Derivs - FX

CBOE Futures Exchange is set to expand VIX futures trading hours to nearly 24 hours per day on June 22. The move follows a trading expansion by five hours, 45 minutes late last year.

Volatility arbitrage and multi-strategy hedge funds have been hedging potential China macro tail risk by going long volatility via volatility spreads that reference the HSCEI and the S&P 500.

Hedge funds and institutional investors globally have been buying forward volatility agreements on the euro against the US dollar, driven by the current low vol environment, according to fx structurers.

Market participants are expecting greater two-way volatility in onshore and offshore renminbi, following a recent widening of the currency’s trading band, which could help boost volumes in the fx derivatives market in the long-term.

The CDS cash basis of the UK remained largely unchanged in the first quarter of 2014, according to the Bank of England’s quarterly bulletin. The basis had steadily decreased for the second half of 2013 because of increased confidence among investors and a growing willingness to bear risk, leading to an increase in the supply of protection and a decline in CDS premia.

The situation in Ukraine remains highly volatile, and growth appears to be flagging in China. Such a scenario would once have triggered risk aversion in the eurozone’s periphery, as well as in emerging markets.

Deutsche Bank has been given licensing rights to the Stoxx Europe Low Beta High Div 50 Index and plans to issue structured products linked to the underlying.

Dealers in Hong Kong looking to issue fx-linked accumulators and decumulators will need to perform greater checks on an investor’s suitability for the product prior to executing a trade, according to a Hong Kong Monetary Authority circular.

Hedge funds and asset managers are looking at various strategies on the iTraxx and CDX indices in an effort to profit ahead of the roll to series 21 on March 20. Michael Hünseler, who manages Assenagon’s €200m credit selection fund in Munich, told GlobalCapital that the fund was looking at selling protection on the new names that will be included in the iTraxx Crossover ahead of the roll.

Singapore Exchange plans to launch options trading on China A50 futures in the third quarter this year and will also expand its suite of foreign exchange Asian currency futures to include renminbi around the same time.

Hedge funds and some real money players are maintaining or adding to short volatility positions on iTraxx Main this week. New buyers of volatility have retreated in recent days as fears of a military solution to the Ukrainian crisis subsided last week.

Corporates globally have been buying target forwards and accumulators on the renminbi against the US dollar in expectation that the planned appreciation of the Chinese unit will continue, according to foreign exchange structurers.