BNP Finds Takers For EM Long Vol
BNP Paribas is seeing flows for a long emerging market volatility trade it started pitching in September. The trade is to buy a Jan 14 variance swap at 32.75 (capped) on iShares MSCI Emerging Markets Index Fund and sell a Jan 14 variance swap at 25.05 (capped) on the S&P 500.
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