HOUSE_OVERSIGHT_023599.jpg
2.77 MB
Extraction Summary
1
People
26
Organizations
6
Locations
4
Events
1
Relationships
4
Quotes
Document Information
Type:
Financial report / bank analysis
File Size:
2.77 MB
Summary
This document is a Bank of America Merrill Lynch 'Global Equity Volatility Insights' report dated June 6, 2017. It contains a dense table titled 'Summary of closed trades as of 5-Jun-17', listing various financial derivatives trades (options, calls, puts) executed primarily in late 2016 involving major global indices (NKY, HSCEI, SX5E) and corporate stocks (Amazon, Facebook, Apple, Tencent). The report provides the rationale for closing these positions, citing market events such as the US presidential election (Trump), the Italian referendum, and central bank activities (BoJ, Fed).
People (1)
| Name | Role | Context |
|---|---|---|
| Trump | US President (referenced) |
Mentioned in trade rationale regarding 'fears over Trump's surprise victory easing and stock markets rallying'.
|
Organizations (26)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch | ||
| BoJ (Bank of Japan) | ||
| Fed (Federal Reserve) | ||
| EU (European Union) | ||
| Facebook (FB) | ||
| Amazon (AMZN) | ||
| Apple (AAPL) | ||
| Newcrest (NCM) | ||
| Telstra (TLS) | ||
| CSL | ||
| BHP | ||
| Tencent | ||
| CMB | ||
| ICBC | ||
| BoC (Bank of China) | ||
| HKEx | ||
| Lowe's (LOW) | ||
| Raytheon (RTN) | ||
| Salesforce (CRM) | ||
| NextEra Energy (NEE) | ||
| Walgreens Boots Alliance (WBA) | ||
| Standard Chartered (STAN LN) | ||
| Munich Re (MUV2 GY) | ||
| VIE FP | ||
| AI FP | ||
| IBE SQ |
Locations (6)
| Location | Context |
|---|---|
|
Japan (NKY)
|
|
|
Europe (EU, SX5E, DAX)
|
|
|
Hong Kong (HK, HSCEI)
|
|
Relationships (1)
Document is a 'Global Equity Volatility Insights' report providing rationale for trade closures.
Key Quotes (4)
"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"Source
HOUSE_OVERSIGHT_023599.jpg
Quote #1
"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"Source
HOUSE_OVERSIGHT_023599.jpg
Quote #2
"Close position and BofA ML turned neutral in EM in the short-term"Source
HOUSE_OVERSIGHT_023599.jpg
Quote #3
"Close position as the hurdle to surprise on the upside is high following a 5.8% NKY rally"Source
HOUSE_OVERSIGHT_023599.jpg
Quote #4
Full Extracted Text
Complete text extracted from the document (7,272 characters)
Summary of Closed Trades (5-Jun-17)
Table 7: Summary of closed trades as of 5-Jun-17
Trade Description Open Date Open Level Close Level Close Date Rationale
Buy NKY Aug-16 105%-110% call spreads & sell 90% puts 11-Jul-16 0.26% 1.73% 25-Jul-16 Close position as the hurdle to surprise on the upside is high following a 5.8% NKY rally
Replace FB long positions via Oct-16 ATM calls 25-Jul-16 5.9% 6.1% 1-Aug-16 Close position as Facebook rallied on better-than expected Q2 results
Replace AMZN long positions via Oct-16 ATM calls 25-Jul-16 5.5% 6.3% 1-Aug-16 Close position as Amazon rallied on better-than expected Q2 results
Buy AAPL Oct-16 ATM protective puts 25-Jul-16 4.6% 1.2% 1-Aug-16 Remove protection as worries around disappointing Q4 guidance faded post earnings
Buy 1.5x 5-Aug-16 2950-3000 strangles by selling 1x 19-Aug-16 2950-3000 strangles 25-Jul-16 0.00% -1.12% 5-Aug-16 The BoJ, Fed & EU bank stress tests could move mkts sharply in the near term
Sell NKY Aug16 15500 puts, Buy Sep16 15500-14500 put spreads 25-Jul-16 0.24% 0.28% Aug-16 expiry & Sep-16 expiry Unwinding before the Aug16 expiry; The NKY Sep put spread has carried well
Buy TLS 25-Aug16 95% puts 18-Jul-16 1.05% 2.95% 15-Aug-16 Telstra has announced earnings and the stock has corrected 5% over the period
Buy Newcrest 25-Aug-16 105/115% call spreads 18-Jul-16 2.64% 1.18% 15-Aug-16 NCM has stayed unchanged over the period despite better than expected earnings
Buy CSL 25-Aug-16 95% puts 18-Jul-16 1.09% 1.18% 22-Aug-16 CSL fell 5.4% over the period with weak earnings announcement
Buy BHP 25-Aug-16 105/115% call spreads 18-Jul-16 2.22% 0.77% 22-Aug-16 BHP rose 3.6% over the period but the option remains out of the money
Buy HSCEI Aug16 9400 call, Short Oct16 10000 call 1-Aug-16 0.00% 0.67% 22-Aug-16 Close position as the HSCEI rallies 5.2% and we are approaching the Aug16 expiry
Buy Tencent (700 HK) Sep16 105% call 15-Aug-16 1.70% 2.70% 22-Aug-16 Tencent jumped post better than expected earnings
Sell 1x SX7E 1M 25d call to fully finance 1.85x SX5E 1M 25d calls 25-Jul-16 0.0% 0.0% 25-Aug-16 SX7E 1M 25d call / SX5E 1M 25d call price ratio is in the 100th 2-yr percentile
Buy CMB (3968 HK) Sep16 105-115% call spread 5-Jul-16 2.32% 6.12% 30-Aug-16 Close position and BofA ML turned neutral in EM in the short-term
Buy ICBC (1398 HK) Sep16 105-115% call spread 5-Jul-16 2.12% 9.0% 30-Aug-16 Close position and BofA ML turned neutral in EM in the short-term
Buy BoC (3988 HK) Sep16 105-115% call spread 5-Jul-16 2.10% 6.28% 30-Aug-16 Close position and BofA ML turned neutral in EM in the short-term
Buy XLF Sep 24 strike call 25-Jul-16 1.4% 2.3% 6-Sep-16 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
Buy XLU Sep 51 strike put 25-Jul-16 1.3% 2.6% 6-Sep-16
Buy a 6M ATM worst-of {XLF call, XLU put} 25-Jul-16 1.35% 3.0% 6-Sep-16
Buy 0.85x SX5E Sep16 3000-3100 strangle, sell 1x SX5E Dec16 3000-3100 strangle 15-Aug-16 -5.07% -5.73% Sep-16 expiry Take advantage of low near term vol and a steep term structure
Long 0.5x V2X Oct16 future, short 0.5x V2X Jan-17 future 11-Jul-16 0.05 vols -0.95 vols 19-Sep-16 Unwind Oct/Jan spread and maintain Nov/Jan spread given clarity around the Italian referendum date
Sell VSTOXX Sep 21 puts 30-Aug-16 1.20 vols 1.77 vols Sep-16 expiry Global macro event risk likely to keep V2X supported going into Sep expiry
VIX Sep 17/22 1x2 call ratios (short 2x) + 0.75x SPY Sep23 210 puts 15-Aug-16 $0.85 $0.45 Sep VIX expiry Trade provided hedging benefits during the sudden Sep market shock & has expired
Buy NKY Oct 95/105 strangle outright 30-Aug-16 2.28% 0.44% 27-Sep-16 Take a loss post an disappointing market reaction on the BoJ announcement
Buy NKY Oct 95/105 strangle daily delta-hedging 30-Aug-16 2.28% 0.56% 27-Sep-16 Take a loss post an disappointing market reaction on the BoJ announcement
Long 3M 25d EFA put vs short 3M 25d UKX put 5-Jul-16 0.00% 0.00% 3 months Trade expired on 3-Oct
Replace T long position via 3M ATM calls 19-Jul-16 2.72% 0.04% 3 months 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.
Replace LOW long position via 3M ATM calls 19-Jul-16 3.90% 0.00% 3 months
Replace RTN long position via 3M ATM calls 19-Jul-16 3.16% 0.41% 3 months
Replace CRM long position via 3M ATM calls 19-Jul-16 4.16% 0.19% 3 months
Replace NEE long position via 3M ATM calls 19-Jul-16 2.32% 0.08% 3 months
Overlay long WBA long position with 3M ATM calls 19-Jul-16 4.04% 1.20% 3 months
Buy HKEx (388 HK) 1x2 105%-115% call ratio 15-Aug-16 0.60% 0.00% 29-Sep-16 HKEx failed to rally above the first call strike and expired worthless
Buy NKY Oct16 17500 call, Sell 0.65x NKY Sep 17250 call 8-Aug-16 0.70% 0% 14-Oct-16 NKY Oct-16 call expired out of the money
Short VIX Oct 15 put vs. long VIX Nov 19/26 call spread 1-Aug-16 $0.45 $0.88 14-Oct-16 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
Long 2x SPX Oct31 2125 puts vs. short 1x SPX Mar-17 1975 put 6-Sep-16 0.0% -0.34% 14-Oct-16 Provided hedging benefits in the sudden equity shock in early Sep-16; now being unwound to mitigate decay
DAX +2.31x Dec16 / -1x Dec17 put calendars 30-Aug16 0.00% -2.60% Dec-16 expiry DAX outperformance & low short dated DAX vol make put calendars attractive
Buy SX5E Dec16 2950/2750 put spread 6-Sep-16 1.48% 0.00% Dec-16 expiry A catalyst-strewn fall and a remarkably low volatility summer suggests that there could be headwinds to continued market upside on low volatility
Buy 1.5x SX5E Dec16 3100 call, sell 1x SX5E Mar17 3100 call for an upfront credit of 56bps 24-Oct-16 -0.56% 1.62% Dec-16 expiry Monetise steep SX5E vol curve for tactical EU upside with an upfront credit
Buy a 6M ATM worst-of call on XLP & GLD 11-Jul-16 1.05% 0.0% 6 months 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
Buy a 6M ATM worst-of {SPX put, GLD call} 11-Jul-16 1.60% 0.0% 6 months
Buy GLD 124/130 Dec-16 call spread 8-Nov-16 0.9% 0.0% Dec-16
Buy GLD 116/124/130 Dec-16 call spread collar 8-Nov-16 0.65% -7.4% Dec-16
Buy TLT 123/132/137 Dec-16 call spread collar 8-Nov-16 0.67% -5.03% Dec-16
Buy Oct16 110%f calls on VIE FP, AI FP, IBE SQ, STAN LN and MUV2 GY 18-Jul-16 2.37% 3.30% Oct-16 expiry Add exposure via inexpensive upside on single names where positioning appears particularly bearish and stocks have underperformed vs. their sectors
Buy an Oct16 110%F call on an equally weighted basket (quanto EUR) 18-Jul-16 0.81% 0.00% Oct-16 expiry
Buy 0.895x V2X Oct 21 puts, sell 1x VIX Oct 16 puts 19-Sep-16 0.0 $1.3 Oct-16 expiry Near term catalysts & curve differentials favour tactical long V2X, short VIX puts
Sell SX7E Dec16 115 call 6-Sep-16 -0.88% -1.09% 24-Oct-16 Close short SX7E call (part of SX5E put spread, short SX7E call trade) to limit potential risk from a "Yes" in the Italian referendum
Replace FB long positions via Oct-16 ATM calls 25-Jul-16 5.9% 6.1% 1-Aug-16 Close position as Facebook rallied on better-than expected Q2 results
Replace AMZN long positions via Oct-16 ATM calls 25-Jul-16 5.5% 6.3% 1-Aug-16 Close position as Amazon rallied on better-than expected Q2 results
Buy AAPL Oct-16 ATM protective puts 25-Jul-16 4.6% 1.2% 1-Aug-16 Remove protection as worries around disappointing Q4 guidance faded post earnings
Buy 1.5x 5-Aug-16 2950-3000 strangles by selling 1x 19-Aug-16 2950-3000 strangles 25-Jul-16 0.00% -1.12% 5-Aug-16 The BoJ, Fed & EU bank stress tests could move mkts sharply in the near term
Sell NKY Aug16 15500 puts, Buy Sep16 15500-14500 put spreads 25-Jul-16 0.24% 0.28% Aug-16 expiry & Sep-16 expiry Unwinding before the Aug16 expiry; The NKY Sep put spread has carried well
Buy TLS 25-Aug16 95% puts 18-Jul-16 1.05% 2.95% 15-Aug-16 Telstra has announced earnings and the stock has corrected 5% over the period
Buy Newcrest 25-Aug-16 105/115% call spreads 18-Jul-16 2.64% 1.18% 15-Aug-16 NCM has stayed unchanged over the period despite better than expected earnings
Buy CSL 25-Aug-16 95% puts 18-Jul-16 1.09% 1.18% 22-Aug-16 CSL fell 5.4% over the period with weak earnings announcement
Buy BHP 25-Aug-16 105/115% call spreads 18-Jul-16 2.22% 0.77% 22-Aug-16 BHP rose 3.6% over the period but the option remains out of the money
Buy HSCEI Aug16 9400 call, Short Oct16 10000 call 1-Aug-16 0.00% 0.67% 22-Aug-16 Close position as the HSCEI rallies 5.2% and we are approaching the Aug16 expiry
Buy Tencent (700 HK) Sep16 105% call 15-Aug-16 1.70% 2.70% 22-Aug-16 Tencent jumped post better than expected earnings
Sell 1x SX7E 1M 25d call to fully finance 1.85x SX5E 1M 25d calls 25-Jul-16 0.0% 0.0% 25-Aug-16 SX7E 1M 25d call / SX5E 1M 25d call price ratio is in the 100th 2-yr percentile
Buy CMB (3968 HK) Sep16 105-115% call spread 5-Jul-16 2.32% 6.12% 30-Aug-16 Close position and BofA ML turned neutral in EM in the short-term
Buy ICBC (1398 HK) Sep16 105-115% call spread 5-Jul-16 2.12% 9.0% 30-Aug-16 Close position and BofA ML turned neutral in EM in the short-term
Buy BoC (3988 HK) Sep16 105-115% call spread 5-Jul-16 2.10% 6.28% 30-Aug-16 Close position and BofA ML turned neutral in EM in the short-term
Buy XLF Sep 24 strike call 25-Jul-16 1.4% 2.3% 6-Sep-16 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
Buy XLU Sep 51 strike put 25-Jul-16 1.3% 2.6% 6-Sep-16
Buy a 6M ATM worst-of {XLF call, XLU put} 25-Jul-16 1.35% 3.0% 6-Sep-16
Buy 0.85x SX5E Sep16 3000-3100 strangle, sell 1x SX5E Dec16 3000-3100 strangle 15-Aug-16 -5.07% -5.73% Sep-16 expiry Take advantage of low near term vol and a steep term structure
Long 0.5x V2X Oct16 future, short 0.5x V2X Jan-17 future 11-Jul-16 0.05 vols -0.95 vols 19-Sep-16 Unwind Oct/Jan spread and maintain Nov/Jan spread given clarity around the Italian referendum date
Sell VSTOXX Sep 21 puts 30-Aug-16 1.20 vols 1.77 vols Sep-16 expiry Global macro event risk likely to keep V2X supported going into Sep expiry
VIX Sep 17/22 1x2 call ratios (short 2x) + 0.75x SPY Sep23 210 puts 15-Aug-16 $0.85 $0.45 Sep VIX expiry Trade provided hedging benefits during the sudden Sep market shock & has expired
Buy NKY Oct 95/105 strangle outright 30-Aug-16 2.28% 0.44% 27-Sep-16 Take a loss post an disappointing market reaction on the BoJ announcement
Buy NKY Oct 95/105 strangle daily delta-hedging 30-Aug-16 2.28% 0.56% 27-Sep-16 Take a loss post an disappointing market reaction on the BoJ announcement
Long 3M 25d EFA put vs short 3M 25d UKX put 5-Jul-16 0.00% 0.00% 3 months Trade expired on 3-Oct
Replace T long position via 3M ATM calls 19-Jul-16 2.72% 0.04% 3 months 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.
Replace LOW long position via 3M ATM calls 19-Jul-16 3.90% 0.00% 3 months
Replace RTN long position via 3M ATM calls 19-Jul-16 3.16% 0.41% 3 months
Replace CRM long position via 3M ATM calls 19-Jul-16 4.16% 0.19% 3 months
Replace NEE long position via 3M ATM calls 19-Jul-16 2.32% 0.08% 3 months
Overlay long WBA long position with 3M ATM calls 19-Jul-16 4.04% 1.20% 3 months
Buy HKEx (388 HK) 1x2 105%-115% call ratio 15-Aug-16 0.60% 0.00% 29-Sep-16 HKEx failed to rally above the first call strike and expired worthless
Buy NKY Oct16 17500 call, Sell 0.65x NKY Sep 17250 call 8-Aug-16 0.70% 0% 14-Oct-16 NKY Oct-16 call expired out of the money
Short VIX Oct 15 put vs. long VIX Nov 19/26 call spread 1-Aug-16 $0.45 $0.88 14-Oct-16 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
Long 2x SPX Oct31 2125 puts vs. short 1x SPX Mar-17 1975 put 6-Sep-16 0.0% -0.34% 14-Oct-16 Provided hedging benefits in the sudden equity shock in early Sep-16; now being unwound to mitigate decay
DAX +2.31x Dec16 / -1x Dec17 put calendars 30-Aug16 0.00% -2.60% Dec-16 expiry DAX outperformance & low short dated DAX vol make put calendars attractive
Buy SX5E Dec16 2950/2750 put spread 6-Sep-16 1.48% 0.00% Dec-16 expiry A catalyst-strewn fall and a remarkably low volatility summer suggests that there could be headwinds to continued market upside on low volatility
Buy 1.5x SX5E Dec16 3100 call, sell 1x SX5E Mar17 3100 call for an upfront credit of 56bps 24-Oct-16 -0.56% 1.62% Dec-16 expiry Monetise steep SX5E vol curve for tactical EU upside with an upfront credit
Buy a 6M ATM worst-of call on XLP & GLD 11-Jul-16 1.05% 0.0% 6 months 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
Buy a 6M ATM worst-of {SPX put, GLD call} 11-Jul-16 1.60% 0.0% 6 months
Buy GLD 124/130 Dec-16 call spread 8-Nov-16 0.9% 0.0% Dec-16
Buy GLD 116/124/130 Dec-16 call spread collar 8-Nov-16 0.65% -7.4% Dec-16
Buy TLT 123/132/137 Dec-16 call spread collar 8-Nov-16 0.67% -5.03% Dec-16
Buy Oct16 110%f calls on VIE FP, AI FP, IBE SQ, STAN LN and MUV2 GY 18-Jul-16 2.37% 3.30% Oct-16 expiry Add exposure via inexpensive upside on single names where positioning appears particularly bearish and stocks have underperformed vs. their sectors
Buy an Oct16 110%F call on an equally weighted basket (quanto EUR) 18-Jul-16 0.81% 0.00% Oct-16 expiry
Buy 0.895x V2X Oct 21 puts, sell 1x VIX Oct 16 puts 19-Sep-16 0.0 $1.3 Oct-16 expiry Near term catalysts & curve differentials favour tactical long V2X, short VIX puts
Sell SX7E Dec16 115 call 6-Sep-16 -0.88% -1.09% 24-Oct-16 Close short SX7E call (part of SX5E put spread, short SX7E call trade) to limit potential risk from a "Yes" in the Italian referendum
Bank of America Merrill Lynch
Global Equity Volatility Insights | 06 June 2017 25
HOUSE_OVERSIGHT_023599
Global Equity Volatility Insights | 06 June 2017 25
HOUSE_OVERSIGHT_023599
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