UBS’ Naylor: Buyside Convexity Demand Spikes

Institutional investors are showing increased demand for convexity on the S&P500 instruments such as wing options or buy buying a variance swap and selling a volatility swap on the index, Roger Naylor, head of global equity derivatives at UBS in London, told DI in an exclusive interview. Volume has yet to increase sharply, but requests are up given cheap convexity.