全球-量化策略-流动性预览：美国股票衍生品更新与交易理念

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1、GlobalQuantitative&DerivativesStrategy18July2018VolatilityReviewAmericasEquityDerivativesUpdatesandTradeIdeas·IstheNasdaq100nextto‘turnJapanese’?InthelastVolatilityReview,wediscussedhowlargestructuredproductissuancehasbeenweighingonRussell2000long-datedvolatilityandskew(similarto

2、thedynamicsimpactingNKY).However,shiftingeconomicssuggesttheNasdaq100isnowamoreattractiveunderlierforUSstructuredproducts,whichcouldsparkapick-upinissuance.InvestorscanpositionforsuchanoutcomebygoingshortNDXvs.longRTYlong-datedvolatilityviaforwardcorridorvarianceorFVAs.·We’vedisc

3、ussedinpastreportshowgammahedgingofS&P500optionscancreatepredictableintradaypatternsofmomentumandreversion.WeanalyzetheuseoftheS&P500gammaimbalanceasasignalfortimingintradaymomentumstrategies.·TheQ2earningsseasonkickedofflastweek.OurStrategistsexpectS&P500companiestoannouncea4-5%

4、aggregatepositiveearningssurprisevs.consensusestimates(+25%y/ygrowth)alongwithrecordinvestmentspending,thoughsomecompaniesmayusetariffheadlinesasanopportunitytoresetguidance.Thisquartertheoptionsmarketexpectsearnings-relatedvolatilitytoberoughlyin-linewiththatdeliveredhistoricall

5、yonaverage.·AheadofQ2results,werecommendinvestorsbuycallsonITBtotakeadvantageofcheapimpliedvolatilityamidexpectationsofstronghomebuilderresults;buy1x2callspreadsonCATasweanticipatemanagementprovidinganupbeatoutlook;buyputsonLEGasthemarketmaybeoverlookingitstariff-relatedrisks;buy

6、callsonAAasouranalystanticipatesastrongerthanexpectedquarteronhigheralumina/aluminumprices;buycallsonALLasweanticipateaquarterlybeatandaraiseinmarginguidance;buybullriskreversalsonMROasitisourhighestconvictionlonginE&P;buyputspreadsonChinaandImportexposednameswithcheapearningsvol

7、atilityontradewarguidancerisk.Wealsohighlightnamesthatscreenasattractivetobelongorshortvolatilityintoreporting.Nasdaqlong-datedvolatilityisnowsignificantlyaboveRussell2000RTY-NDX3YATMVolSpread3%2%1%0%-1%-2%-3%-4%2015201620172018Source:J.P.MorganEquityDerivativesStrategy.Seepage15

8、foranalystcertificationandimportantdiscl