​Funds Look To Target Kospi2 Depressed Vol Via Spread Structures

Hedge funds are increasingly looking at spread structures that allow them to own vol in the Kospi2 given near-term event risk and the attractive entry levels that is being created by systematic gamma sellers that are driving realised and short-term implied vol to depressed levels. Those funds are considering Kospi2/SPX corridor variance structures to profit from the depressed implied vol spread, while others are looking at implementing the spread trade via vanilla options.