Vol Desks - Updated View

What are the prospects like from the different vol desks in macro, specifically fx vol vs rates vol vs CDX vol. What are the pros and cons for each? What are the best desks across the street within each product? Are any of them significantly less desirable than others for buyside?

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FX & rates are different than credit, so hard to compare across those. Rates & FX are obvious feeders to macro HF, whereas credit has slightly wider application (but I defer to experts). CDX and rates vol probably the most complex of those three (as non-linear underlying) so probably better to start there for choice.

CDX vol can have macro element just like EQ index vol, but is different than rates & fx. These are good desks, but slightly within own niches.

Rates vol is generally better seat than FX options (within DM) imo as rates more technical product, and there are a lot more risk takers in that asset class. Within FX, x-JPY is best pair to trade (unlike some other DM stuff which is basically choice market)

  • In NY, I find trading USD vol significantly more fun than FX options (NY is not a real FX hub, whilst US rates is the deepest market and USD vol the best liquidity). 
  • In Europe, is a toss-up between them but edge to EUR & GBP rates vol. 
  • In APAC, JPY & AUD vol is not really that liquid so I'd give the edge to FX options as not sure what rates options are doing all day
 

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