Index Variance Option Trading Picks Up

GLOBALCAPITAL INTERNATIONAL LIMITED, a company

incorporated in England and Wales (company number 15236213),

having its registered office at 4 Bouverie Street, London, UK, EC4Y 8AX

Accessibility | Terms of Use | Privacy Policy | Modern Slavery Statement | Event Participant Terms & Conditions

Index Variance Option Trading Picks Up

Options on equity index variance, pioneered toward the end of last year, are now traded as frequently as once a fortnight, according to hedge fund managers.

Options on equity index variance, pioneered toward the end of last year, are now traded as frequently as once a fortnight, according to hedge fund managers. The trades, initially executed by Bank of America and Citigroup (DW, 10/1), are now being offered by several other derivatives houses including SG Corporate & Investment Banking, Credit Suisse First Boston and Deutsche Bank.

One fund manager said the growth of the variance swaps market (DW, 5/2) indicates the potential appetite for options on variance. Michael Wexler, fund manager at Maple Leaf Capital in London, noted most variance swap players are speculators, so options on variance are appealing instruments to fund managers already familiar with equity variance as an underlying.

Related articles

Gift this article