86 161 6.57%
2 Deutsche Bank 34,194.98 116 6.55%
3 Bank of America Merrill Lynch 31,113.25 94 5.96%
4 BNP Paribas 27,479.75 167 5.26%
5 SG Corporate & Investment Banking 23,982.83 136 4.59%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 19,536.02 78 8.89%
2 Morgan Stanley 16,323.54 83 7.43%
3 Citi 15,750.21 93 7.17%
4 UBS 15,208.47 58 6.92%
5 Goldman Sachs 13,499.48 73 6.15%