Barclays Notes Volatility Hedges Benefited From S&P 500 Hiccup

In its May 6, VIX Compass publication, Barclays researchers provided a comprehensive look at risk management methods across a variety of volatility-based strategies as pricing has firmed across durations.

With S&P 500 down last week, volatility hedges up

With the S&P 500 declining by 1.18 percent last week, the report noted that most of the risk hedges outperformed, particularly a rolling put spread collar in the SPX options. Volatility rose across term structure, with near term may leading the way, adding 0.75 points, while the further out months of June and July added 0.55 and 0.4 points respectively, showing decreased impact of near-term volatility on...