​Weekly Bulletin: Feb 2-6

Feb 6, 2015

Large put flow in the Russell 2000 ETF rounded out the week Friday, with investors targeting 106, 94 and 108 following the benchmark’s move to 120. Investors in the U.S. this week were also seen purchasing OTC downside puts on the VIX in a bid to play a potential collapse in realized volatility, while some investors were also seen buying listed and over-the-counter downside puts on TLT, as they seek to protect against potential interest rate rises later in the year. In our pension fund coverage this week, greater uncertainty in the global and U.S. markets is causing one pension and endowment manager to hang on the sidelines this year and hold rolling their 2014 positions, while a Hawaiian based manager is seeking to supplement a covered call S&P 500 strategy with cash secured put writing. In Europe, ongoing concerns over growth, earnings and debt negotiations in the Eurozone have driven increased focus from investors in exploring defensive upside strategies on the back of the European Central Bank’s recent quantitative easing announcement. Fund managers are largely holding off from going long Eurostoxx 50 long-term dividend futures, despite contracts such as DEDZ9 outperforming spot following the announcement of a quantitative easing package from the ECB.

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