Tail Risk Hedge Eyed Between U.S. Vol And Europe Vol

SocGen officials suggest selling short-dated deep out-of-the-money puts on the S&P 500 versus buying Euro Stoxx 50 synthetic down variance as a way to achieve flat carry in benign market environments, with the potential for significant upside should tail events occur. Kunal Thakkar, cross-asset quantitative analyst at Société Générale, said this is an attractive trade