Equity Dispersion – the Greeks

Share on linkedin
Chalk logo

In Short

Equity dispersion trading allows investors to capture the correlation risk premium embedded in equity indices and revolves around selling index volatility and buying single stock volatility.

The relative weighting of the index to single stock volatility can be varied to adjust the net volatility exposure of the trade. Fulcrum generally pursues a weighting scheme that allows investors to pick up the carry from the risk premium alongside a net long single stock volatility exposure. This potentially allows the fund to perform well in a left tail event like March 2020 (but by no means should this be viewed as a tail hedge fund).


The “Greeks”, namely the delta, gamma, vega and theta, will vary according to the weighting scheme and the implementation methodology. The primary objective is to buy/sell implied volatility and deliver a measure of subsequent realised volatility. There are two primary routes to achieve this; one can either hold an option portfolio and delta hedge or hold a volatility or variance swap.

To access this White Paper, please fill in the form to be reviewed by our team.

Your privacy

Cookies are data files that are stored on your computer or other smart device by a website’s server. Each cookie is unique to your web browser. It will contain some anonymous information such as a unique identifier, website’s domain name, and some digits and numbers. Cookies are useful as they allow us to recognise a user’s device and its preferences in order to ensure that our website works properly. By continuing to use this website, you consent to the use of our cookies.


You can find out the different types of cookies used on our website in our Cookies and Privacy Policy.

Necessary cookies