​Mid-Week Roundup: AP3’s Risk Premia Strategy, Brexit Effects Eyed On U.S. Equity

With the S&P flirting with 2,000 at the start of the week, some investors were left wondering whether we had a dead cat bounce on our hands, or if the worst of January’s volatile declines were behind us. The VIX, meanwhile, saw some interesting volume Tuesday with one investor at least expressing the view for higher vol over the next couple of months, opening an April 19 – 28 1×3 call spread for 12.5c 25,000 times, selling one leg and buying three. Also in the news this week, Bats is taking a shot at the VIX’s dominance, launching a new vol index that will track 30 day implieds on SPY. The bourse is hoping users will be attracted to its all electronic pricing methodology, over VIX’s largely floor-based model. In Europe, we talk to Sweden’s AP3 pension fund as it looks to keep its risk premia allocations stable this year, while some investors are in the market for vol as Thursday’s ECB meeting approaches.