Dispersion or Capitulation: That is the question!


"After the publication of a first article in March 2022, we return in this article to provide an update on the premiums for cover at the end of May 2022.

We focus here on option premiums according to three different visions:

    "Long Vol Hedging": characterised by a -5%/-20% 1-year hedging option
    "Tail risk hedging: characterised by a 20% 1-year hedge option
    "Dispersion: focus on stocks or sectors with high dispersion within the markets".

Alexandre RYO, Head of Development for Ellipsis AM's Overlay & Customised Portfolio Solutions division, shares his analysis on the Swiss website Investir.ch.

Click below to read the article and access the Investir.ch website