Waverton UK duo return to call options post-2009 rally

The managers of the £80m Waverton UK fund have begun using call options after shunning the instruments during the rallying markets of 2009.

Russell Wallis and Simon Wilson say the market was so cheap following the Lehman Brothers collapse in 2008, call options would have capped upside potential on the large-cap fund. "At the end of 2008, volatility went through the roof in the options market," says Wilson. "We saw implied volatilities go up to 60% in the index options market and in certain sectors, such as banks and financials, it was up to 200%." During this period, the managers took advantage of the high volatility and wrote some short-dated calls against some of the fund's holdings and these expired in January. "We ...