The next drop in U.S. equities may spur a bigger jump in the Chicago Board Options Exchange Volatility Index as investors rush to cover their record bets against the gauge, according to Societe Generale SA. (GLE)
Hedge funds and other large speculators have more than doubled short positions on VIX futures to 189,020 contracts since the end of June, according to data compiled by the U.S. Commodity Futures Trading Commission. The wagers reached a record last month. The current figure implies those investors may lose $99.5 million with every 1 point increase in the volatility gauge, CFTC data show.
To continue reading the full article by Nikolaj Gammeltoft & Cecile Vannucci please click here