volatility dispersion strategies

German translation: Volatilitätsdispersions-Strategien

03:27 Sep 15, 2009

English to German translations [PRO]
Bus/Financial - Investment / Securities / Hedge-Fonds

English term or phrase: volatility dispersion strategies

Aus einer Pressemitteilung (ABC ist ein Hedge-Fonds, XYZ ist ein Anbieter von Lösungen für das Portfolio- und Risikomanagement):

Because ABC employs long/short equity and ***volatility dispersion strategies*** and trades with a particular focus on equity and index options, warrants, and stocks within the Swiss market, XYZ’s broad cross-asset support was critical.

Dazu gefunden habe ich u. a. folgende Erklärung:

The volatility-dispersion strategy is one of the most elegant in derivatives trading. When executed and managed properly, this highly sophisticated approach can produce truly superior risk/reward profiles. Volatility dispersion trading is essentially a hedged strategy designed to take advantage of relative value differences in implied volatilities between an index and a basket of component stocks. It typically involves short option positions on an index, against which long option positions are taken on a set of components of the index. It is common to see a short straddle or near-ATM strangle on the index and long similar straddles or strangles on 30% to 40% of the stocks that make up the index. If maximum dispersion is realized, the strategy will make money on the long stock options and will lose very little on the short index options, since the latter would have moved very little. The strategy is typically a very low-premium strategy, with very low initial Delta and typically a small net
long Vega.

(Quelle: http://docs.google.com/gview?a=v&q=cache:yxAuO4E-yGwJ:www.iv...

Vielen Dank!

Anne Spitzmueller KudoZ activity Questions: 482 (1 open) (23 closed without grading) Answers: 551 Germany
Local time: 21:18

German translation:Volatilitätsdispersions-Strategien

Selected response from:

Ralf Lemster
Germany
Local time: 21:18

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Volatilitätsdispersions-Strategien

Ralf Lemster

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2 hrs confidence:

peer agreement (net): +4

Volatilitätsdispersions-Strategien

Explanation:
Lässt sich in der Tat wörtlich übersetzen; wenn Du das Wortmonster "Volatilitätsdispersions-Strategien" vermeiden willst, kannst Du auch von "Strategien auf Basis der Volatilitätsdispersion" sprechen.

Die Beschreibung des theoretischen Konzepts hast Du ja schon gefunden.

Reference: http://www.eurexchange.com/download/documents/publications/d...
Reference: http://www.risk.net/public/showPage.html?page=815447

Ralf Lemster
Germany
Local time: 21:18
Specializes in field
Native speaker of: German
PRO pts in category: 1620

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volatility dispersion strategies

German translation: Volatilitätsdispersions-Strategien

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