Structural changes behind rise in long-dated skew, say dealers
Reduction in risk appetite and regulatory crackdown causing increase in long-dated skew, say equity derivatives dealers
The European sovereign debt crisis caused a jolt in equity market volatility earlier this year, but dealers say structural market changes are to blame for the persistence of elevated levels of long-dated volatility and skew.
The shifts are a "regime change" for the equity derivatives market, say some bankers.
Market turmoil in May had a nasty knock-on effect on equity derivatives desks, with some measures of skew – which represents the difference in implied volatility between out-of-the-money
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