Derivs - Equity

End users of equity derivatives are playing a breakdown in correlation between indexes and their components through dispersion trades and event-specific single stock options.

A first-of-its kind closed-end fund from Eaton Vance could siphon off high-net worth investor appetite from the structured notes market, structuring officials say, noting the fund provides a payoff profile similar to a structured note but has daily collateralization and spreads counterparty credit risk across multiple issuers.

New York-based quant manager Lake Hill Capital has rolled out a systematic tail risk strategy that uses an algorithm to estimate fair value in listed options by entering into options that remain delta-neutral but long volatility.

Lyxor, a subsidiary of Société Générale, has listed two new exchange-traded funds in Singapore at the same time as the firm continues to wind down its Hong Kong platform.

The Belgian Financial Services and Markets Authority is holding firm on reducing structured products that it considers complex despite industry opposition to the regulator’s proposal.

With the growing popularity of VIX derivatives, the innovations in these products have flourished over the last few years. In early 2009, Barclays introduced the VIX-related exchange-traded products, with VXX and VXZ--iPath S&P500 VIX Future—replicating the short-term and mid-terms VIX futures, respectively.

Assad Amin, global head of equity execution at the Royal Bank of Scotland in London, has left the firm.

Fears of a retracement in U.S. equities are being exacerbated by expected month-end rebalancing flows by pension funds into bonds that is in turn forcing insurance companies hedging variable annuity exposure to shorten maturities on variance swaps and out-of-the-money puts to avoid onerous premiums.

High net-worth investors are no longer demanding certificate of deposit wrappers and/or principal protection on structured notes.

VTB Capital has expanded its equities team in the Middle East with the appointment of five officials across trading, sales and structuring.

Cantor Fitzgerald is set to hire Adam Futterman as global head of single stock options sales in New York.

Vstoxx option flow has spiked in recent weeks in a sign that Europe’s volatility index could become liquid enough to host products currently available on the U.S. volatility index, known as the VIX.