Short volatility strategies shine

- Saima Farooqi
- 09 Mar 2009

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

LONDON - Currency managers going short volatility continue to be the only winners of the high-volatility environment so far this year, research by Royal Bank of Scotland indicates.

According to the bank's naive simulations of currency strategies, short volatility benefited from a significant rise to premiums in all currencies at the start of the month as a result of implied volatility levels. This was more than sufficient to offset the losses at month-end resulting from the movements in yen and

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact customer services - www.fx-markets.com/static/contact-us, or view our subscription options here: https://subscriptions.fx-markets.com/subscribe

You are currently unable to print this content. Please contact customer services - www.fx-markets.com/static/contact-us to find out more.

You are currently unable to copy this content. Please contact info@fx-markets.com to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@fx-markets.com

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@fx-markets.com