London-based Shooter Fund Management has rolled out a volatility arbitrage fund and may look to trade variance options, instruments pioneered by Bank of America and Citigroup (DW, 10/1). The fund, dubbed Shooter Multi-Strategy Fund will trade variance swaps and listed equity options, said Steve Durham, a principal. Durham added the fund may consider buying options on variance, "If the price is right."
This year has seen low equity volatility and hedge fund marketers say it has been a difficult year for volatility arbitrage funds. "The market conditions don't worry us at all," said Durham, who left his position as head trader at Mako Global Derivatives six months ago. The Shooter Multi-Strategy Fund has USD15 million under management, according to Durham.
