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【出版时间及名称】：2010年全球衍生品市场展望
【作者】：摩根大通
【文件格式】：PDF
【页数】：79
【简介】：• In this review, we describe the current state of the global equity derivatives market and present our outlook for 2010. During 2009 the market moved from a high volatility regime (Q1), into a medium volatility regime (H2), on its way towards full economic recovery and eventually a regime of low volatility.
• In 2010, we expect equity markets to remain in a medium volatility regime with a marginal decline of volatility relative to H2 2009. This view is based on statistical, fundamental (economic, equity, and credit), and technical (supply/demand) analyses. Our outlook includes in-depth studies of market correlations, price and term structure of equity volatility, volatility skew, and ividends.
• Given the global nature of the derivatives market, we first outline our thoughts on global equity volatility. In the ubsequent sections, we present regionally focused analyses of the derivatives markets and volatility in the US, Europe, Asia ex-Japan, and pan.
• In the last section of this report, we list more than a dozen trade ideas that incorporate our market and volatility views. These ideas range from market directional to arbitrage ideas and are implemented with equity derivative instruments.
【目录】：Table of Contents
Global Equity Derivatives Outlook ........................................................................................3
Derivatives Market and Volatility in 2009 ...............................................................................................................................3
2010 Global Volatility Outlook ................................................................................................................................................6
Americas Derivatives Market and Volatility........................................................................11
Market Environment ...............................................................................................................................................................11
Volatility and Correlation .......................................................................................................................................................11
Skew and Term Structure .......................................................................................................................................................17
Derivatives Usage...................................................................................................................................................................21
Selected Topics: Systematic Protection Strategies ..................................................................................................................22
European Derivatives Market and Volatility .......................................................................24
Dividends................................................................................................................................................................................29
Short Volatility Strategies Update ..........................................................................................................................................31
Protection Strategies Update...................................................................................................................................................33
Trends in Derivatives Usage...................................................................................................................................................34
Emerging Market Volatility....................................................................................................................................................37
Asia ex-Japan Derivatives Market and Volatility................................................................39
Market and Volatility Outlook................................................................................................................................................39
Volatility Supply and Demand................................................................................................................................................40
Term Structure and Skew .......................................................................................................................................................46
Correlation ..............................................................................................................................................................................48
Japan Derivatives Market and Volatility..............................................................................50
Market Environment ...............................................................................................................................................................50
Implications for Market Volatility ..........................................................................................................................................51
Structured Products.................................................................................................................................................................52
Skew .......................................................................................................................................................................................53
Trade Ideas for 2010 .............................................................................................................55
Global Trade Ideas..................................................................................................................................................................55
US Trade Ideas .......................................................................................................................................................................58
European Trade Ideas .............................................................................................................................................................60
Emerging Markets Trade Ideas...............................................................................................................................................62
Asia ex-Japan Trade Ideas ......................................................................................................................................................64
Japan Trade Ideas ...................................................................................................................................................................69
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