BofA Eyes Short Skew, Long Vol Trades For Protection Against Moderate Market Declines

Bank of America officials are favoring short skew, long vol trades as a form of protection against moderate market declines. “While we do not expect short-term volatility to attain the highs we saw in March, we do think there could be more pessimism in equities,” said Abhinandan Deb, head of EMEA equity derivatives research and cross-asset quant investment strategies at Bank of America in London.