News & Events

A tiny sniff of fear

August 27, 2021

“Options market observers are also seeing increased risk aversion. Garrett De Simone, head of quantitative research at OptionMetrics, pointed out to me that the term structure of the volatility futures market is particularly steep at this time.

In other words, if you want to hedge market risk using Vix index options, using futures for 7 months (for example) compared to 4 months is very expensive. Traders are investigating early 2022, recognizing the potential for turmoil and paying for protection.”

OptionMetrics’ Garrett DeSimone is featured in the latest Financial Times’ article, “A tiny sniff of fear.” Learn more about the increased risk aversion in the options market by reading the full article below.