Short volatility strategies profitable again
The bank's short volatility strategy simulation, which sells an at-the-money forward straddle for each currency at the start of each month if implied volatility is above its one-year average for that currency, yielded 5.8% for the month. This outperformed the bank's other strategy simulations of trend, value/purchasing power parity (PPP) and yield, and compares well with April's 2.1% gain.
James Binny, executive director, foreign exchange analytics and risk advisory at ABN Amro in London, said
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