摩根大通：日本衍生品行业研究报告2009年3月

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Equity Derivatives Review
More relative value trades
Derivative/Quant Strategy
Michiro NaitoAC
(81-3) 6736-1352
michiro.naito@jpmorgan.com
Yuichi Ito
(81-3) 6736-8616
yuichi.ito@jpmorgan.com
JPMorgan Securities Japan Co., Ltd.
See page 30 for analyst certification and important disclosures, including non-US analyst disclosures.
J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may
have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their
investment decision. In the United States, this information is available only to persons who have received the proper option risk disclosure documents.
Please contact your J.P. Morgan representative or visit http://www.optionsclearing.com/publications/risks/riskstoc.pdf
Equity Derivative Sales
Steven Devine
(81-3) 67368722
steven.j.devine@chase.com
Tom Summersall
(81-3) 6736-8808
Tom.a.summersall@jpmorgan.com
Rie Takagi
(81-3) 6736-8721
rie.x.takagi@jpmorgan.com
Delta One Products/Equity
Finance
Peter Lindsey
(81-3) 6736-1963
peter.s.lindsey@jpmorgan.com
Hendrik Warntjes
(81-3) 6736-1358
hendrik.g.warntjes@jpmorgan.com
Hitoshi Kikuchi
(81-3)6736-9317
hitoshi.kikuchi@jpmorgan.com
Keishi Mitsuda
(81-3)6736-8740
keishi.x.mitsuda@jpmorgan.com
Highlights of the Week
• Market: In the week the NY Dow and S&P500 hit 12-year lows, Japanese
equities sought lower ground as well. The USD/JPY, after testing the critical
100 mark, fell back as the prospect of a quick economic recovery became
dimmer and on the report that the ECB was considering substantial rate cuts.
The Nikkei skew and term structure, showing a sign of flattening by the midweek,
steepened back to the previous week’s levels by the end-week.
Predictably, we also saw the Japanese CDS spread widen once again.
• OECD CLI: The OECD CLI 6-month Change for G7 Countries, a reliable
inflection point leading indicator for TOPIX, fell further in January. We
continue to be bearish on TOPIX, accordingly. We advise investors to remain
defensive on Japanese equities, as we suspect that the next indication for the
month of February will also be pointing downward. Any market rebound, if we
are going to see one, is unlikely to be strong or sustainable, in our view.
• Trading on margin information: Short-term investors hoping to reap benefit
from any market rebound may wish to consider companies with high margin-sell
ratios, as these companies are likely to be short-squeezed, in our view. We rank
the TOPIX100 companies by their margin-buy-sell spreads.
• Nikkei-TOPIX variance spread trade: The first relative value trade that
popped up on our radar screen is to short Nikkei-TOPIX long-dated variance
spreads. As the Nikkei 225 is usually a more volatile index than the TOPIX, the
recent market turmoil took the variance spread between the two to levels not
seen since 2001. The trade should benefit from two diagonal scenarios, in our
view. One is that the economy gets much worse. In this case, we will likely see
increasing bankruptcies among companies with weaker credit, resulting in
TOPIX volatility rising above that of the Nikkei, as we saw back in 2002-2003.
The second scenario is that the economy gets much better. In this case, we
should see the Nikkei volatility falling more than TOPIX volatility, which once
again results in the shrinkage of the spread.
• Nikkei-S&P500 correlation (covariance) trade: The second relative value
trade stems from the current correlation (and covariance) between the Nikkei
225 and S&P500 (using a weekly return)—high enough to consider shorting the
correlation or covariance between the two indices. History shows that the two
indices have shown a remarkable pattern of mean-reversion over the last ten
years, alternating through high and low correlation periods. Investors unable to
directly trade correlation or covariance may wish to short Nikkei or TOPIX
against S&P500 at this time.
*The next issue of “Equity Derivatives Review” will be published on Mar 30, 2009.

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