Mark Delaney, senior portfolio manager at GE Asset Management in Stamford, Conn., said the firm is looking at using options on credit derivative indices and single-name corporate credit-default swaps. "We already do options on interest-rate products, so it dovetails nicely," he said in a follow-up conversation, adding the appeal is that credit options have pricing inefficiencies to exploit. "The problem is liquidity. Not enough dealers quote options."
Some firms, notably Barclays Capital, are starting to put out good ideas and trying to make active options markets, Delaney said. "We don't have a timeframe on this. When we feel comfortable we've identified the potential risks, we will set up a program that utilizes the new tools."
