June Was A Wild Month For Volatility Strategies

Looking at its panoply of systematic volatility strategies in June, Barclays US Equity Derivatives Strategy research team notes winners and losers in what was an odd month for systematic price action. Going forward they make five volatility strategy recommendations but don't clearly identify their forward looking market environment thesis. That said, the recommendations point to an expectation for potential volatility in the EU relative to the US and somewhat contained near term price movement.

Volatility and correlations were odd in June

June was an odd month for several reasons. In the wake of the largely unexpected Brexit vote, the VIX spiked to 25.76, up from a May slumber that averaged...