​Weekly Bulletin: April 20 – 24

Apr 24, 2015

The VIX moved lower this week touching around 12.23 at Friday’s close in the U.S. The listed VIX options market was busy, however, with the most popular trade targeting June 18 calls for USD1.22. The grind lower was also meet with some sizable put flow earlier in the week, with one trade consisting of near 100,000 May 2015 contracts targeting 12.5 costing USD0.09. In European volatility, we take a look at the evolving VSTOXX market. It seems hedge funds, across both volatility and multi strategies, are increasingly looking at the benchmark as a way of implementing tactical positioning. We’re also talking to some sellside shops this week on the changing fixed index annuities market and how an interest rate change could play out there. In Asia, The 13% rally in H-Shares during the first week of April has driven a significant spike in upside short-term HSCEI options. Despite the rally, however, HSCEI longer-dated option volumes have dwindled. We look at the reasons dealers are not rushing to buy back vega during this period, which is translating into declining volumes in HSCEI longer-dated options.

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