A risk unspoken

With an established liquid derivatives market in associated instruments, dealers' management of volatility risk is, in theory at least, relatively straightforward. The same cannot be said of correlation risk. John Ferry talks to leading firms about how volatile markets have affected correlation exposures

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Repricing of risk has been evident across equity derivatives markets in recent weeks. Understandably, most attention has fallen on volatility risk. The Chicago Board Options Exchange's Vix index, which measures the market's expectation of 30-day volatility on S&P 500 index option prices, touched 37.5% on August 16, its highest intra-day level since October 2002. It has traded at above 20% in subsequent weeks before dipping below this level to close at 19% on September 21.

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What gold's rise means for rates, equities

It has been several years since we have seen volatility in gold. An increase in gold volatility can typically be associated with a change in sentiment and investor behavior. The precious metal has surged this year on increased demand for safe haven…

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