Bank of America officials are recommending clients consider long-dated forward volatility using forward variance on the S&P 500 given its “attractive level” due to the record inversion of the volatility term structure in the index. Abhinandan Deb, head of EMEA equity derivatives research and cross-asset quant investment strategies at Bank of America in London, said, “This kind of pain in markets is not something that disappears overnight; investors should pick up longer-dated forward volatility that is still far from 2008 GFC highs even as the VIX has made new highs.” Should short-term volatility retrace in the face of policy relief amid the ongoing worldwide health crisis, Deb said longer-dated forward volatility is likely to be more resilient. “We are more confident of being able to call what happens to realized vol going forward and bank on the value in long-dated vol than whether the equity market has bottomed,” Deb said.