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Startup Plans To Trade Variance Swaps

An equity volatility startup led by former Ferox traders Antonio Medina and Vincenzo Di Gennaro (DW, 12/13) will use variance swaps and the full spectrum of equity options.

An equity volatility startup led by former Ferox traders Antonio Medina and Vincenzo Di Gennaro (DW, 12/13) will use variance swaps and the full spectrum of equity options. The fund, dubbed Trebax--Latin for clever--will likely launch in April. Medina said it plans to trade variance swaps and strip the volatility component out of convertible bonds.

"Equity volatility is in uncharted territory," said Medina. He thinks there are opportunities in the market, despite indices touching several year lows for equity implied volatility this year. "There are some interesting spread anomalies because no one is sure where volatility is going," said Medina. Trebax will trade liquid products with a tight bid/offer spread. "We will probably not look at options on variance," he added, explaining they are not liquid enough for the fund (DW, 10/1).

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