​Gamma vs. Var Swap Structure Finds Investor Traction Amid Expensive SX5E Skew

A structure that involves an investor selling variance to buy a gamma swap to monetize the current elevated skew in the Euro STOXX 50 (SX5E) is finding increased interest from institutional investors. It is the latest structure that complements the growing base of relative value building blocks to allow institutional investors to trade realized skew as they adopt volatility as an asset class.