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【出版时间及名称】：2010年4月日本衍生品市场研究报告
【作者】：摩根大通
【文件格式】：pdf
【页数】：28
【目录或简介】：
Market: Japanese equities extended the gains from the previous week, with the
Nikkei 225 rising 2.63% and TOPIX up 2.35% on the week. With new money
coming into the market for the new year, the strong performance may be
attributable to seasonality, but the main driver appears to be the currency this
time around. As highlighted last week, the correlation between the USD/JPY
and the interest rate spread between the US and Japan has risen markedly since
end-February, about the time Japanese equities began to outperform their global
peers. The ISM manufacturing PMI rebounded in March, in the meantime,
adding fuel to a bullish view on Japanese equities. Despite some significant
moves in the spot market, the Nikkei term structure and skew have been
virtually unchanged for the last two weeks.
• Currency at play: On Mar 31, J.P. Morgan Japan equity strategist, Hajime
Kitano, argued in his report ("Yen and Japanese Stocks Watching US Interest
Rates (4)") that the trend reversal toward strong USD would likely continue. If
indeed this is to be the case, then the outperformance by Japanese equities may
last for some duration. On the other hand, as Kitano also pointed out, the
USD/JPY (and the interest rate spread between US and Japan) is largely subject
to economic conditions of the two nations (which basically means the US
economy). With some crucial US economic indicators showing signs of peaking
out ("Equity Derivatives Review - China growth stocks," Mar 23, 2010), the
sustainability of the US economic recovery (and therefore the strong USD) is
still in question, in our view. On the index side, switching into call options
might be a prudent way to participate in the Nikkei upside at this time, as calls
limit the downside to the premium paid (and implied volatilities near 3-year
lows). Presently, the NKY 3-month ATM call option can be purchased with
3.85% premium (indicative).
• Calls on currency sensitive single stocks: We have screened TOPIX100 stocks
for USD/JPY sensitivity over the last 1-year period. According to the correlation
measure used, Tokyo Electron, Nissan, Mitsubishi Electric, Kyocera, Sumitomo
Electric, Ricoh, Canon, Denso, Fanuc, and Daikin Industries should offer
substantial upside should the USD continue to strengthen against the JPY, in our
view. We believe these stocks will constitute a viable currency sensitive
thematic basket. We also offer call options on most of these names.
• How high dividend yield basket fared: Last week we published a report titled
“Japan Thematic Baskets” to add four more baskets to our collection of thematic
baskets in Japan, which can be viewed on JPTH1 and JPTH2 pages on
Bloomberg. A short-term basket whose validity has recently expired is the high
dividend yield basket, whose performance we review in this report.
Note: Since options are a decaying asset, investors who purchase options risk
losing the option premium paid to purchase the option(s). Options are not
suitable for all investors.
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