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Educating investors about volatility investing has been a theme of the Chicago Board Options Exchange’s Risk Management Conference Europe, at the Penha Longa Resort in Sintra, Portugal. One of the managers in that mode is SigmaSquare Capital, which is headed by cio Stefan Wintner in Zurich. “It’s about educating people about volatility as an asset class. I’m speaking with different seed funds and also institutional investors,” he told DW on the sidelines.
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U.S. insurers have equity market exposure in living benefit variable annuities of some $500 billion and total equity vega within that of $1.25 billion, a Tuesday afternoon session at the Chicago Board Options Exchange Risk Management Conference in Sintra, Portugal, heard.
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The Korea Exchange will divide membership of its over-the-counter derivatives clearinghouse into two categories, which will see foreign entities allowed to access the CCP indirectly as customers via Korea-based brokers.
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European buysiders are being put off trading volatility in most emerging market indices due to the lack of liquidity.
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The launch of Russell 2000 volatility index options and futures will allow equity derivative portfolio managers to manage vol with more precision and optimise returns as institutional investors increasingly develop their vol investment strategies, according to delegates at the Chicago Board Options Exchange Risk Management Conference Europe.
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Investors who buy protection on the iTraxx Main as a hedge for their cash portfolios should sell an iTraxx Main S20 – 20 Nov. 125 basis point payer for 10 cents to reduce the negative carry of the position and to leverage on the steep smile and high forward, according to strategists at BNP Paribas.