Reverse dispersion gains traction as implied spread jumps
Inverted strategy on Euro Stoxx 50 gains popularity for profit-taking and correlation play
The spread between the expected volatility of European single stocks and their related equity benchmarks has hit record highs, raising the entry cost for popular dispersion strategies and triggering interest in a reverse version of the trade.
Dispersion, which sees investors bet the volatility of single stocks will outpace index volatility, became a firm favourite among hedge funds and asset managers in response to interest rate-driven sector rotations and idiosyncratic moves around earnings
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