Derivs - Equity

Investors should look at buying a Nov. 14,000 straddle and selling a 0.5x March 2014 14,000 straddle on the Nikkei 225, in a bid to short the index’s volatility term structure following a drop in front-month volatility last week.

Hedge funds that typically use fx options as part of their investment strategy are increasingly sitting on the sidelines or looking to equity derivatives as uncertainty over political issues globally increases.

Commerzbank has launched a synthetic exchange-traded fund on the FTSE China A50 index in Europe.

The recommendations of the U.K.’s Independent Commission on Banking chaired by Sir John Vickers published Sept. 2011 will have a profound effect on banking in the U.K.

Investors should buy long-term out-of-the-money calls on the Eurostoxx 50 to position for an increase in upside volatilities in the index should Europe head for a bull market scenario, according to Société Générale.

Some Asia-based equity investors are sitting on the sidelines this week, or switching to emerging market bond investments, as political turmoil in the West spooks the buyside.

The Chicago Board Options Exchange is ramping up VIX trading hours, tweaking variance contracts, launching a new short-term vol index and firing up new small cap vol products. Ed Tilly, chief executive, sat down with Derivatives Week Executive Editor Peter Thompson to outline the rationale in an exclusive interview Tuesday at the CBOE’s Risk Management Conference Europe, at the Penha Longa Resort in Sintra, Portugal.

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.

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.

European buysiders are being put off trading volatility in most emerging market indices due to the lack of liquidity.

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.

The U.S. Commodity Futures Trading Commission’s one-month delay for registered swap execution facilities from any enforcement under the SEF rules with regard to market participants who trade on such SEFs isn’t long enough for the industry.