Sentences with phrase «vega exposure»

Given that each VIX futures contract has a constant vega exposure of 1000, the S&P VIX Short Term Futures Inverse Daily Index has been gradually increasing its vega exposure over the past couple of years.

Many market participants may not necessarily be aware of the jump in the vega exposure of the ETPs linked to this index.

The size of the index - linked, short - volatility ETP market (which stood around USD 2.7 billion at the peak [1]-RRB- may call for even more hedging in light of this increased vega exposure should another VIX jump happen.

Many market participants may not necessarily be aware of the jump in the vega exposure of the ETPs linked to this index.

Given that each VIX futures contract has a constant vega exposure of 1000, the S&P VIX Short Term Futures Inverse Daily Index has been gradually increasing its vega exposure over the past couple of years.

The size of the index - linked, short - volatility ETP market (which stood around USD 2.7 billion at the peak [1]-RRB- may call for even more hedging in light of this increased vega exposure should another VIX jump happen.