Logica Capital July 2022 Commentary
Logica Capital commentary for the month ended July 31, 2022. Market indices charged upward with vigor while VIX/Implied Volatility were decimated in July.
Source: valuewalk.com
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Top News In Implied Volatility Today - Breaking & Trending Today
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
Source: risk.net
Reviving the lost art of perturbation for exotic pricing
Natixis quants find novel way to speed up volatility smile modelling
Source: risk.net
Index vol has been a poor hedge for equity rout, traders say
Single stock ‘micro’ hedges have offered more protection in this year’s sell-off
Source: risk.net
Lack of supply keeps short-end euro rates vol high
Hedge funds and corporates rush to hedge potential rises in euro interest rates – but sellers aren’t there, say traders
Source: risk.net