Looking at its panoply of systematic volatility strategies in June, Barclays US Equity Derivatives Strategy research team notes winners and losers in what was an odd month for systematic price action. Going forward they make five volatility strategy recommendations but don’t clearly identify their forward looking market environment thesis. That said, the recommendations point to an expectation for potential volatility in the EU relative to the US and somewhat contained near term price movement. Volatility and correlations were odd in June June was an odd month for several reasons. In the wake of the largely unexpected Brexit vote, the VIX…
June Was A Wild Month For Volatility Strategies
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.