Summary of Closed Trades (19-Jun-17)
Table 10: Summary of closed trades as of 19-Jun-17
Trade Description
Buy NKY Aug-16 105%-110% call spreads & sell 90% puts Replace FB long positions via Oct-16 ATM calls
Replace AMZN long positions via Oct-16 ATM calls
Buy AAPL Oct-16 ATM protective puts
Buy 1.5x 5-Aug-16 2950-3000 strangles by selling 1x 19- Aug-16 2950-3000 strangles
Sell NKY Aug16 15500 puts, Buy Sep16 15500-14500 put spreads
Buy TLS 25-Aug16 95% puts
Buy Newcrest 25-Aug-16 105/115% call spreads
Buy CSL 25-Aug-16 95% puts
Buy BHP 25-Aug-16 105/115% call spreads
Buy HSCEI Aug16 9400 call, Short Oct16 10000 call
Buy Tencent (700 HK} Sep16 105% call
Sell 1x SX7E 1M 25d call to fully finance 1.85x SX5E 1M 25d calls Buy CMB (3968 HK} Sep16 105-115% call spread Buy ICBC (1398 HK) Sep16 105-115% call spread Buy BOC (3988 HK) Sep16 105-115% call spread Buy XLF Sep 24 strike call Buy XLU Sep 51 strike pu Buy a 6M ATM worst-of {XLF call, XLU put}
Buy 0.85x SX5E Sep16 3000-3100 strangle, sell 1x SX5E Dec16 3000-3100 strangle
Long 0.5x V2X Oct16 future, short 0.5x V2X Jan-17 future Sell VSTOXX Sep 21 puts
VIX Sep 17/22 1x2 call ratios (short 2x} + 0.75x SPY Sep23 210 puts
Buy NKY Oct 95/105 strangle outright
Buy NKY Oct 95/105 strangle daily delta-hedging
Long 3M 25d EFA put vs short 3M 25d UKX put
Replace T long position via 3M ATM calls
Replace LOW long position via 3M ATM calls
Replace RTN long position via 3M ATM calls
Replace CRM long position via 3M ATM calls
Replace NEE long position via 3M ATM calls
Overlay long WBA long position with 3M ATM calls
Buy HKEx (388 HK) 1x2 105%-115% call ratio
Buy NKY Oct16 17500 call, Sell 0.65x NKY Sep 17250 call
Short VIX Oct 15 put vs. long VIX Nov 19/26 call spread Long 2x SPX Oct31 2125 puts vs. short 1x SPX Mar-17 1975 put
DAX +2.31x Dec16/-1x Dect? put calendars
Buy SX5E Dec16 2950/2750 put spread
Buy 1.5x SX5E Dec16 3100 call, sell 1x SXSE Mar17 3100 call for an upfront credit of 56bps
Buy a 6M ATM worst-of call on XLP & GLD
Buy a 6M ATM worst-of {SPX put, GLD call}
Buy GLD 124/130 Dec-16 call spread
Buy GLD 116/124/130 Dec-16 call spread collar
Buy TLT 123/132/137 Dec-16 call spread collar
Buy Oct16 110%f calls on VIE FP, Al FP, IBE SQ, STAN LN 18-Jul-
and MUV2 GY
Buy an Oct16 110%F call on an equally weighted basket {quanto EUR)
Buy 0.895x V2X Oct 21 puts, sell 1x VIX Oct 16 puts
Sell SX7E Dec16 115 call
Open Date
11-Jul- 25-Jul- 25-Jul- 25-Jul-
ADD DD
25-Jul-16
25-Jul-16
18-Jul-16 18-Jul-16 18-Jul-16 18-Jul-16 1-Aug-16 15-Aug-16
25-Jul-16
5-Jul-16 5-Jul-16 5-Jul-16 25-Jul-16 25-Jul-16 25-Jul-16
15-Aug-16
11-Jul-16 30-Aug-16 15-Aug-16
ror
30-Aug- 30-Aug- 5-Jul-16 9-Jul- 9-Jul- 9-Jul- 9-Jul- 9-Jul- 9-Jul- 5-Aug-16 8-Aug-
AWAD DD a
a
-Aug-16
6-Sep-16 30-Aug16 6-Sep-16
24-Oct-16
11-Jul- 11-Jul- 8-Nov- 8-Nov- 8-Nov-
18-Jul-16
19-Sep-16
6-Sep-16
Open Level 0.26% 5.9% 55% 4.6%
0.00%
0.24%
1.05% 2.64% 1.09% 2.22% 0.00% 1.70%
0.0%
2.32% 2.12% 2.10% 14% 1.3% 1.35%
-5.07%
0.05 vols 1.20 vols $0.85
2.28% 2.28% 0.00% 2.12% 3.90% 3.16% 4.16% 2.32% 4.04% 0.60% 0.70%
$0.45
0.0% 0.00% 1.48%
-0.56%
1.05% 1.60% 0.9%
0.65% 0.67% 2.31%
0.81%
0.0 -0.88%
Close Level 1.73% 6.1% 6.3% 1.2%
-1.12%
0.28%
2.95% 1.18% 1.18% 0.77% 0.67% 2.10%
0.0%
6.12% 9.0% 6.28% 2.3% 2.6% 3.0%
-5.73%
-0.95 vols 1.77 vols $0.45
0.44% 0.56% 0.00% 0.04% 0.00% 0.41% 0.19% 0.08% 1.20% 0.00% 0%
$0.88
-0.34% -2.60% 0.00%
1.62%
0.0% 0.0% 0.0% 1A -5.03% 3.30%
0.00%
$1.3 -1.09%
Close Date 25-Jul-16 1-Aug-16 1-Aug-16 1-Aug-16
5-Aug-16
Aug-16 expiry & Sep-16 expiry
15-Aug-16 15-Aug- 22-Aug- 22-Aug- 22-Aug- 22-Aug-
ADA DD
25-Aug-16
30-Aug-16 30-Aug-16 30-Aug-16 6-Sep-16 6-Sep-16 6-Sep-16
Sep-16 expiry
19-Sep-16 Sep-16 expiry Sep VIX expiry
27-Sep-16 27-Sep-16 3 months 3 months 3 months 3 months 3 months 3 months 3 months 29-Sep-16 14-Oct-16
14-Oct-16
14-Oct-16 Dec-16 expiry Dec-16 expiry
Dec-16 expiry
6 months
6 months Dec-16 Dec-16 Dec-16 Oct-16 expiry
Oct-16 expiry
Oct-16 expiry 24-Oct-16
Rationale
Close position as the hurdle to surprise on the upside is high following a 5.8% NKY rally Close position as Facebook rallied on better-than expected Q2 results
Close position as Amazon rallied on better-than expected Q2 results
Remove protection as worries around disappointing Q4 guidance faded post earnings
The BoJ, Fed & EU bank stress tests could move mkts sharply in the near term
Unwinding before the Aug16 expiry; The NKY Sep put spread has carried well
Telstra has announced earnings and the stock has corrected 5% over the period NCM has stayed unchanged over the period despite better than expected earnings CSL fell 5.4% over the period with weak earnings announcement
BHP rose 3.6% over the period but the option remains out of the money
Close position as the HSCEI rallies 5.2% and we are approaching the Aug16 expiry Tencent jumped post better than expected earnings
SX7E 1M 25d call / SX5E 1M 25d call price ratio is in the 100" 2-yr percentile
Close position and BofA ML turned neutral in EM in the short-term Close position and BofA ML turned neutral in EM in the short-term Close position and BofA ML turned neutral in EM in the short-term
Close positions from trades that have benefited thus far from the rally in Financials and weakness in Utilities; monetize view that Fed will not hike in September
Take advantage of low near term vol and a steep term structure
Unwind Oct/Jan spread and maintain Nov/Jan spread given clarity around the Italian referendum date Global macro event risk likely to keep V2X supported going into Sep expiry
Trade provided hedging benefits during the sudden Sep market shock & has expired
Take a loss post an disappointing market reaction on the BoJ announcement Take a loss post an disappointing market reaction on the BoJ announcement Trade expired on 3-Oct
Our analysts no longer expect impactful catalysts in the near term; stock replacement strategies proved useful in cushioning downside losses during the abrupt Sep-16 sell-off vs. long equity positions.
HKEx failed to rally above the first call strike and expired worthless
NKY Oct-16 call expired out of the money
Close position as the Oct VIX future stayed well-supported as is typically the case in the weeks leading up to the US presidential election
Provided hedging benefits in the sudden equity shock in early Sep-16; now being unwound to mitigate decay
DAX outperformance & low short dated DAX vol make put calendars attractive A catalyst-strewn fall and a remarkably low volatility summer suggests that there could be headwinds to continued market upside on low volatility
Monetise steep SX5E vol curve for tactical EU upside with an upfront credit
Take a loss as safe-haven assets post a weak performance in H2-16 with fears over Trump's surprise victory easing and stock markets rallying
Add exposure via inexpensive upside on single names where positioning appears particularly bearish and stocks have underperformed vs. their sectors
Near term catalysts & curve differentials favour tactical long V2X, short VIX puts Close short SX7E call (part of SX5E put spread, short SX7E call trade) to limit potential risk from a “Yes” in the Italian referendum
Bankof America Merrill Lynch
Global Equity Volatility Insights | 20 June 2017 = 23
HOUSE_OVERSIGHT_014994