​Daily Bulletin: Wednesday June 10

Jun 10, 2015

The investor that opened up that really big 1×2 call on the VIX in April has again rolled it out to August. The trade is one of the largest VIX positions ever seen. Today’s roll involved the investor selling 181,000 July 17 – 23 1×2 call spreads and buying the same trade with an August maturity, paying 14c. In Europe, increasing moves by delta one desks to cut inventory and buy back synthetics is pushing equity repo rates lower in the Eurostoxx 50 with the Eurostoxx 1-yr total-return swap at its highest point during the last five years, according to some equity derivatives salesmen. Given the trend, combined with the lack of supply seen from investors in front-end futures, rolling could be challenging for investors as the sellside would be less willing to provide liquidity during the futures roll. In the people and firm’s section, a former equity derivatives trader at Capstone Investment Advisors in New York has joined an alternative investment manager that uses strategies to invest in event opportunities including mergers, acquisitions and takeovers.

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