A trade that went from niche to one of the biggest options strategies on Wall Street in recent years posted its worst monthly performance in more than a decade in March, underscoring how the shock of the war in Iran unraveled popular investment approaches.
The dispersion trade, which buys options on individual US stocks while selling those on the broader index, suffered a 4.9% loss last month, the steepest since 2011 in backtested data, an index from JPMorgan Chase & Co. shows. Bank swaps tied to the approach fell 2.6%, according to Premialab, which aggregates industry data.
The losses lay ...
