Odey Asset Management plans to launch a global treasury fund that will trade over-the-counter foreign exchange options. Richard Neville-Rolfe, fund manager in London, said he will use medium-term vanilla fx options to express global macro views.
Neville-Rolfe explained that the treasury fund aims to replicate the activities of a corporate's treasury department. Although it will mainly use fx spot, forwards and futures as well as interest-rate and bond futures he favors over-the-counter fx options. This is because they are more liquid and can be specifically designed. He added that the fund would consider using other OTC derivatives such as exotic fx options and swaps if the current strategy exhausts the opportunities in the listed market.
