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Summary of Open Trades (08-Aug-16)
Table 7: Summary of open trades as of 08-Aug-16

Trade Description | Open Date | Open Level | Trade Value | Expected Trade Term | Rationale
Long SX5E vs short SPX Dec18 var swap | 5-Jul-16 | 6.1 vols | 5.2 vols | Dec-18 expiry | Investors should re-assess attractiveness of popular and (typically) technically motivated longer-dated RV vol trades, given environment of structurally higher political & economic risks and increasingly limited policy options
Long NKY vs short SPX Dec18 var swap | 5-Jul-16 | 5.7 vols | 4.9 vols | Dec-18 expiry
Long SX5E vs short SPX Dec18 put vs put | 5-Jul-16 | 0.00% | -0.62% |
Long 3M 25d EFA put vs short 3M 25d UKX put | 5-Jul-16 | 0.00% | 0.16% | 3 months | FTSE 3M 25d put vol near 7hr highs vs. vol on EFA
Buy CMB Sep16 105-115% call spread | 5-Jul-16 | 2.32% | 3.01% | Sep-16 SQ expiry | Continuous Southbound inflow benefit financials sector and narrow AH premium
Buy ICBC Sep16 105-115% call spread | 5-Jul-16 | 2.12% | 4.17% | Sep-16 SQ expiry
Buy BOC Sep16 105-115% call spread | 5-Jul-16 | 2.10% | 3.79% | Sep-16 SQ expiry
Long 0.5x V2X Oct16 future, long 0.5x V2X Nov16 future, short V2X Jan-17 future | 11-Jul-16 | 0.25 vols | -0.28 vols | Oct-16 expiry | Hedge further Brexit fallout, Italian bank & referendum risk
Buy a 6M ATM worst-of call on XLP & GLD | 11-Jul-16 | 1.05% | 0.48% | 6 months | Cheaply construct risk-limited "uber-barbell" portfolio
Buy a 6M ATM worst-of {SPX put, GLD call} | 11-Jul-16 | 1.60% | 1.01% | 6 months | Low-cost macro hedge for US equity portfolios
Buy Oct16 110%f calls on VIE FP, AI FP, IBE SQ, STAN LN and MUV2 GY | 18-Jul-16 | 2.37% | 2.37% | 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% | 0.69% | Oct-16 expiry
Buy TLS 25-Aug16 95% puts | 18-Jul-16 | 1.05% | 1.67% | 25-Aug-16 | To hedge potential earning downside surprise
Buy CSL 25-Aug-16 95% puts | 18-Jul-16 | 1.09% | 0.72% | 25-Aug-16
Buy Newcrest 25-Aug-16 105/115% call spreads | 18-Jul-16 | 2.64% | 1.90% | 25-Aug-16 | To hedge potential earnings upside surprises
Buy BHP 25-Aug-16 105/115% call spreads | 18-Jul-16 | 2.22% | 1.26% | 25-Aug-16
Replace T long position via 3M ATM calls | 19-Jul-16 | 2.72% | 2.50% | 3 months | Our analysts expect positive and impactful catalysts in Q3-2016; recent strong performance and depressed short dated implied vol favor stock replacement via calls to reduce downside risk, maintain upside and lock in profits
Replace LOW long position via 3M ATM calls | 19-Jul-16 | 3.90% | 3.66% | 3 months
Replace RTN long position via 3M ATM calls | 19-Jul-16 | 3.16% | 3.45% | 3 months
Replace CRM long position via 3M ATM calls | 19-Jul-16 | 4.16% | 3.50% | 3 months
Replace CRM long position via 3M ATM calls | 19-Jul-16 | 2.32% | 1.26% | 3 months
Overlay long WBA long position with 3M ATM calls | 19-Jul-16 | 4.04% | 2.49% | 3 months | Position for accelerated upside returns ahead of closing the Rite Aid acquisition
Buy a 6M ATM best-of put on SPX & TLT | 18-Jul-16 | 0.8% | 0.49% | 6 months | Cheap hedge against a bond tantrum
Buy a 1Y ATM worst-of call on SPX & TLT | 18-Jul-16 | 0.9% | 0.83% | 1 year | Cheap equity upside in a bond / equity melt-up
Buy XLF Sep 24 strike call | 25-Jul-16 | 1.4% | 1.9% | Sep-16 expiry | Record outperformance of Utilities vs. Financials + FMS positioning + central bank catalysts = potential for cyclicals / defensives mean reversion
Buy XLU Sep 51 strike put | 25-Jul-16 | 1.3% | 2.5% | Sep-16 expiry
Buy a 6M ATM worst-of {XLF call, XLU put} | 25-Jul-16 | 1.35% | 2.31% | 6 months
Sell 1x SX7E 1M 25d call to fully finance 1.85x SX5E 1M 25d calls | 25-Jul-16 | 0.0% | 0.28% | 1 month | SX7E 1M 25d call / SX5E 1M 25d call price ratio is in the 100th 2-yr percentile
Short VIX Oct 15 put vs. long VIX Nov 19/26 call spread | 1-Aug-16 | $0.45 | $0.125 | Oct VIX expiry | Sell VIX Oct puts to leverage likely floor in vol ahead of US elections and cheapen shallow hedges
Buy HSCEI Aug16 9400 call, Short Oct16 10000 call | 1-Aug-16 | 0.00% | 0.04% | Aug-16 expiry | Short-term bullish China trade with term structure at its steepest in 4yrs

Source: BofA Merrill Lynch Global Research. Prices reflective of most recently available data which may be delayed in some cases. "Trade Value" represents current valuation of trades initiated on the "Open Date".

Summary of Closed Trades (08-Aug-16)
Table 8: Summary of closed trades as of 08-Aug-16

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 | Take profit 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 | Take profit 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 | Take profit 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

Source: BofA Merrill Lynch Global Research. Prices reflective of most recently available data which may be delayed in some cases. "Trade Value" represents current valuation of trades initiated on the "Open Date".

20 Global Equity Volatility Insights | 09 August 2016
Bank of America Merrill Lynch
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