Hendry plays VIX index ahead of 'volatility collapse'

Eclectica's hedge fund star Hugh Hendry has been using put options on the so-called 'fear index' to play market volatility.

The manager of the Eclectica fund said a play on the VIX index, which measures volatility and tends to move inversely compared to the S&P 500, had contributed to his hedge fund's performance in October. "In a month driven by economic and political developments in Europe, risk assets saw a significant rally. A series of meetings between European leaders raised hopes of a solution to the crisis engulfing Greece; equity markets rallied over 10% and fixed income sold off, with German 10-year yields retracing back to 2.2%," Hendry said. "For the fund, net equity returned 20bp and, in recog...