20181010-法国巴黎银行-Volatility_on_the_move_23页_1mb
报告摘要
BNP PARIBAS MARKETSCALL SUMMARY
Core Content
This document presents the BNP Paribas Markets Call, a weekly cross-asset market outlook, dated 10 October 2018. It discusses the current and expected trends in financial markets, focusing on volatility, interest rates, foreign exchange (FX), equities, credit, and commodities. The analysis is led by Robert McAdie, the Global Markets Head of Strategy Research at BNP Paribas London Branch, and includes insights from other key contributors.
Main Views
1. Volatility on the Rise
- The market is moving toward the Fed's interest rate projections, increasing long-end rates and USD strength.
- Interest rate volatility is becoming a more significant driver of market volatility than FX or equity volatility.
- Economic data surprises and inflation volatility are expected to increase, pushing term premiums higher.
- Central bank forward guidance (especially from the ECB and BOJ) is currently suppressing volatility in Europe and Japan, but its removal or weakening may lead to increased volatility.
- Political risk (e.g., Brexit, EU elections, US midterm elections) is a key driver of volatility and risk aversion.
2. Asset Class Performance and Risks
- US stocks and HY bonds have seen mixed performance and lower flows, while US IG bonds remain attractive due to higher yields.
- Emerging markets are facing higher volatility, lower growth, and weaker USD.
- European equities and credit markets are under pressure due to political uncertainty and rising CDS spreads.
- FX volatility is being driven by US rate moves, and hedging demand is supporting volatility premia.
3. Market Dispersion
- Dispersion is increasing within asset classes due to differences in growth, central bank policies, and trade tensions.
- In the Eurozone, Italian banks and Spanish banks are particularly vulnerable due to sovereign debt exposure.
- In the US, dispersion is rising as sectors react to higher interest rates and trade war impacts.
- In EM equities, the gap between top and bottom performers is widening, suggesting increased volatility.
4. Volatility Drivers
- QE stocks are still a major dampener of volatility, though their impact is slowly decreasing.
- Inflation expectations are slowly increasing, affecting monetary policy and term premiums.
- QE flows are decreasing, reducing excess demand for risky assets.
- Political risk remains strong, especially in EM and DM.
- Systematic strategies are pro-cyclical, likely to amplify market moves.
5. Volatility Premia and Risk Appetite
- Developed markets have low realized volatility, keeping VAR estimates low and supporting risk-taking.
- Emerging markets have rising VAR, indicating lower risk appetite.
- Volatility premia in FX and credit markets are low, but increasing demand for hedging is supporting volatility.
Key Information
1. Volatility Trends
- US data is positive, supporting higher rates and strong USD.
- European interest rate volatility is lower due to ECB forward guidance and balance sheet growth.
- IMplied volatility in VSTOXX is historically low, suggesting potential for higher volatility in the future.
- FX volatility is leading in some periods, while rates volatility is now taking the lead.
2. Asset Class Prognosis
| Asset Class | 1-Month Prognosis | Prognosis vs Current | Notes |
|---|---|---|---|
| EURUSD | 1.1400 | -0.72% | Weak USD |
| GBPUSD | 1.2700 | -3.34% | Weak GBP |
| USDJPY | 114.00 | +0.78% | Strong USD |
| 10y Gilt | 1.75% | +0.03% | Slight rise |
| 10y Bund | 60 bp | +6 bp | Slight rise |
| 10y Tsy | 3.35% | +0.13% | Slight rise |
| 10y JGB | 15 bp | -1 bp | Slight fall |
| S&P | 2,950 | +2.02% | Bullish |
| SX5E | 3,350 | +0.85% | Bullish |
| SX7E | 105.0 | +0.69% | Bullish |
| FTSE 100 | 7,400 | +2.24% | Bullish |
| Nikkei 225 | 23,500 | +0.13% | Slight rise |
| Gold | 1,175 | -1.11% | Bearish |
| Oil (CL1) | 77 | +2.84% | Bullish |
3. Trade Ideas
Trade Idea 1: VSTOXX Call Spread Collars for European Risk Hedging
- Purpose: Hedge against Italian risks and rising volatility.
- Strategy: Buy a VSTOXX Nov 21%/25% call spread versus 14% put.
- Cost: Indicatively costless.
- Risk: Unlimited if the market moves against the position.
- MAR Number: TR-8279
Trade Idea 2: 9m2y Receiver Swaption on the 2y Euro Swap Rate
- Purpose: Protect against European rate normalization.
- Strike: +0.16% (spot 2y: -0.09%).
- Cost: 9bp.
- Break-even: +0.07%.
- Max Loss: 9bp.
- Carry: +1.75bp per month if spot fails to migrate to the forward.
- MAR Number: TR-8278
Key Contributors
| Name | Role | Contact Details |
|---|---|---|
| Robert McAdie | Global Markets Head of Strategy Research | robert.mcadie@uk.bnpparibas.com |
| Pierre Mathieu | Senior Cross Asset Strategist | pierre.g.mathieu@uk.bnpparibas.com |
| Benedicte Lowe | Cross Asset Strategist | benedicte.lowe@uk.bnpparibas.com |
| Kris Gjini | Cross Asset Strategist | kris.gjini@uk.bnpparibas.com |
| Marco Meijer | Senior Interest Rate Strategist | marco.meijer@uk.bnpparibas.com |
| Mathilde Richardot | Equity & Derivative Strategist | mathilde.richardot@uk.bnpparibas.com |
Legal Notice
- This document is non-independent research and is a marketing communication under MiFID II.
- It is not investment research and may only be viewed by Relevant Persons.
- Research content is only available to firms that have signed up to a BNPP Global Markets Research package or are out of scope of MiFID II unbundling rules.
- STEER™ is a trade mark of BNP Paribas.
Dial-in Details
- UK: 0808 109 0700 (Toll Free), Password: "The BNP Paribas Markets Call"
- USA: 1 866 966 5335 (Toll Free)
- Other Countries:
- Argentina: 0800 666 2709
- Austria: +43 (0) 2 68220 56552
- Bahrain: 800 04590
- Belgium: 0800 746 68
- Brazil: 0800 891 4709
- China: 4001 200558
- Croatia: 0800 222 820
- Cyprus: 8009 6516
- Czech Republic: 800 900 226
- Denmark: 8088 8649
- Finland: 0800 914672
- France: 0805 630061
- Germany: 0800 673 7932
- Greece: 00800 1273 78
- Hong Kong: +852 5808 3370
- Hungary: 06 800 13360
- Iceland: 800 8480
- Ireland: 1 800 930 488
- Israel: 1 809 216213
- Italy: 800 986 477
- Japan: 006633132499
- Malaysia: 1 800 813 207
- Mexico: 00 1 866 966 8830
- Norway: 800 19 457
- Panama: 00 800 2263853
- Paraguay: 009 800 54 10036
- Poland: 0 0 800 121 2695
- Portugal: 800 814 155
- Romania: 0800 895532
- Russia: 8 10 8002 4902044
- Singapore: 800 120 4789
- Slovakia: 0800 606371
- Slovenia: 0800 80554
- South Africa: 0 800 980 512
- South Korea: 00 308 13 1807
- Spain: 800 300206
- Standard International Access: +44 (0) 20 3003 2666
- Sweden: 020 089 6377
- Switzerland: 0800 800 038
- Taiwan: 00801 126875
- Thailand: 001 800 44 2132
- Turkey: 00800 4488 29067
- UAE: 800 0357 03128
- UK: 0808 109 0700
- Ukraine: 0 800 50 2059
- Uruguay: 000 413 598 3402
- USA: 1 866 966 5335
Summary of Key Insights
- Volatility is increasing, especially in interest rates and equities, driven by economic data, inflation expectations, and political uncertainty.
- Central bank policies (especially Fed and ECB) are still influencing market volatility.
- Emerging markets are under pressure due to weaker growth, strong USD, and political risks.
- FX volatility is being driven higher by US rate moves, and hedging demand is supporting volatility premia.
- European credit volatility remains too low, despite rising CDS spreads and political headwinds.
- Trade ideas are proposed for risk hedging and market positioning, including VSTOXX call spreads and receiver swaptions.
This document serves as a strategic guide for investors to navigate the evolving market landscape.
展开完整摘要
试读结束，高清完整版pdf/doc/ppt,请点下载