A volatile commodity

The protracted fall in implied volatility levels has had an interesting effect on the products and strategies used by hedge funds.

Implied volatilities exploded to multi-year highs during the crisis in 2008, but the aftermath has caught almost everyone by surprise. Since hitting a peak of 89.53% in late 2008, the Vix, an index traded on the Chicago Board Options Exchange that reflects investor estimates of future volatility, has traded down to around 20%.

“Very few players have been able to foresee the crash in implied volatilities since the peak of the crisis,” said a...

To continue reading, please login or register for free

Print Edition

FinanceAsia Print Edition

CONFERENCES

  • 2nd Compliance Summit Southeast Asia

    17 August 2017  |  Singapore
    The 2017 Compliance Summit Southeast Asia will take an in-depth look at the key compliance considerations today with a focus on regulation and new ...