Documents tagged "Global Equity Volatility Insights"
Found 3 documents with this tag
HOUSE_OVERSIGHT_025978.txt
The document discusses risk parity funds and the potential risks associated with them, specifically in relation to bond-equity correlation. It provides a scenario tool for investors to assess what relative moves in bonds and equities could catalyze significant deleveraging by rules-based risk parity funds running vol target overlays. The document also suggests buying seasonal oil dips via bullish X-market risk reversals, leveraging both commodity strategists' 'buy the dip' view and equity strategists' bullish outlook on the Oil & Gas sector.
HOUSE_OVERSIGHT_023575.txt
The document discusses the potential for a tech bubble in US markets and suggests using derivatives to position for it. Key strategies include replacing FANG positions with Nasdaq 100 put spreads or using long volatility dispersion strategies like SPX 12M Top50 dispersion. In Europe, investors are advised to use DTE Sep17 collars to hedge against the risk of a pullback in DTE-TMUS merger and consider Enel 3m bullish risk reversals as a value play.
HOUSE_OVERSIGHT_014972.txt
The document discusses equity volatility insights with a focus on the European Union and United States' equity markets. It suggests monetizing correlation through EU bank dispersion and extracting alpha from summer SPX range as policy and positioning create a "collar" equities. The report also recommends buying in-the-money down and out puts on the S&P, and position for greater dispersion in EU bank sector returns by buying a Dec17 call on an equally-weighted basket of Santander, BNP, ING, Intesa, and Deutsche Bank while selling worst-of calls. The report emphasizes that monetary policy is likely not supportive of substantial equity upside but the "Yellen put" still exists with a lower strike.