​Weekly: CBOE RMC Coverage; Latest Market Mapping Results

We cover the CBOE RMC conference from Geneva this week, with news that systematic strategies based on a fixed set of rules are becoming too big for the available liquidity in a changing market structure, the fee structure of some tail risk funds that benchmark against the performance of a 90% put also came under scrutiny this week from asset allocators. Allocations to uncorrelated forms of hedge funds strategies, such as CTAs, volatility arbitrage and long volatility, has increased in recent quarters from EFG Asset Management, it was revealed at the RMC. In the U.S. this week, we look at how volatility investors are coping with the new VIX normal above 20. Volumes in long positioning have been muted, while investors are holding on tight to short positions hoping for a mean reversion. DB is also noting significant 1×2 put spreads on the VIX and VXX, as retail investors push into the XIV. In our latest market mapping, we look at support from hedge funds and institutional investors active in VIX futures and options for the introduction of weeklys.