​Daily Wrap – VIX Volumes Muted; Vol Arb Allocations Increasing

We report from the CBOE Risk Management Conference in Geneva this week that allocations to uncorrelated forms of hedge funds strategies, such as CTAs, volatility arbitrage and long volatility, has increased in recent quarters from EFG Asset Management. That’s straight from Jérôme Berset, head of hedge funds research at the firm, who was speaking on the ‘Trends in Institutional Options and Volatility Product Usage’ panel today. In our VIX coverage, we look at the low volumes as the benchmark hits its 27th consecutive day above 20. Meanwhile CBOE is set to list FTSE Russell Index options, while in the people and firms section, Goldman Sachs has lost its chief of portfolio management.