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Foreign Exchange

Barclays: Another ‘first’ comes second

Barclays Capital has launched a family of investable FX volatility indices, which it claims is another first, although JPMorgan’s VXY and EM-VXY indices, launched in December 2006, are also investable.

Barclays says its three products – BetaVol, SmartBetaVol and AlphaVol – enable investors with different objectives to exploit opportunities in FX vol, which has increasingly become recognized as an asset class.

Commenting on these new indices, Philippos Kassimatis, co-head of FX structuring at Barclays, says: “We believe that the Barclays FX volatility indices are the first integrated tools that provide investors with a liquid, transparent and investable means of efficiently tapping the volatility of the world’s most liquid financial market. The increase of correlation across asset classes in recent months has made it difficult for investors to find negatively correlated assets, particularly at times of crisis – we believe that these indices provide an attractive solution.”

It remains to be seen how much interest the products will garner. Sources say that JPMorgan’s vol indices have seen very little activity, although they have become highly appreciated as providing an accurate reflection of what has gone on over a period of time in vol. “To be honest, that does have value to the franchise from a talking point of view but that is about it,” says another market source.

 

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