Funds buy up iTraxx Main vol in midst of sell-off

By Hazel Sheffield
21 Oct 2014

Hedge funds have been picking up volatility in iTraxx Main and Crossover during a week in which credit volatilities have been repriced higher, with Crossover being the most affected.

Paola Lamedica, credit sector specialist at BNP Paribas in London, said that the iTraxx Crossover December break-even is 13.7bp, but intraday volatility has increased to 21.6bp, the highest point since July 2012.

“Volatility was repriced on numerous occasions during the same trading session last week — a rare ...

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