​Citi’s Jodhawat: Room To The Upside As Vol Players Wait For Russia Catalyst

During Q4 of 2015, client activity in RDXUSD was weighted towards upside structures around March-16 and June-16 expiries. Despite the January global selloff, implied volatility in the index has not significantly outperformed skew. Anurag Jodhawat, head of CEEMEA equity derivatives flow trading at Citigroup in London, notes strategies such as call flys and call spreads will continue to be explored by investors in 2016, although interest from volatility players will be dependent on flows driving volatility to extreme levels in absolute or relative terms. Rob McGlinchey reports.