Funds race to sell volatility post-ECB meeting

By Hazel Sheffield
12 Nov 2014

Hedge funds and real money investors were fast to sell volatility on iTraxx Main and Crossover after the European Central Bank meeting on November 6, causing the volatility calendar and the volatility smile to steepen.

Paola Lamedica, credit sector specialist at BNP Paribas in London, said that there was a strong showing from investors wanting to buy November receivers ahead of the ECB meeting, however, the decision by the ECB to defer further action instead prompted selling of receivers. Lamedica said the majority ...

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