A lookback at 2016

26 July 2018

If you look at Brexit, everyone was expecting a massive volatility spike, but what happened was very short-term. A lot of structured products have longer maturities and actually volatility decreased in the long end of the curve. It was the same thing with the U.S. election. With Trump’s election, people expected the market to go down and the exact opposite happened. Pricing wise, the same thing happened: no real volatility spike.

Arthur Teixeira

Read Bloomberg’s briefs here.

Related News