In today’s market, investors are increasingly turning to bank quantitative investment strategies (QIS) to secure protection that reacts faster to sudden shocks. As persistent volatility gives way to a more episodic, flash-crash regime, managing gap risk has become a key priority.
Adrien Géliot, CEO of Premialab, commented: “There’s been a clear pickup in institutional interest in managing gap risk as persistent volatility has given way to a more episodic regime. Traditional hedging tools have become less effective in that environment.
Within QIS, we’re seeing the most innovation - strategies capturing convexity through variance swap replication, short-dated options, and VIX futures or options.
The next frontier is trading these exposures dynamically, leveraging intraday data and signals such as volatility clustering and stress indicators to balance convexity capture against carry cost. QIS provides the systematic precision needed to time convexity rather than simply hold it.”
Read the full article on Bloomberg for insights on how institutional investors are using reactive hedges, dispersion trades, and other QIS innovations to navigate market shocks.
