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Financial report / global equity volatility insights
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1.94 MB
Summary
This document is a 'Global Equity Volatility Insights' report generated by Bank of America Merrill Lynch on June 6, 2017. It contains a table titled 'Summary of closed trades as of 5-Jun-17' which lists various financial market positions (calls, puts, strangles) on indices such as SPX, HSCEI, and SX5E, along with the rationale for closing or unwinding these positions. The document bears a 'HOUSE_OVERSIGHT_023601' Bates stamp, indicating it was obtained during a congressional investigation, likely related to financial oversight, though no specific individuals (such as Epstein) are named in the text itself.
Organizations (2)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch | ||
| House Oversight Committee |
Key Quotes (4)
"SPX has traded range bound since inception of the trade, still the carry has been minimal"Source
HOUSE_OVERSIGHT_023601.jpg
Quote #1
"The reflation trade has slowed down and the market is in a holding pattern"Source
HOUSE_OVERSIGHT_023601.jpg
Quote #2
"In Nov-16, we recommended remaining long equities with cheap hedges"Source
HOUSE_OVERSIGHT_023601.jpg
Quote #3
"EFA rallied strongly leading into the second round of the French elections but subsequently stalled"Source
HOUSE_OVERSIGHT_023601.jpg
Quote #4
Full Extracted Text
Complete text extracted from the document (5,068 characters)
Table 7: Summary of closed trades as of 5-Jun-17
Trade Description
Open Date
Open Level
Close Level
Close Date
Rationale
Open Date
Open Level
Close Level
Close Date
Rationale
Long 2x SPX Aug-17 2200 puts, short 1x SPX Aug-17 2350 put
21-Feb-17
0.10%
0.01%
17-Mar-17
SPX has traded range bound since inception of the trade, still the carry has been minimal, close out or roll the position
21-Feb-17
0.10%
0.01%
17-Mar-17
SPX has traded range bound since inception of the trade, still the carry has been minimal, close out or roll the position
Own Nifty Mar17 strangle heading into 5 events
23-Jan-17
1.50%
3.96%
20-Mar-17
Unwind the option post the state election event and Close position
23-Jan-17
1.50%
3.96%
20-Mar-17
Unwind the option post the state election event and Close position
Long XLF Jun17 24 call, short SX7E Jun17 120 call
2-Dec-16
0.74%
-5.88%
27-Mar-17
The call vs call relative value trade is now riskier given the potential reversal in US reflation trades and the potential for European equities to rally in a French election market-favourable outcome. Unwind the position for the Tencent earnings
2-Dec-16
0.74%
-5.88%
27-Mar-17
The call vs call relative value trade is now riskier given the potential reversal in US reflation trades and the potential for European equities to rally in a French election market-favourable outcome. Unwind the position for the Tencent earnings
Buy Tencent Mar-17 105% calls
27-Feb-17
1.15%
2.31%
27-Mar-17
27-Feb-17
1.15%
2.31%
27-Mar-17
Buy HSCEI Mar17 105% call contingent SPX <2200
24-Oct-16
1.20%
0.00%
30-Mar-17
Option expired; HSCEI was up 5.1% but the SPX ended above 2200
24-Oct-16
1.20%
0.00%
30-Mar-17
Option expired; HSCEI was up 5.1% but the SPX ended above 2200
Buy HSCEI Mar17 9600 put vs short Sep17 8200 put
17-Jan-17
-0.05%
-0.78%
30-Mar-17
Unwind post Mar-17 expiry; the short Sep17 put helped reduce the hedging cost
17-Jan-17
-0.05%
-0.78%
30-Mar-17
Unwind post Mar-17 expiry; the short Sep17 put helped reduce the hedging cost
Buy HSCEI Mar-17 1x1.5 10800-11200 call ratio
21-Feb-17
0.57%
0.00%
30-Mar-17
Option expired; HSCEI stayed flat and failed to rally above the 10800 call strike
21-Feb-17
0.57%
0.00%
30-Mar-17
Option expired; HSCEI stayed flat and failed to rally above the 10800 call strike
Long SX5E Apr17 3300 call, short SX5E Dec17 3450 call
30-Jan-17
-0.60%
-0.18%
21-Apr-17
Apr17 option expired so we unwind the entire trade as planned
30-Jan-17
-0.60%
-0.18%
21-Apr-17
Apr17 option expired so we unwind the entire trade as planned
Short 1x SX5E May17 3350 calls, long 2x SX5E May17 3450 calls
21-Feb-17
0.00%
0.60%
24-Apr-17
Unwind before May expiry following the large 4% SX5E move on 24-Apr, given lack of near term catalysts
21-Feb-17
0.00%
0.60%
24-Apr-17
Unwind before May expiry following the large 4% SX5E move on 24-Apr, given lack of near term catalysts
Buy an SPX Apr-17 95% put conditional on US 10Y CMS > 2.5% at maturity
14-Nov-16
0.78%
0%
21-Apr-17
In Nov-16, we recommended remaining long equities with cheap hedges. The hedge expires out of the money, while SPX has returned 8.7% for the period
14-Nov-16
0.78%
0%
21-Apr-17
In Nov-16, we recommended remaining long equities with cheap hedges. The hedge expires out of the money, while SPX has returned 8.7% for the period
Long SPX Apr17 2300 call, short SPX Dec17 2400 call
30-Jan-17
-0.80%
-0.71%
21-Apr-17
The reflation trade has slowed down and the market is in a holding pattern. The long Apr-17 call expires in-the-money, and the short Dec-17 call still has time value
30-Jan-17
-0.80%
-0.71%
21-Apr-17
The reflation trade has slowed down and the market is in a holding pattern. The long Apr-17 call expires in-the-money, and the short Dec-17 call still has time value
Long VIX May 16 / 22 call spread vs. short VIX Apr 13 put
21-Feb-17
$0.35
$0.75
19-Apr-17
The call spread still has value due to elevated vol and vol-of-vol and we collect the premium on the expired short OTM put
21-Feb-17
$0.35
$0.75
19-Apr-17
The call spread still has value due to elevated vol and vol-of-vol and we collect the premium on the expired short OTM put
Short SPX 21-Apr-17 vs. long 28-Apr-17 2325 straddle pair
6-Mar-17
0.50%
1.06%
21-Apr-17
The trade benefited from the rise in post-event volatility relative to pre-event volatility
6-Mar-17
0.50%
1.06%
21-Apr-17
The trade benefited from the rise in post-event volatility relative to pre-event volatility
Buy SX5E 28-Apr-17 3600 call
3-Apr-17
0.26%
0%
28-Apr-17
The option expired
3-Apr-17
0.26%
0%
28-Apr-17
The option expired
Buy Unicom Apr17 105-115% call spread
21-Feb-17
1.65%
4.25%
27-Apr-17
Single stock option expired in-the-money despite a 1.4% decline in the HSCEI
21-Feb-17
1.65%
4.25%
27-Apr-17
Single stock option expired in-the-money despite a 1.4% decline in the HSCEI
Buy Sands China Apr17 105-115% call spread
21-Feb-17
2.00%
6.97%
27-Apr-17
Single stock option expired in-the-money despite a 1.4% decline in the HSCEI
21-Feb-17
2.00%
6.97%
27-Apr-17
Single stock option expired in-the-money despite a 1.4% decline in the HSCEI
Buy Galaxy Apr17 105-115% call spread
21-Feb-17
2.10%
10.0%
27-Apr-17
Single stock option expired in-the-money despite a 1.4% decline in the HSCEI
21-Feb-17
2.10%
10.0%
27-Apr-17
Single stock option expired in-the-money despite a 1.4% decline in the HSCEI
Buy SX5E Dec19 2500 put, sell SX5E Dec18 2500 put
27-Sep-16
3.97%
1.9%
8-May-17
SX5E has rallied 23.3% since we entered the trade and European political risk abated for now
27-Sep-16
3.97%
1.9%
8-May-17
SX5E has rallied 23.3% since we entered the trade and European political risk abated for now
Buy KOSPI2 May17 103% calls
13-Mar-17
0.63%
5.37%
8-May-17
Option expired; KOSPI2 rallied 8.37% over the period
13-Mar-17
0.63%
5.37%
8-May-17
Option expired; KOSPI2 rallied 8.37% over the period
Buy KOSPI2 May17 97/103% strangle
13-Mar-17
1.38%
5.37%
8-May-17
Option expired; KOSPI2 rallied 8.37% over the period
13-Mar-17
1.38%
5.37%
8-May-17
Option expired; KOSPI2 rallied 8.37% over the period
Buy NKY Jun17 20750 call, sell 1-1.3x 18750-17750 put ratio
06-Mar-17
0.00%
0.00%
15-May-17
Closing the trade post French election; option strikes remain far from the spot level
06-Mar-17
0.00%
0.00%
15-May-17
Closing the trade post French election; option strikes remain far from the spot level
Long V2X May 26-32.5 call spread and short Apr 22 put
21-Feb-17
€0.20
€0.00
19-May-17
Expired
21-Feb-17
€0.20
€0.00
19-May-17
Expired
Buy 1x contract of SX5E May17 3550 call, sell 5x contracts of V2X May17 16 puts
3-Apr-17
0.0%
-1.63%
19-May-17
Expired
3-Apr-17
0.0%
-1.63%
19-May-17
Expired
Long GLD May 123 call vs. short May 130 call
21-Feb-17
0.8%
0.00%
19-May-17
The hedge expired out-of-the-money as S&P 500 remained supported
21-Feb-17
0.8%
0.00%
19-May-17
The hedge expired out-of-the-money as S&P 500 remained supported
Buy 1.5x EFA Jun17 103% call, sell 1x EFA May17 ATM call
6-Mar-17
-0.15%
-0.20%
19-May-17
EFA rallied strongly leading into the second round of the French elections but subsequently stalled
6-Mar-17
-0.15%
-0.20%
19-May-17
EFA rallied strongly leading into the second round of the French elections but subsequently stalled
Buy SPX Top50 volatility dispersion
27-Feb-16
14.7%
11.5%
30-May-17
Expired
27-Feb-16
14.7%
11.5%
30-May-17
Expired
Long HSI vs. SPX May-17 90% put switch
06-Feb-17
0.07%
0.00%
29-May-17
Option expired; Both HSI and SPX puts expire out-of-the-money
06-Feb-17
0.07%
0.00%
29-May-17
Option expired; Both HSI and SPX puts expire out-of-the-money
Buy the Nifty May17 95/105% strangle outright
20-Mar-17
1.20%
0.00%
25-May-17
Option expired; Nifty failed to move more than the straddle huddle (5%)
20-Mar-17
1.20%
0.00%
25-May-17
Option expired; Nifty failed to move more than the straddle huddle (5%)
Long HSBC May-17 65/70 call spread
3-Apr-17
0.95%
4.33%
29-May-17
Option expired; HSBC is up 6.75% on the back of a strong seasonal rally
3-Apr-17
0.95%
4.33%
29-May-17
Option expired; HSBC is up 6.75% on the back of a strong seasonal rally
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".
Bank of America Merrill Lynch
Global Equity Volatility Insights | 06 June 2017
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HOUSE_OVERSIGHT_023601
Global Equity Volatility Insights | 06 June 2017
27
HOUSE_OVERSIGHT_023601
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