Transcript 1 st August 2013 - Catley Lakeman Securities
UBS Investment Bank Sales and Trading Commentary
Not
a product of the UBS Research department
1
st
August 2013 Catley Lakeman Securities
UBS Equity Deriv Strategy
Pete Clarke ([email protected]) +44 207 567 9228 Kieran Diamond ([email protected]) +44 207 568 0126 Bhavin Patel ([email protected]) +44 207 567 9777
Sources: UBS Equity Derivatives Strategy, Bloomberg, 1
st
August 2013 1 of 7
Vols are down significantly across the board as we go into the August period – VIX spot and futures levels on lows.
60% 50% 40% 30% 20% 10% 0%
VIX-Historical Levels
VIX nov13 futures level Current 45 24-Jun-13 40 95th %ile 35 75th %ile 30 50th %ile / Median 25th %ile 25 20 5th %ile 15 Aug-13
VIX futures are at their 3yr lows across all maturities
Sep-13 Oct-13 Nov-13 Dec-13 Jan-14
Sources: UBS Equity Derivatives Strategy, Bloomberg, 1
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August 2013 2 of 7
Index
Current Spot Change on Wk Percentile
NIFTY
5831.7
↓ -3.3%
88.6%
HSCEI
9641.1
↑ 2.4%
22.2%
QQQ US IWM US
75.2
103.4
↑ 0.6% ↓ -1.1% 99.0% 100.0%
KOSPI2
246.5
↑ 1.4% 61.1%
HSI
21850.2
↑ 2.0% 49.0%
EEM US
39.3
↓ -0.9% 33.3%
SPY US
168.6
↓ -0.5% 99.3%
TWSE
8084.5
↓ -0.3% 68.0%
EWZ US
44.2
↓ -0.7% 17.0%
UKX
6560.3
↓ -0.9% 94.6%
DAXK
4368.0
↓ -0.9% 75.9%
SM I
7814.1
↓ -1.4% 77.8%
NKY
13661.1
↓ -6.8%
71.8%
SX5E
2741.7
↑ 0.6% 34.6% Index pts WoW % spot return vs Since Dec05 240% 190% 240%
Vols on lows and skews generally quite flat, with most indices having rallied a long way from 1yr lows
190%
–
Index
1y-3m ATM 290% 40% 8
NIFTY
3.7% 6
QQQ US
3.4% 23.9% 1
SPY US
2.5% 22.1% 39
IWM US
2.3% 3
DAX
2.2% 40
EEM US
2.1% 17.8% 55
SX5E
2.0% 17.6% 7
UKX
1.5% 16.8% 2
HSI
1.1% 16.8% 10
SM I
0.9% 4
KOSPI2
0.8% 14.7% 37
TWSE
0.7% 53
EWZ US
0.0% 35
HSCEI
-0.2% 290% 140% 90% 40% 15
NKY
-2.2% Vol pts spread Maximum 75% ile Median 25% ile Minimum Current Last w eek Percentile 74.4% 11.8% 19.2% 7.9% 4% 50% 2% HSCEI 95% ile = 56.5% , EEM US 95% ile = 58.3% 16.9% 23.2% 6.7% 20.1% 19.2% 7.6% 5.1% 25.9% 30.4% 0.6% 17.6% vs Since Dec05 4% 50% 2% -2% 30% -4% -2% 30% -4% -8% 10% -10%
Index
3m Realised Percentile 15
NKY
37.0%
↑ 1.0% ↑ 0.6%
24.7% 35
HSCEI
24.4% 80.1% 53
EWZ US
24.0% 35.8% 40
EEM US
22.2% 31.5% 60% 7% 50% 6% 40% 5% 30% 4% 20% 3% 10% 2% 0% 1% HSCEI 95% ile= 67.2% ; EEM 95% ile=69.2% 0%
Index
3m Richness Change on Wk Percentile
IWM US
2.5%
↑ 1.6%
42.0%
QQQ US
1.4% ↑ 0.2% 34.3%
NIFTY
0.9% ↑ 0.2% 23.2%
SPY US
0.6% ↑ 0.6% 29.6% 15% 2
HSI
18.9% 47.3%
TWSE
0.3% ↑ 0.5% 19.7% 10
SM I
18.4% 14.0%
EWZ US
0.0% ↑ 0.4% 34.0% 55
SX5E
18.0% 16.3%
SX5E
-0.1% ↑ 0.6% 31.0% 8
NIFTY
17.9% 37.1%
DAX
-0.5% ↑ 0.6% 28.2% 3
DAX
17.3% 7.6%
KOSPI2
-0.8% ↓ -1.1% 22.3% 10% 5% 0% 4
KOSPI2
16.7% 1.9%
UKX
-1.6% ↑ 0.3% 15.3% 7
UKX
16.0% 42.9% 39
IWM US
15.1% 35.2%
EEM US
-1.6% ↓ 0.0% 24.3%
HSI
-2.1%
↓ -1.2%
13.7% -5%
Sources: UBS Equity Derivatives Strategy, Bloomberg, 1
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-10% -15%
August 2013 3 of 7
37
TWSE
14.4% 23.8%
HSCEI
-2.3%
↓ -1.8%
21.6% 1
SPY US
12.3% 40.8%
SM I
-4.1% ↑ 0.2% 8.5% -8% 10% -10% 6
QQQ US
12.3% 80.0% Vol pts 0% -5% -10% -15% 0.1
2.7% vs Since Dec05 60% 95% ile 7% 50% 6% 40% 5% 30% 4% 20% 3% 10% 2% 0% 1% 95% ile 75% ile 75% ile Median Median 25% ile 25% ile (5% ) Last w eek Current Last w eek 0%
NKY
-11.6% Vol pts ↓ -0.5% Vol pt change 4.7% vs Since Dec05 15% 95% ile 10% 75% ile 5% Median 25% ile (5% ) Current Last w eek
The only metric lower than volatility is interest rates! Yield based structured products are therefore still the main focus. Trading interest is increasingly shifting away from short puts and towards long calls though (ideally without the bond!).
45% 40% 35% 30% 25% 20% 15% 10% 5% 0%
Rates vs Vols - Should drive structured-products demand
High vol, lower rates - yield products appeal
2y ATM Implied Vol 2y € Rates
Higher yields, lower vols - participation should be more attractive
6 5 4 3 2 1 0
Eurostoxx Since 2002
5000 4500 4000 3500 3000 2500 2000 1500 1000 500 0 Spot
Sources: UBS Equity Derivatives Strategy, Bloomberg, 1
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August 2013 4 of 7
Big variations in global equity performance – interest in catch-up trades (for e.g. Europe and China vs US) – outright longs, long calls, dividends, outperformance structures:
Index Spot Performance (Rebased)
170% 160% 150% 140% 130% 120% 110% 100% 90% 80% 70% 60% 50% 40%
QQQ US Spot : ↑ +0.5% IWM US Spot : ↓ -1.1% SPY US Spot : ↓ -0.6% KOSPI2 Spot : ↑ +1.4% UKX Spot : ↓ -0.9% TWSE Spot : ↓ -0.3% NIFTY Spot : ↓ -3.3% SMI Spot : ↓ -1.4% NKY Spot : ↓ -6.8% EFA US Spot : ↓ -1.3% EEM US Spot : ↓ -0.7% DAX Spot : ↓ -0.9% AS51 Spot : ↑ +0.9% HSI Spot : ↑ +2.0% SX5E Spot : ↑ +0.6% HSCEI Spot : ↑ +2.4%
Sources: UBS Equity Derivatives Strategy, Bloomberg, 1
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August 2013 5 of 7
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Sources: UBS Equity Derivatives Strategy, Bloomberg, 1
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August 2013 6 of 7
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Sources: UBS Equity Derivatives Strategy, Bloomberg, 1
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