Derivative strategies and non-linear payoffs
The COVID-19 crisis has led to historically high levels of dislocation. Traditional asset classes as well as synthetic credit, and implied parameters such as volatility, correlation and dividends have been affected. How can investors identify the markets, asset classes and instruments most impacted and capture and risk-manage the opportunities?
Guillaume Dupin, partner and head of absolute return strategies, LFIS
Moderator: Alex Proimos, head of institutional content, Investment Magazine
- Equity derivatives markets have then been affected to a much bigger extent than during GFC, in particular a dislocation exists in the European Repo rate whereby the recent Basel III regulations are exacerbating the flows of structured products.
- Within the super senior tranches there is a structural credit premia that is being perpetuated with accommodative monetary policy.
- There is a path towards the normalisation for implied parameters, this would involve a two-step process with the realised parameters needing to rest first.