Amaranth Securities, the Greenwich, Conn.-based hedge fund giant, has lost senior equity volatility traders Todor Delev and MiaoDan Wu. The USD8 billion firm has been a cornerstone of the dispersion trading market and reportedly had some of the biggest equity volatility positions on the Street. While Wu is thought to have left some time ago, Delev's departure is understood to be more recent.
Amaranth has reportedly been unwinding equity correlation positions since May's uptick in implied volatility and correlation (DW, 5/22). If the traders left after the positions were closed out, it may be that they were pushed. If they left before, it could be that the fund was unwinding because there was no one left to manage the positions.
It was not clear at press time who is now at the helm of the fund's volatility trading book, or whether it will replace Wu and Delev. The buzz on the Street is the fund may close the volatility arm or even look to sell it. "It's always been a tough strategy," said one New York volatility fund manager, adding "the last few months have really tested everyone."
Wu could not be reached and Delev did not respond to a message left on his cell phone. Calls to Amaranth were referred to external PR firm Abernathy MacGregor, where Ann Taylor Reed declined all comment.
Wu is tipped to be joining SAC Capital Advisors. Calls to SAC regarding the hire were referred to external communications firm Citigate Sard Verbinnen, where Jonathan Gasthalter declined comment. Wu is very well regarded in the market and is said to be a phenomenal brain in the field.
According to NASD registration information, both Delev and Wu had worked at Amaranth--previously Paloma Securities--since 2000. Wu worked at Goldman Sachs prior to joining Paloma.
