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2.97 MB
Extraction Summary
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People
7
Organizations
10
Locations
3
Events
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Relationships
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Quotes
Document Information
Type:
Financial report / trade summary
File Size:
2.97 MB
Summary
This document is a page from a 'Global Equity Volatility Insights' report dated June 6, 2017, produced by Bank of America Merrill Lynch. It consists of 'Table 7', a detailed summary of closed financial trades (options, calls, puts, and futures) involving various global indices and equities such as HSI, SX5E, Volkswagen, and Samsung. The document bears the Bates stamp 'HOUSE_OVERSIGHT_023600', indicating it was part of a document production to the House Oversight Committee, likely related to financial inquiries, though the visible text contains no direct references to Jeffrey Epstein or his associates.
Organizations (7)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch | ||
| House Oversight Committee | ||
| Samsung | ||
| Volkswagen | ||
| HSBC | ||
| Topix Insurance | ||
| Topix Banks |
Key Quotes (4)
"The number of long SXEP calls per short USO put is historically high."Source
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Quote #1
"Leverage commodity and equity strategists' views on oil and the Oil & Gas sector"Source
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Quote #2
"Hedge further Brexit fallout, Italian bank & referendum risk."Source
HOUSE_OVERSIGHT_023600.jpg
Quote #3
"Volkswagen announced a dividend of €2.05 on 14-Mar-17"Source
HOUSE_OVERSIGHT_023600.jpg
Quote #4
Full Extracted Text
Complete text extracted from the document (8,557 characters)
Table 7: Summary of closed trades as of 5-Jun-17
Trade Description | Open Date | Open Level | Close Level | Close Date | Rationale
Buy HSI Oct-16 102% call, Sell HSP 105% call | 19-Sep-16 | 0.60% | 0.00% | 28-Oct-16 | HSP has under-performed HSI by 1.8% but both options expire out-of-the money
Short 1x USO 3M 25d put, long 2.1x SXEP 3M 25d call | 8-Aug-16 | 0.00% | 0.00% | 4-Nov-16 | The number of long SXEP calls per short USO put is historically high. Leverage commodity and equity strategists' views on oil and the Oil & Gas sector
Sell Dec16 SXDP 635 puts, buy 0.6x Dec16 SX7E 110 calls | 7-Nov-16 | 0.00% | 1.23% | 11-Nov-16 | Tactical option trade ahead of US elections
Long 0.5x V2X Nov16 future, short 0.5x V2X Jan-17 future | 11-Jul-16 | 0.20 vols | -1.19 vols | Nov-16 expiry | Hedge further Brexit fallout, Italian bank & referendum risk.
Buy NIFTY Nov16 95/105 strangle outright | 6-Sep-16 | 1.63% | 6.36% | 21-Nov-16 | Close position as NIFTY has fallen 11.4% and we are approaching the expiry
Buy H-shares w/ SZ-A & buy HSCEI Dec16 put | 22-Aug-16 | 1.90% | 8.72% | 5-Dec-16 | Close position as the Shenzhen HK connect has launched on 5-Dec-16
Buy HK small-cap & buy HSCEI Dec16 put | 22-Aug-16 | 1.90% | 6.76% | 5-Dec-16 | Close position as the Shenzhen HK connect has launched on 5-Dec-16
Buy 1.32x EFA US 3M 25d put, sell 1x SX5E 3M 25d put for near 0 upfront premium | 22-Aug-16 | 0.04% | 0.00% | 22-Nov-16 | Own EFA puts vs ESTX50 puts to benefit from any increase in quantitative failure risk in Japan and post-Brexit uncertainty
Buy 2.6x SX5E 3M 110% call, sell 1x SX5E 3M 90% put for near 0 upfront premium | 22-Aug-16 | -0.04% | 0.00% | 22-Nov-16 | Low vol, high skew combo makes ESTX50 levered riskies attractive
Sell 1M 95%f SX5E put and buy 1M 105%f SX5E call | 31-Oct-16 | -0.40% | 0.00% | 1-Dec-16 | Generate income in range-bound markets, benefiting from high ESTX50 skew
Buy KOSPI2 Dec16 95% put, sell $KRW 97.4% put | 17-Oct-16 | 0.00% | 0.00% | 8-Dec-16 | Both legs expire out-of-the money at expiry
Buy HSCEI Dec16 95% put, sell 2822 HK 94.8% put | 12-Sep-16 | 0.00% | 0.00% | 29-Dec-16 | Both legs expire out-of-the money
Buy HSCEI Dec-16 105-115% call spread | 27-Sep-16 | 1.82% | 0.00% | 29-Dec-16 | HSCEI call spread expires out-of-the money
Buy CH Banks Dec-16 105-115% call spread | 27-Sep-16 | 2.05% | 0.00% | 29-Dec-16 | Chinese Banks call spread expires out-of-the money
Buy Best-of TWSE, KOSPI2, HSCEI Dec16 95% put | 10-Oct-16 | 0.90% | 0.00% | 29-Dec-16 | The best performing index (KOSPI2) fell less than 5% over the period
Buy HSCEI Dec16 9800 call with a 10600 knock-out | 7-Nov-16 | 1.00% | 0.00% | 29-Dec-16 | HSCEI knock-out call expires out-of-the money
Sell Samsung Jan17 90% put, buy KOSPI2 96% put | 17-Oct-16 | 0.00% | 0.00% | 12-Jan-17 | Both legs expire out-of-the money. The relative value trade has a zero profit & loss
Buy an XOP Jan-17 45 call | 22-Aug-16 | 1.4% | 0.00% | 20-Jan-17 | Call expired out-of-the money at expiry
Buy an XLE Jan-17 ATM call with 115% knock-in | 22-Aug-16 | 2.5% | 0.00% | 20-Jan-17 | Call expires in-the-money but the barrier was not breached at expiry
Buy an XLE over SPX Jan-17 ATM outperformance call contingent on SPX up at expiry | 22-Aug-16 | 2.3% | 3.4% | 20-Jan-17 | Energy equity outperformed the overall equity market while both were up by the time the outperformance call expired
Buy XLP Jan-17 52 / 49 put spread | 19-Sep-16 | 1.4% | 0.00% | Jan-17 expiry | Both legs expire out-of-the money
Buy a 6M ATM best-of put on SPX & TLT | 18-Jul-16 | 0.8% | 0.00% | 6 months | Put expired out-of-the money as the S&P500 ended
Buy LLY Jan-17 80/90 1x2 CS | 17-Oct-16 | 1.8% | 0.00% | Jan-17 expiry | Both legs expire out-of-the money
Buy LLY Jan-17 80/85 CS with 90 KI on upper leg | 17-Oct-16 | 2.4% | 0.00% | Jan-17 expiry | Both legs expire out-of-the money
Buy ZTS Jan-17 46/50 bullish risk reversal | 17-Oct-16 | 2.6% | 7.4% | Jan-17 expiry | Both legs expire in-of-the money
Buy ZTS Jan-17 46/50/55 call spread collar | 17-Oct-16 | 1.4% | 7.4% | Jan-17 expiry | The 46 call and 50 call expire in-the-money
Buy an EWZ Jan-17 40 call | 24-Oct-16 | 3.1% | 0.00% | Jan-17 expiry | Call expired out-of-the money at expiry
Buy TPINSU 105-120% call spread, short 85% put | 14-Nov-16 | 1.75% | 4.50% | 13-Jan-17 | Option expired and Topix Insurance rose 9.5% over the period
Buy TPNBNK 105-120% call spread, short 85% put | 14-Nov-16 | 1.85% | 10.60% | 13-Jan-17 | Option expired and Topix Banks rose 15.6% over the period
Buy HSBC Jan-17 105% call, Sell HSP 105% call | 14-Nov-16 | 0.52% | 4.98% | 26-Jan-17 | Option expired; HSBC out-performed HSP on the upside
Buy SX5E +Dec19/-Dec18 div future spread | 4-Oct-16 | €-7.0 | €-4.2 | 6-Feb-17 | Close position given sudden SX5E rally and Dec18 div future will lose equity beta
Own Nifty Mar17 call to position for budget surprise | 23-Jan-17 | 0.67% | 2.15% | 6-Feb-17 | Nifty was up 4.9% over the period on the back of a positive budget announcement
Buy HSI Feb17 23600 call | 9-Jan-17 | 0.48% | 1.09% | 13-Feb-17 | Close position. HSI was up 4.9% over the period
Buy AMP AU 23-Feb-17 95% puts | 30-Jan-17 | 1.85% | 0.27% | 13-Feb-17 | Unwind the put option post the earnings result
Buy SUN AU 23-Feb-17 95% puts | 30-Jan-17 | 1.39% | 0.08% | 13-Feb-17 | Unwind the put option post the earnings result
Buy 1x V2X Feb17 19 calls, sell 0.85x V2X Mar17 futures | 17-Jan-17 | -16.1v | -14.32v | Feb-17 expiry | Unwind as the Feb17 call expired
Buy CBA AU 23-Feb-17 95% puts | 30-Jan-17 | 0.76% | 0.00% | 21-Feb-17 | Unwind the put option post the earnings result
Overwrite WES AU 23-Feb-17 103% calls | 30-Jan-17 | -0.87% | -1.20% | 21-Feb-17 | Unwind the put option post the earnings result
Long V2X Apr future, short V2X May future | 9-Jan-17 | 0.45 | 4.55 | 24-Feb-17 | The Apr future has already richened significantly vs. the May future. Prefer V2X May long May call spread, short Apr put as a French election hedge instead.
Buy 1x ESTX50 Dec17 3250 calls, sell 1.23x EURJPY Dec-17 115 puts | 5-Dec-16 | 0.00% | 3.20% | 24-Feb-17 | Unwind ahead of French elections as political uncertainty can weigh on the EUR
Buy NKY Dec17 19500 call, short Mar17 18000 call | 3-Oct-16 | 0.58% | -1.82% | 3-Mar-17 | Unwind the option before the Mar-17 expiry
Buy NKY Mar17-Dec17 17000 strike FVA | 3-Oct-16 | 20.2% | 21.6% | 3-Mar-17 | Unwind the option before the Mar-17 expiry
Buy TPNBNK Mar17 1x1.5 180/170 put ratio | 9-Jan-17 | 0.60% | 0.00% | 10-Mar-17 | Option expired out-of-the money as the TPNBNK remained range-bounded
Buy ESTX50 17-Mar-17 3350-3450 strangle | 6-Mar-17 | 0.80% | 0.00% | 17-Mar-17 | Expired out-of-the-money
Buy Volkswagen 2017 dividend future | 17-Jan-17 | €1.3 | €2.0 | 14-Mar-17 | Volkswagen announced a dividend of €2.05 on 14-Mar-17
Buy Mar17 UKX 6700 put cont. on GBPUSD<1.20 | 10-Oct-16 | 0.81% | 0.0% | 17-Mar-17 |
Buy Mar17 UKX<6700 / GBPUSD<1.20 dual digital | 10-Oct-16 | 9.1% | 0.0% | 17-Mar-17 | UKX rallied making the hedges expire out-of-the-money
Mar17 UKX 6700 buy qUSD put, sell 0.9x vanilla put | 10-Oct-16 | 0.44% | 0.0% | 17-Mar-17 |
Buy 6M ATM worst-of (XLF call, XLU put) | 19-Sep-16 | 1.38% | 0% | 17-Mar-17 | While XLF has rallied ~30% since inception, XLU is higher by 4% and the XLU put is the worst performing option, expiring OTM
Buy an SPX Mar-17 97.5% put contingent on USO>105% at expiry | 3-Oct-16 | 1.08% | 0% | 17-Mar-17 | The structure offered a deep discount for an SPX hedge and expires OTM as markets have rallied strongly
Buy a USO Mar-17 105% call contingent on SPX<97.5% at expiry | 3-Oct-16 | 1.70% | 0% | 17-Mar-17 | The trade expires OTM due to the SPX rally and a sell off in oil over the past two weeks
Buy a Mar-17 SPX<97.5%, USO>105% dual digital | 3-Oct-16 | 11.80% | 0% | 17-Mar-17 | The trade expires OTM due to the SPX rally and a sell off in oil over the past two weeks
Buy an IWM Mar-17 ATM call conditional on EEM<95% at expiry | 14-Nov-17 | 1.15% | 0% | 17-Mar-17 | EEM has rallied 15% over the period together with IWM
Buy an XLI Mar-17 ATM call conditional on EEM<95% at expiry | 14-Nov-17 | 0.89% | 0% | 17-Mar-17 | EEM has rallied 15% over the period together with XLI
Buy GLD Mar-17 116 call, sell Jun-17 127 call | 23-Jan-17 | 1% | 0.31% | 17-Mar-17 | While GLD rallied strongly earlier in the life of the trade, it recently retreated at the time of expiry with GLD 87bps above the lower strike, the short call is worth 56bps
Buy HSI Oct-16 102% call, Sell HSP 105% call | 19-Sep-16 | 0.60% | 0.00% | 28-Oct-16 | HSP has under-performed HSI by 1.8% but both options expire out-of-the money
Short 1x USO 3M 25d put, long 2.1x SXEP 3M 25d call | 8-Aug-16 | 0.00% | 0.00% | 4-Nov-16 | The number of long SXEP calls per short USO put is historically high. Leverage commodity and equity strategists' views on oil and the Oil & Gas sector
Sell Dec16 SXDP 635 puts, buy 0.6x Dec16 SX7E 110 calls | 7-Nov-16 | 0.00% | 1.23% | 11-Nov-16 | Tactical option trade ahead of US elections
Long 0.5x V2X Nov16 future, short 0.5x V2X Jan-17 future | 11-Jul-16 | 0.20 vols | -1.19 vols | Nov-16 expiry | Hedge further Brexit fallout, Italian bank & referendum risk.
Buy NIFTY Nov16 95/105 strangle outright | 6-Sep-16 | 1.63% | 6.36% | 21-Nov-16 | Close position as NIFTY has fallen 11.4% and we are approaching the expiry
Buy H-shares w/ SZ-A & buy HSCEI Dec16 put | 22-Aug-16 | 1.90% | 8.72% | 5-Dec-16 | Close position as the Shenzhen HK connect has launched on 5-Dec-16
Buy HK small-cap & buy HSCEI Dec16 put | 22-Aug-16 | 1.90% | 6.76% | 5-Dec-16 | Close position as the Shenzhen HK connect has launched on 5-Dec-16
Buy 1.32x EFA US 3M 25d put, sell 1x SX5E 3M 25d put for near 0 upfront premium | 22-Aug-16 | 0.04% | 0.00% | 22-Nov-16 | Own EFA puts vs ESTX50 puts to benefit from any increase in quantitative failure risk in Japan and post-Brexit uncertainty
Buy 2.6x SX5E 3M 110% call, sell 1x SX5E 3M 90% put for near 0 upfront premium | 22-Aug-16 | -0.04% | 0.00% | 22-Nov-16 | Low vol, high skew combo makes ESTX50 levered riskies attractive
Sell 1M 95%f SX5E put and buy 1M 105%f SX5E call | 31-Oct-16 | -0.40% | 0.00% | 1-Dec-16 | Generate income in range-bound markets, benefiting from high ESTX50 skew
Buy KOSPI2 Dec16 95% put, sell $KRW 97.4% put | 17-Oct-16 | 0.00% | 0.00% | 8-Dec-16 | Both legs expire out-of-the money at expiry
Buy HSCEI Dec16 95% put, sell 2822 HK 94.8% put | 12-Sep-16 | 0.00% | 0.00% | 29-Dec-16 | Both legs expire out-of-the money
Buy HSCEI Dec-16 105-115% call spread | 27-Sep-16 | 1.82% | 0.00% | 29-Dec-16 | HSCEI call spread expires out-of-the money
Buy CH Banks Dec-16 105-115% call spread | 27-Sep-16 | 2.05% | 0.00% | 29-Dec-16 | Chinese Banks call spread expires out-of-the money
Buy Best-of TWSE, KOSPI2, HSCEI Dec16 95% put | 10-Oct-16 | 0.90% | 0.00% | 29-Dec-16 | The best performing index (KOSPI2) fell less than 5% over the period
Buy HSCEI Dec16 9800 call with a 10600 knock-out | 7-Nov-16 | 1.00% | 0.00% | 29-Dec-16 | HSCEI knock-out call expires out-of-the money
Sell Samsung Jan17 90% put, buy KOSPI2 96% put | 17-Oct-16 | 0.00% | 0.00% | 12-Jan-17 | Both legs expire out-of-the money. The relative value trade has a zero profit & loss
Buy an XOP Jan-17 45 call | 22-Aug-16 | 1.4% | 0.00% | 20-Jan-17 | Call expired out-of-the money at expiry
Buy an XLE Jan-17 ATM call with 115% knock-in | 22-Aug-16 | 2.5% | 0.00% | 20-Jan-17 | Call expires in-the-money but the barrier was not breached at expiry
Buy an XLE over SPX Jan-17 ATM outperformance call contingent on SPX up at expiry | 22-Aug-16 | 2.3% | 3.4% | 20-Jan-17 | Energy equity outperformed the overall equity market while both were up by the time the outperformance call expired
Buy XLP Jan-17 52 / 49 put spread | 19-Sep-16 | 1.4% | 0.00% | Jan-17 expiry | Both legs expire out-of-the money
Buy a 6M ATM best-of put on SPX & TLT | 18-Jul-16 | 0.8% | 0.00% | 6 months | Put expired out-of-the money as the S&P500 ended
Buy LLY Jan-17 80/90 1x2 CS | 17-Oct-16 | 1.8% | 0.00% | Jan-17 expiry | Both legs expire out-of-the money
Buy LLY Jan-17 80/85 CS with 90 KI on upper leg | 17-Oct-16 | 2.4% | 0.00% | Jan-17 expiry | Both legs expire out-of-the money
Buy ZTS Jan-17 46/50 bullish risk reversal | 17-Oct-16 | 2.6% | 7.4% | Jan-17 expiry | Both legs expire in-of-the money
Buy ZTS Jan-17 46/50/55 call spread collar | 17-Oct-16 | 1.4% | 7.4% | Jan-17 expiry | The 46 call and 50 call expire in-the-money
Buy an EWZ Jan-17 40 call | 24-Oct-16 | 3.1% | 0.00% | Jan-17 expiry | Call expired out-of-the money at expiry
Buy TPINSU 105-120% call spread, short 85% put | 14-Nov-16 | 1.75% | 4.50% | 13-Jan-17 | Option expired and Topix Insurance rose 9.5% over the period
Buy TPNBNK 105-120% call spread, short 85% put | 14-Nov-16 | 1.85% | 10.60% | 13-Jan-17 | Option expired and Topix Banks rose 15.6% over the period
Buy HSBC Jan-17 105% call, Sell HSP 105% call | 14-Nov-16 | 0.52% | 4.98% | 26-Jan-17 | Option expired; HSBC out-performed HSP on the upside
Buy SX5E +Dec19/-Dec18 div future spread | 4-Oct-16 | €-7.0 | €-4.2 | 6-Feb-17 | Close position given sudden SX5E rally and Dec18 div future will lose equity beta
Own Nifty Mar17 call to position for budget surprise | 23-Jan-17 | 0.67% | 2.15% | 6-Feb-17 | Nifty was up 4.9% over the period on the back of a positive budget announcement
Buy HSI Feb17 23600 call | 9-Jan-17 | 0.48% | 1.09% | 13-Feb-17 | Close position. HSI was up 4.9% over the period
Buy AMP AU 23-Feb-17 95% puts | 30-Jan-17 | 1.85% | 0.27% | 13-Feb-17 | Unwind the put option post the earnings result
Buy SUN AU 23-Feb-17 95% puts | 30-Jan-17 | 1.39% | 0.08% | 13-Feb-17 | Unwind the put option post the earnings result
Buy 1x V2X Feb17 19 calls, sell 0.85x V2X Mar17 futures | 17-Jan-17 | -16.1v | -14.32v | Feb-17 expiry | Unwind as the Feb17 call expired
Buy CBA AU 23-Feb-17 95% puts | 30-Jan-17 | 0.76% | 0.00% | 21-Feb-17 | Unwind the put option post the earnings result
Overwrite WES AU 23-Feb-17 103% calls | 30-Jan-17 | -0.87% | -1.20% | 21-Feb-17 | Unwind the put option post the earnings result
Long V2X Apr future, short V2X May future | 9-Jan-17 | 0.45 | 4.55 | 24-Feb-17 | The Apr future has already richened significantly vs. the May future. Prefer V2X May long May call spread, short Apr put as a French election hedge instead.
Buy 1x ESTX50 Dec17 3250 calls, sell 1.23x EURJPY Dec-17 115 puts | 5-Dec-16 | 0.00% | 3.20% | 24-Feb-17 | Unwind ahead of French elections as political uncertainty can weigh on the EUR
Buy NKY Dec17 19500 call, short Mar17 18000 call | 3-Oct-16 | 0.58% | -1.82% | 3-Mar-17 | Unwind the option before the Mar-17 expiry
Buy NKY Mar17-Dec17 17000 strike FVA | 3-Oct-16 | 20.2% | 21.6% | 3-Mar-17 | Unwind the option before the Mar-17 expiry
Buy TPNBNK Mar17 1x1.5 180/170 put ratio | 9-Jan-17 | 0.60% | 0.00% | 10-Mar-17 | Option expired out-of-the money as the TPNBNK remained range-bounded
Buy ESTX50 17-Mar-17 3350-3450 strangle | 6-Mar-17 | 0.80% | 0.00% | 17-Mar-17 | Expired out-of-the-money
Buy Volkswagen 2017 dividend future | 17-Jan-17 | €1.3 | €2.0 | 14-Mar-17 | Volkswagen announced a dividend of €2.05 on 14-Mar-17
Buy Mar17 UKX 6700 put cont. on GBPUSD<1.20 | 10-Oct-16 | 0.81% | 0.0% | 17-Mar-17 |
Buy Mar17 UKX<6700 / GBPUSD<1.20 dual digital | 10-Oct-16 | 9.1% | 0.0% | 17-Mar-17 | UKX rallied making the hedges expire out-of-the-money
Mar17 UKX 6700 buy qUSD put, sell 0.9x vanilla put | 10-Oct-16 | 0.44% | 0.0% | 17-Mar-17 |
Buy 6M ATM worst-of (XLF call, XLU put) | 19-Sep-16 | 1.38% | 0% | 17-Mar-17 | While XLF has rallied ~30% since inception, XLU is higher by 4% and the XLU put is the worst performing option, expiring OTM
Buy an SPX Mar-17 97.5% put contingent on USO>105% at expiry | 3-Oct-16 | 1.08% | 0% | 17-Mar-17 | The structure offered a deep discount for an SPX hedge and expires OTM as markets have rallied strongly
Buy a USO Mar-17 105% call contingent on SPX<97.5% at expiry | 3-Oct-16 | 1.70% | 0% | 17-Mar-17 | The trade expires OTM due to the SPX rally and a sell off in oil over the past two weeks
Buy a Mar-17 SPX<97.5%, USO>105% dual digital | 3-Oct-16 | 11.80% | 0% | 17-Mar-17 | The trade expires OTM due to the SPX rally and a sell off in oil over the past two weeks
Buy an IWM Mar-17 ATM call conditional on EEM<95% at expiry | 14-Nov-17 | 1.15% | 0% | 17-Mar-17 | EEM has rallied 15% over the period together with IWM
Buy an XLI Mar-17 ATM call conditional on EEM<95% at expiry | 14-Nov-17 | 0.89% | 0% | 17-Mar-17 | EEM has rallied 15% over the period together with XLI
Buy GLD Mar-17 116 call, sell Jun-17 127 call | 23-Jan-17 | 1% | 0.31% | 17-Mar-17 | While GLD rallied strongly earlier in the life of the trade, it recently retreated at the time of expiry with GLD 87bps above the lower strike, the short call is worth 56bps
26 Global Equity Volatility Insights | 06 June 2017
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_023600
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_023600
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