CDS versus put dislocation trades revived

摘要

A dislocation between long-term credit and equity volatility on selected European names has opened up an opportunity for investors to profit from put option versus credit default swap arbitrage trades that have been largely absent in recent years. fiat chrysler is the latest name to display the volatility discrepancy, representing the first opportunity for investors to profit from the arbitrage trade outside the mining sector in many months, as put options on the stock have started to trade significantly below levels implied by the CDS.