Hedge funds, CVAs tap payers on Main

Paola Lamedica
By Hazel Sheffield
03 Apr 2014

A mix of hedge funds and credit valuation adjustment desks are buying deep out-of-the-money payers with April expiries on the iTraxx Main and to a lesser extent the Crossover indices in what was a fairly active week in credit options. Flows skewed towards long volatility and hedging strategies.

Despite the significant flow, DTCC data showed a $490 billion drop in gross outstanding notional following the March expiry, with the net outstanding down $84 billion and the number of contracts down a third. Paola Lamedica, credit sector specialist at BNP Paribas in London, said that the data ...

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