Short volatility up in June

The bank’s naive simulation of the currency trading style generated a return of 5.5% in June as short positions on all currencies, except yen, put on at the end of May produced a gain.

“This is unsurprising, as the volatility from the European market stress in May had since abated,” said Theodore Chen, in the quant solutions group at RBS in London.

Chen added that at the end of June, there were still short volatility positions applied to the euro, Swiss franc, Australian dollar and Norwegian

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