欧洲：迷失在分散中

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1、EQUITY&DERIVATIVESLostindispersionKEYMESSAGESLongdispersionpositionssuitthecurrentmarketenvironment–withseveralsectorsdrivenbyidiosyncraticfactors.Aftermakingdispersioncallsonbanks(“EurozoneBanks–Thirdtimelucky”)andexporters(“Europeanexporters–ShiftingBalance”),wearenowmak

2、ingadispersioncallonthebroaderEuropeanequitymarket.Weoptimizedabasketthathasbeennarroweddowntothreesignificantinvestmentthemes:commodities,financialsandnon-cyclicals.Thegoalistocapturedivergingvolatilityregimes.Welikethebasket’sundemandingbackdrop:lowvaluationdispersion,lo

3、wcommodityrealizedvolatilityandlowlevelsofpoliticaltension.Don’tbelostindispersion.Webelievethestageofthecycle*,therelevanceofsector-specific–sometimesconflicting–drivers,thepotentialforrenewedcommodityvolatilityandprotectionagainstpotentialEUpoliticalriskswarrantalongdis

4、persionposition(*seeAppendixII).Weoptimizedadispersionbaskettobettercapturethesefactors.Itnarrowsthesectorsdowntothreegroups:commodities,financialsandconsumernon-cyclicals–allthreeaccountingformorethan75%ofthebasket.Ourbasketisthussensitivetosomeofthemosttopicalthemesthese

5、days–thedirectionandvolatilityofbondyields,thedirectionofcommodityvolatilityandtherisksofaresurgenceofpoliticalrisks.Thismakesforaninterestinginvestmentopportunity,inourview.Don’tbelostindispersion.TRADEIDEALongDec-20BNPParibasPan-EuropeanDispersionBasket,attheindicativele

6、velof8.51v(seeAppendixIforbasketconstituents)Bydispersionwemeantherealizedvolatilityofanindexorbasket’sstocksisgreaterthanthatofthechosenindexorbasket.Aninvestorbecomeslongeachofthesesinglestocks’volatilitywhilesellingtheindex’svolatility.Inotherwords,investingindispersion

7、paysoffwhenstocksmovemorethantheindexandwhenstock/sectorcorrelationsarelow.25%Fig.1:CurrententryspreadFig.2:P&LevolutionCurrentEntrySpreadHistoricEntrySpread15%ImpliedSpread20%15%10%5%ImpliedSpreadCurrentSpread10%Payoff5%0%-5%-10%-15%Jan-05Jan-07Jan-09Jan-11Jan-13Jan-15

8、Jan-17Jan-19MaturityDateSource:BNPParibasSep-06Sep-08Sep-10Sep-12Sep-14Sep-16Sep-18Matur