​Mid-Weekly: VIX Put Buying Seen, Low Dispersion Upsets SS Vol

The steep VIX term structure is opening a number of opportunities. Firstly, its making VIX puts very attractive, and those looking to hedge have taken advantage buying August puts with strikes between 13-and-16. The situation is also highlighting the attractiveness of Sept/Nov calendar strangles as a hedge against the U.S. Presidential Election and the aftermath of the Italian Constitutional Referendum, which is scheduled for late October. Also this week, we look at the unique situation in single stocks. This earning season is seeing rather low dispersion among the top 50 S&P names, impacting var and vol swaps. In our pension coverage, the State Board of Administration of Florida revealed it had made a USD150 million investment in AQR’s risk premia strategy.