BofA_Global Equity Volatility Insights Tech still fragile and options underprice risk_20240709pdf
BofA_Global Equity Volatility Insights Tech still fragile and options underprice risk_20240709pdf
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  1. Trading ideas and investment strategies discussed herein may give rise to significant risk and are not suitable for all investors. Investors should have experience in relevant markets and the financial resources to absorb any losses arising from applying these ideas or strategies.>> Employed by a non-US affiliate of BofAS and is not registered/qualified as a research analyst under the FINRA rules.Refer to "Other Important Disclosures" for information on certain BofA Securities entities that take responsibility for the information herein in particular jurisdictions.BofA Securities does and seeks to do business with issuers covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.Refer to important disclosures on page 19to 21. Analyst Certification on page 17. Global Equity Volatility InsightsTech still fragile & options underprice riskUS tech: Fragile, handle with optionalityLarge cap tech continues to exhibit fragile price action, as last week saw positive delivery numbers from Tesla power it to a ~25% return in 3 days, which included a 10.2% 1-day rally (4x its trailing 1m realized vol). However, with the move on this known catalyst being twice as large as the straddle cost last week, options underpriced the fragility risk. This occurrence is not an isolated one, as earnings moves in tech within the largest 50 S&P stocks have been more extreme than straddle costs over 60% of the time this year so far, especially so since May (with 8 of 10 earnings straddles breaking even). As a result, we continue to find using optionality as a prudent way to navigate single stock event risk, particularly as earnings season approaches, since large cap stock fragility sits at 30y+ highs.Post French elections, employ Bank levered risk reversalsEZ Banks experienced some relief during asset markets’reaction to the results of the second round of French Parliamentary elections, resulting in potential policy gridlock rather than an imminent threat of market-adverse policy implementation. Short-dated implied vols declined vs longer-dated, leaving the vol term structure of the EZ Banks index (SX7E) at historically elevated levels. Longer-dated (e.g., 1y) implied vols do still appear high on some EZ Banks compared to risk perception in credit markets,in contrast to broader EU stocks.We like leveragingelevated OTM put implied vol and steep term structuresto position for further potential upsidein EZ Banks via levered calendar risk reversals. UniCredit and Banco BPM are the top two candidates that offer the highest number of 5m (~Dec24) 25d calls funded by the sale of one 11m (~Jun25) 25d put.Nasdaqv Kospi calls: zero costdespite 2x Nasdaqup-betaKospicall vols continue to trade at or above Nasdaq call vols. This means investors can fully fund Nasdaq upside by giving up the same amount of Kospi upside. Historically, this is unusual and seems unusually positive considering that the Nasdaq has an up-beta twice as large as the Kospi's and has outperformed in all recent rallies. As long as we remain in the current US Tech-led regime, chances seem high to us that Nasdaq continues to outperform in rallies whilein a tech correction, both legs would likely expire worthless. As such, we believe this trade offers investors a fairly low-risk, but highly asymmetric P&L profile: Zero in sell-offs or NDX>Kospi2 in rallies. We like the entry point of the trade as both Kospi spot and vol rose towards the end of lastweek and Kospi spot often mean reverts or takes a breather after such rallies.Risks would involve being short the Kospi above 105% of current spot which may or may not be offset by being long Nasdaq above 105%.Alsoin the GEVI: Global cross-asset stress fell over the last two weeks on FX and equity stress declines 09 July 2024Equity DerivativesGlobalGlobal Equity Derivatives RschBofASLars Naeckter>>Equity-Linked AnalystMerrill Lynch (DIFC)Arjun GoyalEquity-Linked AnalystBofASVittoria Volta>>Equity-Linked AnalystBofASE (France)Abhinandan Deb>>Equity-Linked AnalystMLI (UK)Benjamin BowlerEquity-Linked AnalystBofASbenjamin.bowler@bofa.comNitin SaksenaEquity-Linked AnalystBofASNicholas DunneEquity-Linked AnalystBofASZhenhua Xue>>Equity-Linked AnalystMerrill Lynch (Hong Kong)See Team Page for List of AnalystsExhibit 1: 3M volatility (weekly chg)Level and changes (in parentheses) in vol pointsImpliedRealizedS&P50011.6 (-0.5)10.3 (-0.2)ESTX5012.9 (-1.8)12.7 (-0.1)FTSE10.5 (-0.6)9.1 (0.1)DAX12.4 (-1.2)12.1 (-0.3)NKY16.0 (0.3)16.2 (0.0)HSCEI21.6 (0.0)21.2 (-0.8)KOSPI15.9 (-0.3)17.8 (0.6)EEM US13.5 (-0.5)13.5 (0.3)XIN9I15.2 (0.0)10.6 (0.2)Source:BofA Global ResearchBofA GLOBAL RESEARCHWe include a list of abbreviations at the end of this report.Accessible version
  2. 2Global Equity Volatility Insights| 09 July 2024BofA GFSITMX-Asset Risk LandscapeFX and equities lead GFSI lower over the last two weeksOver the last two weeks, the GFSI declined from -0.18 on 21-Jun-24 to -0.28 on 5-Jul-24 bringing the index to its 16thpercentile since 2000. The GFSI is now back to levels that we last saw at the end of March after stress declined across asset classes since the index saw its 2024 peak at +0.07 on 19-Apr-24. While all asset classes experienced declines in stress over the last two weeks, FX and equities accounted for most of theGFSI’s decline (Exhibit 4). In fact, six of the top eight stress-decliners were FX and equity subcomponents (Exhibit 3). Among them, Nikkei skew, EURJPY skew, and EURUSD implied vol all experienced significant two week declines in stress relative to their own histories (83rd, 81st, and 80thpercentiles, respectively; Exhibit 6). 3Y/5Y credit curve EUR and interest rate implied vol EUR were the other two subcomponentsamong the top eight decliners helping Europe to post the largest decline in stress at the regional level (Exhibit 4& Exhibit 5). Despite the outsized stress declines from FX and equities, commodities remained the least stressed asset class led by low crude implied vol stress (Exhibit 4& Exhibit 2). •Europe’s large stress decline does not include data after the French election.Our European macro team noted that after extreme outcomes in the French parliamentary election were avoided, some of the particularly adverse risks that theyhad anticipated for the economy and the Euro will likely not come to fruition (see Euro Area Watch: 8-Jul-24). We will monitor if this gets reflected in further declines in European stress this week. •Tibor-OIS is the new most stressed subcomponent (Exhibit 2). This came as Tibor-OIS stress saw a relatively small increase while interest rate implied vol EUR, the previous most stressed subcomponent, experienced a larger stress decline (Exhibit 3). Despite Tibor-OIS’s stress gain, Japan posted a meaningful stress decline to remain the least stressed region (Exhibit 5) . Exhibit 2: Latest* stress across GFSI sub-componentsTibor-OIS is the most stressed while EURUSD implied vol is the least stressedSource:BofA Global Research. *Latest as of 5-Jul-24. Disclaimer: The indicator identified above as BofA GFSI is intended to be an indicative metric only and may not be used for reference purposes or as a measure of performance for any financial instrument or contract, or otherwise relied upon by third parties for any other purpose, without the prior written consent of BofA Global Research. This indicator was not created to act as a benchmark.BofA GLOBAL RESEARCH0.540.490.410.400.39-0.80-0.85-0.92-0.92-1.14-2.0-1.00.01.0Tibor-OISInt Rate Imp Vol USDInt Rate Imp Vol EURBond Basis EURBond Basis USDLibor-OIS USDEquity Fund Flow EMCDS Index Skew USDUSDJPY Imp VolEuro member Bond SpreadHY Bond FlowHSI Imp VolSub IG Foreign Sovrn Bond SpreadIG Foreign Sovrn Bond SpreadMoney Mkt FlowCDS Index Skew EUREURJPY SkewHY Corp CDS EURBasis Swap USDJPYEuribor-OISHY Corp CDS USDComdty Imp Vol CopperESTX50 Skew3Y/5Y Credit Curve EURAUDJPY SkewUSDJPY SkewComdty Imp Vol GoldIG Corp CDS EURGovt-OIS EURBasis Swap EURUSDFTSE Imp VolSP500 SkewNikkei Imp VolIG Corp CDS USDSP500 Imp VolVolume FlowESTX50 Imp VolGovt-OIS USDGBPUSD Imp VolNikkei SkewComdty Imp Vol CrudeEURUSD Imp VolGFSI StressRiskSkewFlowRed shaded area highlights components in Bearish territoryGreen shaded area highlightscomponents inBullishterritory
  3. Global Equity Volatility Insights| 09 July 20243The GFSI Risk Allocator (using Bull, Bear & Neutral weights of 2, 0, 1) suggested a 31.0% overweight position as of 5-Jul-24 (vs a 21.4% overweight position on 21-Jun-24). The percentages of Bullish, Bearish, and Neutral GFSI components (as used in the Risk Allocator) as of 5-Jul-24 were 33.3%, 2.4%, and 64.3% respectively.Exhibit 4: FX stress declined the most over the past 2 weeksMeanwhile, credit and commodities stress declined the least Source:BofA Global Research. 2wk change (21-Jun-24 to5-Jul-24).BofA GLOBAL RESEARCHExhibit 5: Europe led regional stress lower over the last 2 weeksIn contrast, EM saw stress sightly riseSource:BofA Global Research. 2wk change (21-Jun-24 to5-Jul-24).BofA GLOBAL RESEARCHExhibit 6: Top 10 biggest stress movers (vs history)Euro member bond spread saw a historically large stress decrease Source:BofA Global Research. * %-ile of 2 week moves in stress vs all historical 2 week moves (earliest 3-Jan-00). Bar colors represent rise (red) or fall (green) in stress. 2wk change (21-Jun-24 to5-Jul-24).BofA GLOBAL RESEARCHExhibit 7: Biggest stress movers in cross-asset vols and spreadsIG CDS experienced the largest decline in stress over the last 2 weeksSource:BofA Global Research. 2wk change (21-Jun-24 to5-Jul-24).BofA GLOBAL RESEARCH-0.04-0.04-0.05-0.13-0.16-0.6-0.5-0.4-0.3-0.2-0.10.0CreditCommoditiesRatesEquitiesFXLatest stress (05-Jul-24)Change in stress0.010.00-0.14-0.18-0.40-0.30-0.20-0.100.000.10EMUSJapanEuropeLatest stress (05-Jul-24)Change in stress93%88%87%83%81%80%80%79%79%75%40%60%80%100%Euro member BondSpreadEuribor-OIS3Y/5Y Credit CurveEURNikkei SkewEURJPY SkewEURUSD Imp VolIG Corp CDS EURInt Rate Imp VolEURGovt-OIS USDESTX50 Imp Vol%-ile of abs chg in stress vs history*StressfallStress rise-0.04-0.07-0.08-0.09-0.11-0.13-0.16-0.9-0.6-0.30.00.30.6Commodity VolFX VolSovrn riskEquity VolHY CDSRates VolIG CDSLatest stress (05-Jul-24)Change in stressExhibit 3: Change** in stress across GFSI sub-componentsCDS index skew EUR was the largest stress riser over the last week while Nikkei skew stress fell the mostSource:BofA Global Research. **Latest as of 5-Jul-24. Change vs 2 weeks prior (21-Jun-24).BofA GLOBAL RESEARCH0.220.190.170.130.10-0.30-0.31-0.32-0.43-0.49-0.8-0.40.00.4CDS Index Skew EUREuribor-OISUSDJPY Imp VolBond Basis EURHY Bond FlowVolume FlowCDS Index Skew USDTibor-OISBond Basis USDInt Rate Imp Vol USDEquity Fund Flow EMMoney Mkt FlowGovt-OIS EURNikkei Imp VolSub IG Foreign Sovrn Bond SpreadHSI Imp VolComdty Imp Vol CopperComdty Imp Vol CrudeFTSE Imp VolLibor-OIS USDIG Foreign Sovrn Bond SpreadHY Corp CDS USDComdty Imp Vol GoldBasis Swap EURUSDGBPUSD Imp VolIG Corp CDS USDSP500 SkewBasis Swap USDJPYSP500 Imp VolAUDJPY SkewHY Corp CDS EUREuro member Bond SpreadIG Corp CDS EURGovt-OIS USDUSDJPY SkewEURUSD Imp VolInt Rate Imp Vol EURESTX50 Imp VolEURJPY Skew3Y/5Y Credit Curve EURESTX50 SkewNikkei SkewChange in GFSI StressRiskSkewFlow
  4. 4Global Equity Volatility Insights| 09 July 2024US tech: Fragile, handle with optionalityIn a holiday-shortened week, equities continued to power higher, with Tesla being the star of the show and rallying almost 25% over the first 3 days of the week, including a 10.2% 1-day return on Tuesday on the back of better-than-expected delivery numbers. Its Tuesday move was nearly 4x its trailing 1m realized volatility, and is only the most recent outlier move in large cap tech, with the likes of Apple, Oracle and Alphabet recently seeing close to their most extreme 1d vol-adjusted moves over the last 5years (Exhibit 8). The continuation of unstable price action underscores a key observation we have made in recent weeks: single stock fragility is rising, particularly around earnings & other events that provide some degree of forward guidance (see Volatility suggests AI isn’t a bubble...yetand 18-Jun-24 GEVI). Indeed, the average magnitude of fragility events in the largest stocks of the S&P is currently at its most extreme since 1992 (Exhibit 9).Exhibit 8: TSLA’s 10.2% rally on Tuesday (02-Jul-24) is only the most recent outlier move in large cap tech, with names like AAPL & GOOGL also seeing historically extreme 1d vol-adjusted moves this year 1d returns / 21d trailing realized vol for large cap tech companies exhibiting fragility in 2024Source:BofA Global Research. Data from 1-Jan-19 to 2-Jul-24. BofA GLOBAL RESEARCH-8-6-4-20246810'19'20'21'22'23'24AAPL11-Jun-24-6-4-202468'19'20'21'22'23'24AVGO13-Jun-24-8-6-4-2024681012'19'20'21'22'23'24ADBE14-Jun-24-14-10-6-2261014'19'20'21'22'23'24ORCL12-Jun-24-6-4-2024681012'19'20'21'22'23'24NVDA23-May-2419-Apr-24-12-8-404812'19'20'21'22'23'24GOOGL26-Apr-24-12-8-40481216'19'20'21'22'23'24META25-Apr-242-Feb-24-9-6-30369'19'20'21'22'23'24TSLA2-Jul-24
  5. Global Equity Volatility Insights| 09 July 20245Exhibit 9: The average magnitude of fragility events in the 50 largest stocks of the S&P this year so far is currently at its highest since 1992, highlighting the instability in single stock dynamicsAverage magnitude of fragility events (when sigma move magnitude > 3) for the largest 50 stocks in S&P 500Source:BofA Global Research. Data from 1-Jan-92 to 2-Jul-24. “Sigma move” is measured by dividing a stock’s 1d return by its 21d trailing volatility. It is a measure of how large a shock is vs its risk projected by recent volatility and is one measure of price “fragility”. Components of index kept fixed from the start of every calendar year. BofA GLOBAL RESEARCHWhat also remains true is that despite the repeated signs of fragility, options markets (particularly in large cap tech) continue to exhibit signs ofunderpricing fragility risk going into events. In the case of Tesla last week, its move on Tuesday (02-Jul-24) alone was almost twice as big as the cost of its straddles on the day prior to announcement (which was a pre-telegraphed catalyst). More generally, tech companies in the Top 50 largest stocks of the S&P have realized bigger moves on earnings than the cost of their respective weekly straddles more than 60% of the time this year, with the 10 largest tech companies seeing this hit rate reach 70% (Exhibit 10). These realized moves have been particularly extreme since May this year, with 8 out of 10 moves being larger than the straddle cost.Hence, as the next earnings season approaches, and given the tendency to underprice risk, we continue to prefer using options directionally to navigate single stock risk over coming weeks. The combination of a rise in idiosyncratic risk and increased fragility in the current environment makes using the limited risk and asymmetric profile of optionality especially prudent, in our view. Exhibit 10: Despite the increasing signs of fragility in response to large cap tech earnings, options markets in these stocks continue to underprice the event risk, with straddles on the largest tech stocks breaking even more than 60% of the time on earnings day YTD and 80% of the time since May 1stRatio of realized earnings move to cost of earnings week Friday expiry ATMs straddles for tech names in Top 50 stocks of the S&P 500 (“Magnificent 7” stocks shaded)Source:BofA Global Research. Data from 22-Jan-24 to 14-Jun-24. Friday expiry straddle cost are indicative only and as of day before respective earnings days. Realized move measured by close-to-close return from earnings day to subsequent day. “Magnificent 7” aredefined as the group of Apple (AAPL), Amazon (AMZN), Alphabet (GOOGL), Meta (META), Microsoft (MSFT), Nvidia (NVDA), & Tesla (TSLA). BofA GLOBAL RESEARCH33.13.23.33.43.53.61992199620002004200820122016202020240123423-Jan24-Jan30-Jan31-Jan01-Feb14-Feb15-Feb21-Feb22-Feb28-Feb07-Mar11-Mar14-Mar18-Apr23-Apr24-Apr25-Apr30-Apr01-May02-May15-May16-May22-May23-May29-May11-Jun12-Jun13-JunRealized earnings move / cost of ATMs straddleEarnings release dates YTDMSFTAAPLNVDAAMZNMETAGOOGLAVGOTSLANFLXAMDADBECRMORCLQCOMAMATCSCOINTUTXNIBMNOWunderpricedoverpriced
  6. 6Global Equity Volatility Insights| 09 July 2024Post French elections, consider calendar riskies for further EZ Banks upsideWhat: Consider buying calendar levered risk reversals on EZ Banks: short 1x Jun25 25d put to fund multiple Dec24 25d calls on names such as UniCredit and Banco BPM.Why: Eurozone Banks experienced some relief on Monday following the second round of French Parliamentaryelections,after having experiencedgreater volatility in the run up to the vote. The prospect of a hung parliament reduced the risk of an imminent market-unfriendly outcome, causing volatilities to decline across the board. Short-datedimplied vols declined vs longer-dated, leaving the volatility term structure of the EZ Bank index (SX7E) at historically elevated levels,as observed earlier this year too (see Exhibit 11).However, longer-dated (e.g., 1yr) equityimpliedvolsdoappear highwhen compared to credit markets. Indeed, Exhibit 12shows EZ Bank stocks in particular have higher 1y 25d put vols given their 5yCDS levels, when compared to a broader universe of European stocks with liquid option markets. This is reversed at the index level, where1yr implied vols on both the SX7E index and the ESTX50 screen low versusSen Financials and iTraxx Main 5y CDS levels, respectively. As our Banks strategistsremain constructive on the outlook for Eurozone Banks and see limited material impact on French banks’profit from new economic policy (read their latest note entitled: France: (un)known unknowns -updated cross asset views), we like to position for further potential upside via levered calendar risk reversals, which benefit from historically steep volatility term structures. Across EZ Banks, we screen across namesthat offer the highest upside leveragefor the sale of downside protection, i.e., the highest number of 5m (~Dec24) 25d calls funded by the sale of one 11m (~Jun25) 25d put. The screen in Exhibit 13highlights names such as UniCredit and Banco BPM. Risks: Risks would involve the underlying spot falling below the 25d put strike.
  7. Global Equity Volatility Insights| 09 July 20247Exhibit 11:Vol term structure in the EZ Banks index is back to historically elevated levels as observed earlier this year SX7E 11m-5m 50d call implied vol spread.Source:BofA Global Research, Bloomberg. Data from 08-Jul-19 to 08-Jul-24.BofA GLOBAL RESEARCHExhibit 12:Eurozone Banks’ single names currently show higher equity vols for their CDS levels than non-Bank names.Current 5y CDSpremium and 1y 25d put implied vol for liquid, optionable SXXP names (green colour for Banks names).Source:BofA Global Research, Bloomberg. Data as of 08-Jul-24.BofA GLOBAL RESEARCHExhibit 13:UniCredit and Banco BPM screen as the top twomost attractivecandidates for calendar levered risk reversals: long Dec2425d calls versus short a 25d Jun25 put.Leverage ratio for Dec24-Jun25 25d risk reversals. The screen is ranked based on the equally weighted average of A and B.N. of 5m 25d calls bought by 1x 11m 25d put (A)5y percentile rank (B)Strikes in %fwd (put, call)Total Rank(Avg(A, B))UCG IM2.3656%(86%, 114%)1.5BAMI IM2.2954%(87%, 114%)3.0ABN NA2.2540%(88%, 112%)4.5BNP FP2.2426%(88%, 111%)5.5INGA NA2.2519%(88%, 111%)6.0SX7E2.2224%(89%, 109%)7.0BBVA SM2.2317%(87%, 113%)8.0CBK GY2.2123%(85%, 118%)8.0ISP IM2.1813%(89%, 111%)10.0ACA FP2.188%(89%, 110%)11.0DBK GY2.132%(86%, 116%)12.5GLE FP2.125%(87%, 114%)12.5SAN SM2.081%(87%, 112%)14.0Source:BofA Global Research, Bloomberg. Data from 05-Jul-19 to 05-Jul-24.BofA GLOBAL RESEARCH-16%-12%-8%-4%0%4%'19'20'21'22'23'24SX7E 11m - 5m 50d call IVLatest89th 5y %-ileACA FPBBVA SQBNP FPCBK GYDBK GYGLE FPISP IMSAN SQUCG IMSX5ESX7E15%20%25%30%35%40%0255075100125150Current 1y 25d put IVCurrent 5y CDS premiumNon-banksBanks
  8. 8Global Equity Volatility Insights| 09 July 2024Nasdaq v Kospi calls: zero cost despite 2x Nasdaq up-betaWhat:Sell 1x KOSPI2 3-month 105% call against 1x NDX 3-month 105% call for 0.04%(both strikes 105% of fwd, indic. NDX delta27.9%, KOSPI2 delta 27.6%, both 15.4% vol; fwdrefs: 396.58& 20,711)Why:Kospi call vols continue to trade at or above Nasdaq call vols(Exhibits14-15). This means investors can fully fund Nasdaq upside by giving up the same amount of Kospi upside. Historically, this is unusual and seems almost too good to be true considering that the Nasdaq has an up-beta twice as large as the Kospi's and has outperformed in all recent rallies(Exhibits16-17).Indeed, the vol spread has only really been at these levels during the low vol extremes in 2017, inthe Covid crash and in the vaccine-led rally in early 2021.As long as we remain in the current US Tech-led regime, chances seem high that Nasdaq continues to outperform in rallies while in a tech correction, both legs would likely expire worthless.As such, this trade offers investors a fairly low-risk, but highly asymmetric P&L profile: Zero in sell-offs or NDX>Kospi2 in rallies. We like the entry point of the trade as both Kospi spot and vol rose towards the end of last weekand Kospi spot oftenmean revertsfrom such rallies (Exhibit 19).Risk:Risks involvebeing short the Kospi above 105% of current spot which may or may not be offset by being long Nasdaq above 105%.Exhibit 14: NDX 3m 105% vol trades below KOSPI2 3m 105% vol, and the spread has gone from 5-6 vols in Sep last year to zero now.In recent years, this has only occurred during extremes: the 2017 vol compression, Covid in 2020 and the vaccine rally in early 2021Spread of Nasdaq 3-month 105%vol vs KOSPI 200 3-month 105%volSource:BofA Global Research. Data: from 2-Jan-2014 to 5-Jul-2024.BofA GLOBAL RESEARCHExhibit 15: NDX vol was typically 10% higher in 2022 and 6% higher in 2023. The recent spread narrowing has been driven by KOSP2 vol risingfrom 13% to 15-16% while US volin general, including Nasdaq, has been under pressure from depressed correlation levelsKOSPI2 and NDX 3-month 105%volsSource:BofA Global Research, Bloomberg. Data: from 02-Jan-14to 5-Jul-24.BofA GLOBAL RESEARCHHigh likelihood of Nasdaq rallies keep being larger than Kospi ralliesSince 2021, the Nasdaq has had a much higher up-beta than the Kospi in the recent past (1.25 vs 0.57 vs MSCI ACWI) and in the last 3 years, one would have lost money only 5% -0.2%-5%0%5%10%15%20%Jan 14Jan 16Jan 18Jan 20Jan 22Jan 24Nasdaq - Kospi 3m 105% vol15.4%15.6%0%20%40%60%80%Jan 14Jan 16Jan 18Jan 20Jan 22Jan 24NDX 3m 105% volKOSPI2 3m 105% vol
  9. Global Equity Volatility Insights| 09 July 20249of time when/if able to trade this for zero cost; and gained 49% of the time (Exhibit 17). Even across a longer time frame, over the last 10 years, one would have lost money only 13% of the time.Korean single stock vol unusually elevated and may pull index vol lowerBreaking down Kospi 3m realised index vol into its two components, single stock vol and correlation, reveals that single stock vol has been unusually elevated recently. Correlation may not look asextreme as in the US, but the trend is that Korean stock returns are joining the global “dispersion party”(Exhibit 18).Exhibit 16: Over the last 3 years, during larger risk-on moves, the Nasdaq has typically rallied 1.7x as much as the Kospi. Indeed, the up-beta has been >2x as large (1.25for Nasdaq vs 0.57for the Kospi, measured on weekly local currency returns against the MSCI ACWI)Nasdaq and Kospi spot with fiveof the largest risk-on rallies since 2021Source:BofA Global Research and Bloomberg. Data: from 8-Jul-2021 to 8-Jul-2024.BofA GLOBAL RESEARCHExhibit 17: Entered at flat, a 3m 105% call switch would massively tilt in the Nasdaq’s favour, only resulting in losses 13% of the time. Indeed, since the vaccine rally in early2021, the trade would only have lost money 5% of the time (Kospi rallied 45% in 3 months in early 2021)Hypothetical P&L of a zero cost 3-month 105% call switch (long Nasdaq)Source:BofA Global Research, Bloomberg. Data: from 8-Jul-14 to 8-Jul-2024. 105% strikes are with reference to spot and not the forward.BofA GLOBAL RESEARCHExhibit 18:Breaking down Kospi2 3m realised index vol into its two components, single stock vol and correlation, reveals that single stock vol has been elevated lately while correlation is starting to join the global decorrelation dynamicsKOSPI2 3-month realised index vol, average single stock vol and correlationSource:BofA Global Research. Data: 2-Jan-2019 through 5-Jul-2024.BofA GLOBAL RESEARCHExhibit 19:The Kospi rallied into the close last week, outperforming the Nasdaq by 1.8% over 3 days. While not completely uncommon, it should be noted that the 3-day return differential between these two indices tend to mean-revert, indicating that today could be a good tactical entry point into trades that are short-term long NDX against KOSPI2Rolling 3-day outperformance of Kospi 200 over the Nasdaq 100Source:BofA Global Researchand Bloomberg. Data: from 30-Nov-22 through 5-Jul-2024 (30-Nov chosen at that was the launch of Chat GPT and marked a significant catalyst for the Tech/AI-driven rally.BofA GLOBAL RESEARCH2503003504004505005,00010,00015,00020,000Jul 21Jul 22Jul 23Jul 24Nasdaq 100Kospi 200 [rhs]+23%+15%+10%+13%+48%+21%+23%+30%+20%+12%-40%-20%0%20%40%Jul 14Jul 16Jul 18Jul 20Jul 22Jul 24Positive payoutNegative payoutPositive 42% of the timeNegative 13% of the timeZero 45% of the time0.000.100.200.300.400.500.600.700%20%40%60%80%Mar-19Mar-20Mar-21Mar-22Mar-23Mar-243m index vol3m single stock vol3m correlation [rhs]1.8%-8%-6%-4%-2%0%2%4%6%30-Nov-2231-May-2330-Nov-2331-May-243-day Kospi outperformance v NasdaqCurrent spread [1.8%]
  10. 10Global Equity Volatility Insights| 09 July 2024Summary of Open Trades (08-Jul-24)Price data for open level reflects the price on open date and does not necessarily reflect the price at which the trade could be executed at the date of this report. Our trades are structured to be executed on the open date and are not necessarily appropriate to execute as formulated beyond that date.Table 1: Summary of open trades as of 08-Jul-24Summary of open trades as of 08-Jul-24Trade DescriptionOpen DateOpen LevelExpected Trade TermRationaleLong 3y, short 4y ESTX50 Total Return Futures (TRFs) offer 7bps of implied carry, an expected 1y P&L* of 19bps (both elevated vs history in the 72nd and 97th 5Y percentiles, respectively), and attractive risk-reward19-Oct-2162bpsDec-24Long 3y (~Dec24), short 4y (~Dec25) trades screen particularly attractive: their 7bps of implied carry lies in the 72nd 5y percentile and the expected 1y P&L (assuming the curve remains unchanged) of 19bps lies in its 97th 5y percentile –both of which are the highest across long, short pairsi) Long Dec24 ESTX50 divs (ref 115.2)23-Nov-21115.2Dec24Dividends are set to benefit from higher inflation and a recovery in earnings, while implied yields remain low. Risks: Dividends realising less than current implied levels. S&P dividends rising (falling) less (more) than ESTX50 divs will see the relative value trade underperformReplicate ESTX50 Dec24-Dec25 3900 FVA with a static option portfolio implying an FVA level of 16.2v (vs OTC level of 19.3v)22-Nov-2219.3vDec-24Backwardation in vol term structure makes fwd starting vol lower; Expensive fwd var argues for vol replication, for a 3+ vol pt cheapening vs OTC, a level at ~2/3rd of YTD realised vol (and 13v lower than fwd var). Shift to participation products may steepen vol term structureBuy SX5E Dec24 div future at 113.4, which is over-pricing recession risk22-Nov-22113.4Dec-24Dividends are likely to be resilient and backwardation in the div curve creates value that has favourable risk/reward vs bear scenarios. We estimate 2024 dividends may have 8-10% ann. upside potentialBuy SPX 1y 95% put for indicatively 3.48% (ref. 4556.64)25-Jul-233.48%Jul-24High rates align with low implied vol and correlation to offer a historic entry point for longer dated hedgesBuy SPX 1y 95-75% put spread for indicatively 2.44% (8.2x max payout, ref. 4556.64)25-Jul-232.44%Jul-24High rates align with low implied vol and correlation to offer a historic entry point for longer dated hedgesSell 1x NKY 1y 95-75% put spread, buy 2x SPX 1y 95-75% put spreads for ~zero cost (ref. 32700.94 & 4556.64)25-Jul-230%Jul-24High rates align with low implied vol and correlation to offer a historic entry point for longer dated hedges which can be cheapened by selling NKY put spreadsSell 1x SPX 12m 110% call, buy 1x SPX 12m 90% put (ref. 4588.96)1-Aug-23$7.62 creditAug-24Longer-dated SPX structures that fund long puts by selling calls (collars) or call spreads benefit from a high forward and/or low implied volSell 1x SPX 12m 110%-120% call spread, buy 1x SPX 12m 90%put (ref. 4588.96)1-Aug-23$19.82Aug-24Longer-dated SPX structures that fund long puts by selling calls (collars) or call spreads benefit from a high forward and/or low implied volFund NKY Dec-24 36,500 calls by selling 25,000 30,000 put spreads for nearly zero cost (JPY 24 or ~0.07%, spot ref: 33,037, 49d)06-Sep-230.07%Dec-24Nikkei options uniquely attractive for upside trades while limiting downsideBuy ESTX50 Dec24 70% UpVar funded by ESTX50 Dec24 Var to collect 3.5v (spot ref. 4167.37)26-Sep-233.5v 26-Dec-24Wings of carry: Harvest longer-dated ESTX50 var vs upvarLong SX7E Dec24/Dec25 fwd-starting var replication: Long Dec25 60%-120% corridor var replication* & short Dec24 60% upvar replication for 22.4v (~6v disc. with replication;SX7E spot ref: 113.70)21-Nov-2322.4vDec-24Alpha from still-stressed variance premia for long or short volatilityHarvest SPX var premium: Buy SPX Dec24 60% upvar replication, funded by Dec24 Var to collect 3.0v (SPX spot ref: 4508.24)21-Nov-233.0v (Credit)Dec-24Alpha from still-stressed variance premia for long or short volatilitySell 0.55x NKY Dec-24 95% 75% put spreads to fund Dec-24 SPX 95% 75% put spread for 0% (indic. spot refs: 4,547 & 33,354)21-Nov-230%Dec-24Record dislocation: fund S&P puts with just half number of short NKY putsBuy NKY Dec-24 105% calls contingent on USDJPY in the [98%, 103%] range for 1.98% (corresponds to [147.0, 154.5] at a 150 JPY ref) (indic. 58% discount to vanilla @4.73%, 55 correl offer)21-Nov-231.98%Dec-24Nikkei upside at 58% discount if USDJPY trades range-bound amid stable ratesBuy NKY Dec-24 105% calls contingent on USDJPY in the [98%, 103%] range for 1.50% (corresponds to [142.3, 149.6] at a 145.2 JPY ref) (indic. 64% discount to vanilla @4.22%, 46/52 correl bid/offer)09-Jan-231.50%Dec-24Dec-24 NKY upside remains attractive. Hybrids can cheapen a further 64%Buy SX7E Dec24-Dec25 Forward Var corridor replication* for 22.4v (~6v discount with replication, spot ref: 118.66).17-Jan-2422.4vDec-24How to buy EZ Banks vol on the cheapBuy NDX Dec24 ATM Upvar for 16.3v (t & t-1 convention, Dec24 var ref: 23.9v).5-Feb-2416.3vDec-24Hedge melt-up bubble scenario by buying upside vol, and leverage attractive discount from dislocated put side tail volBuy NDX Dec24 80% Upvar for 19.6v (t & t-1 convention, Dec24 var ref: 23.9v).5-Feb-2419.6vDec-24Hedge melt-up bubble scenario by buying upside vol, and leverage attractive discount from dislocated put side tail volBuy CSI 1000(1) 20-Sep-24 110% calls for 4.98% (+27d, 37.3v)5-Feb-244.98%20-Sep-24China small cap capitulation: Call options offer a limited-risk way to buy the dipBuy SX8P 90% Upvar for 20.9v and buy ASML and SAP Dec24 ~90% Upvar replication* for 27.7v and 21.1v, respectively (spot refs: 859.50 and 164.24)21-Feb2420.9/27.7/21.1vDec-24EU Tech better than “magnificent”? Leverage low vol & hedge potential melt-upBuy 1x SX7E Dec24 25d (~112%f) call, fully funded by a SXXP Dec24 35d (~104%f) call (spot refs: SX7E:123.20, SXXP: 497.24)27-Feb-240%Dec-24Record cheap upside RV: Long/short Dec24 calls on EZ Banks vs STOXX600Buy an SX5E Dec26 5000 call (for 9% indic., spot ref 4895, 45delta, 62bps vega), initially delta-hedged5-Mar-249%Dec-26Don’t miss a generational opportunity to lock in record low long-dated EU volBuy an SPX Sep24 95% resettable put with single monthly reset until Jun24 and reset barrier of 105% for 2.22% indic. (34bp premium to vanilla, spot ref. 5123.69)11-Mar-242.22%Sep-24With upside momentum perhaps driving spot higher in the near term, the resettable and maxlookback structures would move downside protection levels higher on a commensurate basis, thereby reducing the risk of mis-timing a market peakBuy an SPX Sep24 95% max lookback put with reset in Jun24 (monthly observation) for 2.58% indic. (70bp premium to vanilla, spot ref. 5123.69)11-Mar-242.58%Sep-24With upside momentum perhaps driving spot higher in the near term, the resettable and maxlookback structures would move downside protection levels higher on a commensurate basis, thereby reducing the risk of mis-timing a market peakBuy an SX5E Dec26 5000 call (for 9% indic., spot ref 4895, 45delta, 62bps vega), initially delta-hedged05-Mar-249%Dec-26Attractive opportunity to lock in record low long-dated EU volBuy & RTY Sep 100% call on an equally weighted basket, sell equal notional of INDU, NDX & RTY Sep 100% worst-of calls for 3.35% (44% discount to average individual call, spot ref. 38790.43, 17985.01, 2024.74)18-Mar-243.35%Sep-24Buy basket calls and short worst of call structures that allow for broad-based equity upside participation and use optionality to potentially tilt exposure towards outperforming sectors/factorsBuy a 12-Sep-24 105% Worst ofcall on NKY, KOSPI2 & TWSE for 0.74% (qUSD, 70% discount to avg. vanilla calls)25-Mar-240.74% (qUSD)12-Sep-24Rent global AI stocks at a significant 76% discount via worst-of-callsGLD Jul 225-235 call spread for $2.3 (4.3x max payout, ref. 216.5).8-Apr-24$2.30Jul-24Use historically flat call skew to safely chase previous metals upside, which screen attractively amongst commodity ETFsSLV Jul 27-30 call spread for 59c (5.1x max payout, ref. 25.4).8-Apr-24$0.59Jul-24Use historically flat callskew to safely chase previous metals upside, which screen attractively amongst commodity ETFsSep24 SXPP > UKX 105% outperformance call, contingent on UKX > 0 at expiry, for 2.17% (implied correl: 58%, fwd: 99.9% for SXPP; 100.5% for UKX)09-Apr-242.17%Sep-24Cheaply position for even more SXPP upside via cheap optionalityHYG Jul24 74-71 put spread for 30c (10x max payout, 25-delta/10-delta strikes, ref. 76.425).11-Apr-2430cJul-24Leverage steep put skew to hedge HY credit downside with limited risk & 10x max payout.6m SPX>RTY 3% outperformance calls for 3.24% (72 correl bid, ref. 5071 & 1975)16-Apr-243.24%Oct-24Trading a challenging environment for small caps6m SPX>RTY 3% outperformance calls contingent on RTY up at expiry for 0.61% (81% discount to vanilla).16-Apr-240.61%Oct-24Trading a challenging environment for small capsBuy a Sep24 Dual digital that pays out if SX5E < 4600 (25d) & oil (COX4) > 94 (25d) for 5.6% indicatively (refs VGM4: 4900; COX4: 83, correl bid: -15%).23-Apr-245.6%Sep-24Up to 18x payout in a potential Middle East escalation scenario or 65% off in a relief rallyBuy a Sep24 SX5E 105% (~30d) call contingent on EURUSD < 1.055 (33d) for 55bps indicatively, a ~65% discount vs vanilla call (vanilla ref 1.58%).23-Apr-2455 bpsSep-24Up to 18x payout in a potential Middle East escalation scenario or 65% off in a relief rally
  11. Global Equity Volatility Insights| 09 July 202411Table 1: Summary of open trades as of 08-Jul-24Summary of open trades as of 08-Jul-24Trade DescriptionOpen DateOpen LevelExpected Trade TermRationaleBuy a 13Dec24 NKY 105% call option contingent on JPY OIS 10y rates > ATMF+20bps at expiry for 1.32% (Correlation offer: -0.05, 63%discount to vanilla; indicative)30-Apr-241.32%13-Dec-24Cheapen NKY upside by 63% as stocks can rally despite rates grinding higherBuy SPX > RTY 6m 3% outperformance calls for 2.49% (spot ref. 5187.7, 2064.65)7-May-242.49%Nov-24Safely capture large cap over small cap exposure in case of hawkish FedBuy SPX > RTY 6m ATM outperformance calls contingent on RTY up at expiry for 0.9% (76% discount to vanilla, spot ref. 5187.7, 2064.65).7-May-240.9%Nov-24Safely capture large cap over small cap exposure in case of hawkish FedLong SX5E Sep24 97.5% put conditioned on EURUSD > 1.09 for 86bp (~60% discount vs vanilla put, EURUSD spot ref: 1.078).7-May-2486bpsSep-2460% off EU equity puts if the ECB isn’t able to deliver cuts as fast as expectedSell 1x KOSPI2 3-motnh 105% call against 1x NDX 3-month 105% call for zero cost (both 105% of forward) (Indic., both 28.5% delta &15.8% vol; forward refs: 375.29 & 18,365)7-May-240Aug-24Fully fund Nasdaq upside by selling Kospi calls as realised up-beta is 2x impliedLong SX5E Dec24 5425 (31d) call fully funded by selling a Dec25 168 (38d) call on the DEDZ5 div future (spot refs: DEDZ5: 163.7; SX5E: 5077.08)14-May-240Dec-24SX5E upside at 0 cost by fading toppish dividends via long/short equity/divcall RVLong V2X Jun24 20 call for €0.425 (Jun fut. ref: 14.55)14-May-24€0.425Jun-24Hedged or not, VSTOXX Jun calls are attractive should vol rise from its stuporBuy NKY 3-month 103% 110% call spreads funded by selling 95% 88% put spreads for 0.48%(spot ref: 39,070, +42% delta) +1x 103% call / -1x 110% call / -1x 92% put / +1x 85% put21-May-240.48%Aug-2414.6x max payout for risk-limited upside in case NKY reconnects with S&PShort a SX5E Jun26 call ratio -1x 5100 (50d) +2x5600 (35d) for 42bps (spot ref: 5016, net delta: +0.21, net vega: €25) with the intention of unwinding early (say in 6m)04-Jun-2442bpsDec24Own SX5E vega cheaply with vol at 2 decade lows via short call ratiosBuy HSCEI 19-Jul-24 6,600 / 6,900 / 7,200 call fly financed by selling a 5,700 put for a HK$5 (~0.08%) -1x 5,700 put / +1x 6,600 call / -2x 6,900 calls / +1x 7,200 call (indic. OOF, June fut ref: 6,466, +18% delta, -0.1% vega)04-Jun-24HK$519-Jul-24Zero cost HSCEI trade to buy the dip: A call fly funded by sellinga far OTM putBuy XLI 105% Dec24 call contingent on TLT < 97% at expiry for 1.65% (42% discount to vanilla, -0.10 correl bid, ref. 122.71, 90.89).10-Jun-241.65%20-Dec-24Cheapen cyclicals upside by conditioning on higher ratesBuy EFA 103% Sep24 calls contingent on EURUSD < ATMs for 47bps (65% discount to vanilla, +0.33 correl bid, ref. 81.17, 1.0755)10-Jun-2447bps20-Sep-24Position for non-US equity rally cheapened by weaker EUR on the back of rest of the world cutting while Fed remains on hold.Buy RTY < 95%, TLT > 105% Dec24 dual digital for 10.5% (9.5x max payout, 0 correl bid, ref. 2031.61, 90.89)10-Jun-2410.5%20-Dec-24Fade rally using small caps down, rates down dual digitals, which take advantage of correlation at 25yr extremes.BuySPW > SPX Sep24 ATM outperformance call for 1.75% offer (+80 correl bid, ref. 6725.85, 5447.87)24-Jun-241.75%Sep24Hedge against rotation away from tech into rest of the market with limited risk.Buy SPW > SPX Sep24 ATM outperformance call contingent on SPX > 100% at expiry for 0.87% offer (50% discount to unconditional, +80 correl bid, ref. 6725.85, 5447.87)24-Jun-240.87%Sep24Hedge against rotation away from tech into rest of the market with limited risk.Buy VIX Jul 16/26 call spread for $0.53 indicatively (~18.8x max payout ratio, ref. 14.3967 in UXN4).24-Jun-24~$0.53Jul24Hedge against a correlated shock in the market with strike-less vol based hedge.Buy 12-Dec-24 110% 130% call spreads on a basket of strong momentum Asia Tech names for 3.7%. 5.4x max payout ratio (indic. quanto USD, equal weighted basket of 3690 HK / 2330 TT / 000660 KS)24-Jun-243.7%12-Dec-245.4x payout call spreads for risk-limited upside to cheap and soaring Asia TechSell 1x KOSPI2 3-month 105% call against 1x NDX3-month 105% call for 0.04% (both strikes 105% of fwd, indic. NDX delta 27.9%, KOSPI2 delta 27.6%, both 15.4% vol; fwd refs: 396.58 & 20,711)9-Jul-240.04%Oct-24Nasdaq v Kospi calls: zero cost despite 2x Nasdaq up-betaSource:Bloomberg, BofA Global Research. Prices reflective of most recently available data which may be delayed in some cases. “Trade Value” represents current valuation of trades initiated on the “Open Date”.BofA GLOBAL RESEARCH
  12. 12Global Equity Volatility Insights| 09 July 2024Summary of Closed Trades (08-Jul-24)Table 2: Summary of closed trades as of 08-Jul-24Summary of closed trades as of 08-Jul-24Trade DescriptionOpen DateOpen LevelClose LevelClose DateRationaleBuy XIN9I 27-Apr-2023 105% calls with a 120% knock-out for 1.41% (indic. USD quanto. ~45% discount vs vanilla call, costing 2.56%)06-Feb-231.41%0%27-Apr-23Trade expiredBuy Jun23 NKY>SPX Outperf 0% Call contingent on USDJPY>145 for 1.64%22-Nov-221.64%0%Jun-23Trade expiredBuy SPY 2-Jun 380-400 put spreads for 2.50 (8x max payout, 18 delta, ref. 410.84)02-May-23$2.50$002-Jun-23Trade expiredSell NKY 9-Jun-23 1x3 28,000 29,750 call ratios, collect ¥150(-1x 28,000 +3x 29,750; indic., spot ref: 27,424, 1.3% delta,15.2v/14.5v)28-Feb-23¥150¥ 32809-Jun-23Trade expired ITMBuy cheap Topix put spreads or put spread collars for 6.7x or 16.6x max pay-out ratios. Trade 1: Buy TPX 9-Jun-23 95% 85% put spreads for 1.49% (spot ref: 1,929.30, 23d, 19.5v/24.8v, max pay-out ratio: 6.7)Trade 2: Buy TPX 9-Jun-23 95% 85% 105% put spread collars for 0.60% (ref: 1,929.30, 45d, 19.5v/24.8v/15.7v, max pay-out ratio: 16.620-Mar-231.49%/0.60%0%/0%9-Jun-23Trade expiredSelling Nikkei June 29,000 30,250 1x3 call ratios collecting ~52bps (receive JPY 147.6, spot ref: 28,594, -3d, -1x 29,000 call +3x 30,250 calls25-Apr-23JPY 147.6JPY 27809-Jun-23Trade expired ITMBuy NKY 9-Jun-23 31,750 32,500 1x1.5 call ratios for JPY 99 for a 7.6x max payout ratio (spot ref: 31,220, 9d)22-May-23JPY 99JPY 5159-Jun-23Trade expired ITMSell a Jun23 ATM SX7P call to fully fund +0.9 SX7E calls (ref 163.7, 113.6 respectively)13-Feb-230%0%16-Jun-23Trade expiredSX5E>SPX Jun 3% outperf. call qto USD for 1.6% (0.82 correl bid)09-Jan-231.6%0%16-Jun-23Trade expiredSX5E>SPX Jun 3% outperf. call qto USD conditional on SPX>100% at expiry for 0.45% (72% discount vs. unconditional)09-Jan-230.45%0%16-Jun-23Trade expiredSX7E>XLF Jun23 105% operf if XLF up at expiry for <1%22-Nov-22<1%0%16-Jun-23Trade expiredSX7E +Jun23-Dec23 call calendars for 1.3% credit;22-Nov-221.3% credit1.3%16-Jun-23Trade expiredTrade Value-Growth rotation via EU call dispersion: a) Long Jun23 calls on SX7E, SXAP, SXNP and SXDP, short SXXP call for 1.0% b)Long Jun23 calls on stocks, short SXXP call for 2.1%22-Nov-221.0%2.1%3.1%7.0%16-Jun-23Trade expiredBuy ESTX50 Dec22-Jun23 4400 FVA at 15.5v (spot ref: 4190.98, r=0%, q=4.5%)01-Sep-2115.5v16.1v16-Dec-22Trade expiredLong Jun23 VolSwap dispersion on custom names vs the ESTX50 at 10.6 vol pts (indicatively).03-Jun-2210.6v-0.4v16-Jun-23Trade expiredLong Jun23 30d calls on individual sectors (SX7E, SXAP, SXNP and SXDP, equally-weighted) vs short Jun23 30d call on SXXP for ~0.8% (spotref. SXXP: 410.75).01-Nov-22~0.8%3.2%16-Jun-23Trade expiredBuy SPX Jun23 95% put contingent on 10Y SOFR < ATMf-35bps for 2.21% (52% discount to vanilla put; 0 correl; ref. 3945, 3.708%)22-Nov-222.21%0%16-Jun-23Trade expiredBuy SPX Jun 95% puts contingent on 2Y SOFR > ATM+50bps for 1.13% (55% disc. to vanilla put, -15 correl bid, ref. 4137.29 & 4.31%)13-Feb-131.13%0%16-Jun-23Trade expiredBuy RTY>NDX Jun 103% outperf. call for 1.96% (85 correl)13-Feb-231.96%0%16-Jun-23Trade expiredBuy GLD Jun 190 calls for $2.91 (29 delta; ref. 177.86)13-Feb-23$2.91$016-Jun-23Trade expiredBuy SPX Jun 3800 puts for $13 (ref. 4136.28)15-May-23$13$016-Jun-23Trade expiredBuy GLD Jun 200 calls for $0.75 (ref. 187.21)15-May-23$0.75$016-Jun-23Trade expiredTrade 1: Sell an HSCEI 16-Jun-23 5,700 6,200 put spread for HK$50Trade 2: Sell an HSCEI 16-Jun-23 5,700 6,200 7,200 7,700 iron condor for HK$91 (options on futures, spot ref: 6,680, fut ref 6,687, 14d on the put spread and 1d on the Iron Condor; Iron Condor is short put spreads and short call spreads)03-May-23HK$50/$91HK$0/$016-Jun-23Trade expiredBuy VIX Jun-Jul 18 strike put calendars (buy Jun, sell Jul), for an indicative cost of $0.075 at mids (ref. 21.5595 & 22.8384 in the Jun & Jul VIX futures, respectively)25-Apr-23$0.075$1.36Jun-23Trade expiredBuy Jun23 XIN9I/KOSPI2/TWSE 105% Worst-of Call for 1.65%22-Nov-221.65%0%Jun-23Trade expiredBuy 29 Jun 23 XIN9I/KOSPI2/TWSE 105% Worst-of Call: 0.88% (total +15d, 67% discount to a basket of 105% calls on each index)30-Jan-230.88%0%29-Jun-23Trade expiredSell Kospi2 3-month put spreads to fund call spreads for >12x max payout. Indicative cost KRW 1.62 (31d, max payout ratio 12.4x) Long: 3-month 350/370 call spreads (20d) Short: 3-month 290/310 put spreads (11d)17-Apr-23KRW 1.620%17-Jul-23Trade expiredFund NKY 14 July 103% calls by selling NKY 14 July 90% 95% put spreads for 0.51% (indic. 44d, spot ref: 29,626)16-May-230.51%6.3%14-Jul-23Call expired ITMBuy IWM Jul 185-195 call spreads for $2.31 (4.3x max payout; ref. 178.265)22-May-23$2.31$9.4621-Jul-23Trade expired ITMBuy IWM Jul 185-195 call spreads for $2.06 (4.9x max payout; ref. 179.5800)5-Jun-23$2.06$9.4621-Jul-23Trade expired ITMBuy NKY 11-Aug-23 103% 107% 1x1.5 call ratios for 0.56% for a 7.1x max payout ratio (spot ref: 32,217, 6d)5-Jun-20230.56%011-Aug-23Trade expiredBuy an Aug23 30D-15D SX5E put spread, part funded by the sale of a V2Xcalendar put spread5-May-2343bps018-Aug-23Trade expiredBuy VIX Sep 15/17 put spread + the Nov 25/35 call spread for a cost of $227-Jun-23$2.00$1.1116-Aug-23Trade expired ITMBuy Aug RTY > 1915 (+7%) / EURUSD < 1.06 (-1.9%) dual digital for 7.6% offer (18 correl bid, 13x max payout; ref. 1790/1.0805)22-May-237.60%$0.0018-Aug-23Trade expiredBuy Aug VIX 30-35 call spreads, indic. $0.57 using mid-prices, $0.67 including listed bid-ask, ref. 22.7727 in the Aug VIX future6-Feb-23$0.67$0.0016-Aug-23Trade expired
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