​Mid-Weekly: MAI Adds Short Puts; Systematic Indices Launch

The market saw a shaky start to the week with the VIX rallying up to a lofty 12! The benchmark was headed back down today, as Apple stock shot up thanks to great iPhone 7 sales. In the U.S., short vol manager MAI noted it had added short SPDR puts to its short put portfolio to play the “Trump-effect” on single names, with healthcare stock specifically in its sights. Meanwhile, both ABR and CBOE released smart indices this week, with CBOE Vest eyeing the latter as the underlying for a potential mutual fund. Term structure trades, such as forward start variance, are also in vogue as skew declines on the S&P and rises on the VIX.