​Weekly: Macro Funds Absent From Nikkei Vol, Citi Notes India Flow Spike

Volatility Index traders are likely to get less sleep as the CBOE started overnight dissemination today. Values will be published every 15 seconds, starting from 2.15am central time. Meanwhile, we also report this week on the growing support for a rates volatility index. A family of proprietary interest rate volatility indices from T3Index are finding increased support from banks, hedge funds and institutional investors, as market participants increasingly look to generate alpha or hedge against interest rate vol movements. Also this week, we report on the lack of interest from asia hedge funds in Nikkei vol. During the beginning of 2016, the sharp spike in Nikkei 225 volatility caught many macro funds off guard, with the majority missing the boat on profiting from the move. An opportunity in participating in another significant vol move in the Nikkei has emerged, with a rapid collapse in Nikkei 225 long-dated vols occurring during the last two months, yet funds have failed to pull the trigger.