HOUSE_OVERSIGHT_014310.jpg
1.35 MB
Extraction Summary
4
People
2
Organizations
1
Locations
2
Events
2
Relationships
3
Quotes
Document Information
Type:
Email
File Size:
1.35 MB
Summary
This document is an email dated November 15, 2016, from Amanda Ens to 'jeffrey E.' (jeevacation@gmail.com) and Richard Kahn. The email analyzes post-Trump election market volatility and recommends a specific options trade to hedge against rising interest rates. The document footer 'HOUSE_OVERSIGHT_014310' indicates it was part of a collection for a congressional investigation, and the recipient is presumed to be Jeffrey Epstein.
People (4)
| Name | Role | Context |
|---|---|---|
| Ens, Amanda | Sender |
Sender of the email providing financial analysis.
|
| jeffrey E. | Recipient |
Recipient of the email, with the address jeevacation@gmail.com. Given the context of the document collection (House O...
|
| Richard Kahn | Recipient |
Co-recipient of the email.
|
| Trump | Subject of analysis |
Refers to Donald Trump, whose 2016 election win is the catalyst for the market volatility discussed in the email.
|
Organizations (2)
| Name | Type | Context |
|---|---|---|
| BofA Merrill Lynch Global Research |
Cited as the source for the chart and data in the email.
|
|
| HOUSE_OVERSIGHT |
Appears in the document footer, indicating it is an exhibit from a U.S. House of Representatives Oversight Committee ...
|
Timeline (2 events)
June 2016
Brexit vote, used as a point of comparison for the market volatility seen after the US election.
Global Markets
November 2016
Market volatility following the 2016 US Presidential Election. The email analyzes the market reaction, specifically the divergence between equity volatility and bond rate volatility.
US Markets
Locations (1)
| Location | Context |
|---|---|
|
The location of the presidential election and the market for US Treasury yields discussed in the email.
|
Relationships (2)
Amanda Ens sent an email with financial analysis to Jeffrey E. on November 15, 2016.
Amanda Ens sent an email with financial analysis to Richard Kahn on November 15, 2016.
Key Quotes (3)
"We are recording unprecedented divergences in falling equity vol with rising rates vol post Trump's win."Source
HOUSE_OVERSIGHT_014310.jpg
Quote #1
"For investors long equities, we look at ways to cheapen protecting from downside risks in the event of further bond market volatility catalysed by Trump policy uncertainty"Source
HOUSE_OVERSIGHT_014310.jpg
Quote #2
"Buy an SPX Apr-17 95% put conditional on US 10Y CMS > 2.5% at maturity for 0.87%"Source
HOUSE_OVERSIGHT_014310.jpg
Quote #3
Full Extracted Text
Complete text extracted from the document (1,930 characters)
From: Ens, Amanda
Sent: 11/15/2016 2:44:06 PM
To: jeffrey E. [jeevacation@gmail.com]; Richard Kahn
Subject: SPX put contingent on higher rates
Attachments: image001.jpg; image002.jpg; image003.jpg; image005.png
Importance: High
Sent: 11/15/2016 2:44:06 PM
To: jeffrey E. [jeevacation@gmail.com]; Richard Kahn
Subject: SPX put contingent on higher rates
Attachments: image001.jpg; image002.jpg; image003.jpg; image005.png
Importance: High
Navigating post-Trump volatility
• We are recording unprecedented divergences in falling equity vol with rising rates vol post Trump's win. Intra-day S&P realized vol collapsed from near 60% to below 20% in 2d [Chart 1]
• While equities have shown less conviction over what a Trump win means (given strong sector rotation), the bond market has sold off with one of the largest moves in history [Chart 2 & 3]
• Stabilizing rates volatility from here is key to markets remaining calm and while equity upside may continue, it is not without higher risks
• We like cheap optionality to hedge long-equities if rates continue to move sharply
• We are recording unprecedented divergences in falling equity vol with rising rates vol post Trump's win. Intra-day S&P realized vol collapsed from near 60% to below 20% in 2d [Chart 1]
• While equities have shown less conviction over what a Trump win means (given strong sector rotation), the bond market has sold off with one of the largest moves in history [Chart 2 & 3]
• Stabilizing rates volatility from here is key to markets remaining calm and while equity upside may continue, it is not without higher risks
• We like cheap optionality to hedge long-equities if rates continue to move sharply
For investors long equities, we look at ways to cheapen protecting from downside risks in the event of further bond market volatility catalysed by Trump policy uncertainty
• Buy an SPX Apr-17 95% put conditional on US 10Y CMS > 2.5% at maturity for 0.87%
o 70% discount vs. vanilla
o CMS ref. 2.11%, SPX ref. 2,164.2
• Buy an SPX Apr-17 95% put conditional on US 10Y CMS > 2.5% at maturity for 0.87%
o 70% discount vs. vanilla
o CMS ref. 2.11%, SPX ref. 2,164.2
CMS = constant maturity swap
Chart 1: The response in S&P 500 realized equity volatility to the US election surprise was similar to Brexit but more extreme, as the spike in volatility collapsed at record speed
[Chart Data]
SPX 2-day intraday vol (2 days later)
140%
120%
100%
80%
60%
40%
20%
0%
0% 20% 40% 60% 80% 100% 120% 140% 160%
SPX 1-day intrday vol
US Election (10- & 11-Nov vol vs. 9-Nov vol)
Brexit (28- & 27-Jun vol vs. 24-Jun vol)
SPX 2-day intraday vol (2 days later)
140%
120%
100%
80%
60%
40%
20%
0%
0% 20% 40% 60% 80% 100% 120% 140% 160%
SPX 1-day intrday vol
US Election (10- & 11-Nov vol vs. 9-Nov vol)
Brexit (28- & 27-Jun vol vs. 24-Jun vol)
Source: BofA Merrill Lynch Global Research. Based on daily data from June 2004 to current
Chart 2: Ten-year US Treasury yields see a near record spike after the US election
Chart 3: Long Bond futures prices down near record amount (~5%) in the four days since the election
Chart 3: Long Bond futures prices down near record amount (~5%) in the four days since the election
HOUSE_OVERSIGHT_014310
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