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Hi Paul,
Great to meet you over the phone today and discuss our derivatives offerings / market color. As mentioned, Southern Financial is fully onboarded to trade OTC equity derivatives here. We've reviewed our docs for listed options and just need 2 simple forms completed (attached). They are pretty straight forward but we're here to answer any questions on them that you have.
Per Cievin's comments on short-term upside, below are charts that compare SPY ATM vs 2% out of the money upside in the near-term experies. Vols are in the 8v range for the 2% 0TM calls and as you can see for the next four weeks term structure is flat. We've continued to see the spot up / vol up correlation remain positive and if this theme continues, now is a good entry level into buying inexpensive vol.
SPY ATM Calls:
| SPY 284 Call vs. 283.30 | Economic Events | Cumulative Earnings Reported (%) | |||||
|---|---|---|---|---|---|---|---|
| Tenor | Price | Vol | Inter-Period Fwd Vol | ||||
| $ | % | ||||||
| Friday, August 03. 2018 | 1.40 | 0.49% | 95 | ISM (both) ADP, NFP, FOMC Decision | 61% | ||
| Friday, August 10, 2018 | 1.96 | 0.69% | 9.2 | 8.9 | PPI, CPI | 66% | |
| Friday, August 17, 2018 | 2.47 | 0.97% | 9.2 | 93 | 70% | ||
| Friday, August 24, 2018 | 2.90 | 102% | 9.2 | 9.1 | FOMC mins (Aug) | 72% | |
| Friday, August 31, 2018 | 3.38 | 119% | 9.5 | 10.4 | PCE | 74% | |
| Friday, September 07, 2018 | 3.75 | 1.32% | 9.6 | 105 | ISM (both), ADP, NFP | 75% | |
SPY 2% Upside Calls:
| SPY 288 Call vs. 283.30 | Economic | Events Cumulative Earnings Peported (9) | ||||||
|---|---|---|---|---|---|---|---|---|
| Tenor | Price | Vol | Inter-Period Fwd Vol | |||||
| S | % | |||||||
| Friday, August 03, 2018 | 0.19 | 0.20% | 8.3 | ISM (both), ADP, NFP, FOMC Decision | 61% | |||
| Friday, August 10, 2018 | 0.47 | 0.37% | 8.1 | 84 | PPI, CPI | 60% | ||
| Friday, August 17, 2018 | 0.76 | 051% | 80 | 64 | 70% | |||
| Friday, August 24, 2018 | 1.05 | 0.65% | 8.0 | 8.7 | FOMC mins (Aug) | 72% | ||
| Friday, August 31, 2018 | 1.39 | 0.90% | 82 | 9.6 | PCE | 74% | ||
| Friday, September 07, 2018 | 1.69 | 0.92% | 8.4 | 10.1 | ISM (both), ADP, NFP | 75% | ||
Kind regards,
Nadean
Nadean Novogratz
Deutsche Bait Securities Inc.
Global Equity Derivative Sales
60 Wall Street, 4th Floor
New York, NY 10005
Tel. +1 (212) 250-4960
Cell +1 (917) 623.4547
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