Volatility decline opens risk reversal strategies

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By Daniel O'Leary
23 Jun 2014

Volatility across asset classes declined to record levels last week, shifting the S&P 500’s term structure, steepening the skew and opening up ratio risk reversal strategies for investors.

The decline in volatility followed the US Federal Reserve’s Federal Open Market Committee meeting last week, which detailed plans to reduce the pace of assets purchasing, while maintaining the current target range for the federal funds rate.

An equity derivative strategist in New York noted the Fed announcement ...

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