S&P relative-value vol trades backfire

shock move — Investors lost out as vol surged on the S&P 500 while climbing less for single stocks and other indexes

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- Helen Bartholomew, Lukas Becker, Duncan Wood
- 09 Feb 2018

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Investors are said to have lost almost $500 million on popular relative-value trades over the past week, as volatility surged on the S&P 500 while climbing less for single stocks and other indexes, against which the volatility of the US index is typically shorted.

Generally, the US index has been more stable than other parts of the equity market, tempting many firms into the trades over recent years, but that behaviour has been turned on its head during the mayhem of the past week, generating

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