Go Long VStoxx/VIX Spread as Greece Situation Plays Out: SocGen
2015-07-13 13:19:30.6 GMT
By Joanna Ossinger
(Bloomberg) -- Go long Jan. V2X/VIX spread for 2.9 as
downward-sloping VStoxx term structure plus steep contango of
VIX curve make the spread “very attractive in terms of carry,”
SocGen strategists Shuwen Zhao, Herve Guyon write.
* Realized vol higher in Europe w/ SX5E/SPX 1-mo. spread
reaching 18pts
* In backtest: 5-mo. rolled every 4 mos. seems like best way
to extract value from inverted term structure (since 2009),
esp. when roll bid-offers are included
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To contact the reporter on this story:
Joanna Ossinger in New York at +1-212-617-7789 or
jossinger@bloomberg.net
To contact the editor responsible for this story:
Joanna Ossinger at +1-212-617-7789 or
jossinger@bloomberg.net
2015-07-13 13:19:30.6 GMT
By Joanna Ossinger
(Bloomberg) -- Go long Jan. V2X/VIX spread for 2.9 as
downward-sloping VStoxx term structure plus steep contango of
VIX curve make the spread “very attractive in terms of carry,”
SocGen strategists Shuwen Zhao, Herve Guyon write.
* Realized vol higher in Europe w/ SX5E/SPX 1-mo. spread
reaching 18pts
* In backtest: 5-mo. rolled every 4 mos. seems like best way
to extract value from inverted term structure (since 2009),
esp. when roll bid-offers are included
For Related News and Information:
First Word scrolling panel: FIRST<GO>
First Word newswire: NH BFW<GO>
To contact the reporter on this story:
Joanna Ossinger in New York at +1-212-617-7789 or
jossinger@bloomberg.net
To contact the editor responsible for this story:
Joanna Ossinger at +1-212-617-7789 or
jossinger@bloomberg.net