Что покупать при предстоящем падении рынка

Если все ждут падения рынка, то хороший способ заработать в короткий срок - это купить ближайший фьючерс на VIX. (Индекс волатильности VIX отражает страх инвесторов по поводу динамики рыночных цен и помогает оценить панику либо излишний оптимизм фондового рынка).
На случай падения рынков разумный потенциал индекса VIX выше 45, причем в короткие сроки. За всю историю индекса - среднее значение VIX ~25, а минимальное значение - 9-10.

Сейчас индекс находится на очень низком уровне (~15), причём это длится уже два месяца и участники рынка, разумеется, ожидают хоть какого-то всплеска волатильности S&P500.
Мы начали готовиться к покупке контрактов 2 недели назад и ждали сигналов ослабления рынка, которые поступили – вчерашний показатель индекса SKEW и сегодняшний скачок VIX на 7%.

Сегодня мы купили для клиентов 2Х контракты на март по 14 со stop-loss, и после этого VIX подсчкачил еще на 15 б.п., обеспечив клиентам хорошую прибыль. Следующий заход планируем на следующей неделе после консолидации индекса.

Этот инвестиционный инструмент доступен нашим клиентам всего за 20.000 долларов США, с ежедневной ликвидностью, прозрачным ценообразованием и возможностью поэтапного входа и выхода из этого продукта.

Спросите вашего инвестиционного консультанта - какие краткосрочные ликвидные инструменты используются в вашем портфеле.

Автор: Вероника Тишкова    

ДАЛЬШЕ »

Continued Hard Currency Asian Bond Ecstasy for INGs' Dutch Master?

I recently caught up with Joep Huntjens, Head of Asian Credit at ING and lead manager on the ING Asian Hard Currency Bond Fund, for a review of how the fund has been performing and what the outlook was for 2013 and beyond. 

The fund has been hugely successful over the last year and had almost doubled in size, from $130m at the beginning of 2012 to approximately $240m now.

I asked him if there was a real danger of the fund being a victim of its own success in being able to find suitable homes for this additional capital.

He explained that actually over the last few years there has been a huge increase in investment grade opportunities in this sector. This had been due to many new issuances, post credit crunch stasis, but equally it had been due to significant amounts of upgrades on existing offerings. For example EVERY country covered by the fund has been upgraded in the last decade with the exceptions of Vietnam and Pakistan.

Bearing that in mind, the fund only has exposure to 2% of AAA standard assets. Of course, he is not restricted to investment grade but only 4% of his portfolio currently is made up of non-rated bonds. The fund currently is yielding around 4.5% per annum.

We have had a fair bit of negative press recently particularly with regards to ongoing problems in Argentina, and I wondered if this would adversely affect his fund and performance.

Mr Huntjens countered that as his fund is hard currency only, there was less risk than if he had only more risky, less liquid currencies to allocate to, although he conceded that rises in US interest rates would certainly have an impact on the fund.



Giving an example of the eurozone crisis and how it affects, in particular, emerging Europe credit, Huntjens demonstrated that there is minimal exposure of these EU banks to Asian hard currency debt, resulting in less impact on these markets whilst the banks continue to deleverage.


Looking ahead for the fund, Huntjens thinks that ongoing problems in EU and US will hamper equity markets and could favour Asian debt.

Whilst fundamentals continue to be strong, such as overall levels of debt and inflation seemingly under control, capital should flow into these markets and sectors and he does not expect a hard landing in China.

Author: Alan McGregor

ДАЛЬШЕ »

Упреждающий удар

28,6% онкологических больных в России умирают на первом году после постановки диагноза. Причина тому, по мнению главного внештатного специалиста онколога Минздрава РФ Валерия Чиссова, обращение за помощью, когда рак находится уже в третьей или четвертой стадии, когда победить заболевание крайне сложно.   

И действительно, несмотря на то, что в последние годы в России инициирован целый ряд госпрограмм и законодательных актов в сфере охраны здоровья, уровень доступности диагностики и лечения онкологических заболеваний в стране остается достаточно низким. Например, в 2009 году 5-летняя выживаемость в стране пациенток с раком молочной железы составляет 56,7%, тогда как в США этот показатель составляет 90,3%. Анаалогичны и цифры по другим видам онкозаболеваний.  5-летняя выживаемость пациентов с неходжкинскими лимфомами в России находится на уровне 53,2%, в США — 81,1%, с колоректальным раком — 48,3% против 67,0% соответственно.
Между тем специалисты в один голос утверждают, что главное для эффективного лечения раковых заболеваний – своевременная диагностика. Главный специалист-онколог Департамента здравоохранения Москвы Анатолий Махсон на пресс-конференции, приуроченной к Всемирному дню борьбы с онкозаболеваниями, тоже проводил сравнение с США:
- В США, где десятилетняя выживаемость при выявлении рака молочной железы на ранней стадии достигает 98%, каждая женщина обязательно проходит маммографию один раз в год просто потому, что об этом ей постоянно напоминает реклама. А у нас, соответствующее оборудование загружено лишь на 25—30%. Женщины, как правило, обращаются к врачу только тогда, когда в груди уже появилось уплотнение. А Валерий Чиссов добавляет к этому:
- Мы рекомендуем женщинам проводить самостоятельно пальпацию молочной железы и подмышечных впадин один раз в месяц. С 25 лет советуем обращаться с этой проблемой к врачу, раз в два года надо проводить УЗИ молочных желез. А после 40 лет делать маммографию.
Все это можно сделать и в государственной поликлинике, но, к сожалению, не всегда на высиживание в очередях есть время. Во всем мире альтернативой не всегда поворотливой системе государственной медицины выступает медицина страховая. Современные страховые программы позволяют не только лечить возникающие заболевания, но и внимательно следить за своим здоровьем для предотвращения нежелательных последствий.

ДАЛЬШЕ »

Лидеры января и что делать дальше

На графике отражены показатели доходности по различным инвестиционным активам за январь 2013. Лидерами стали американские компании средней капитализации с доходностью более 7% , а в проигрыше оказались все категории облигаций - в среднем -1%. Золото топталось на месте.

Но медведи уже готовят наступление. Что у нас есть в арсенале? В предверии снижения цен на акции и положительного скачка "индекса страха" VIX инвесторы могут воспользоваться различными стратегиями, позволяющими получить доступ к VIX.

Автор: Вероника Тишкова    

ДАЛЬШЕ »

Not the only ones bullish on VIX

This was a blog from a professional options trader on the CBOE website. He watches for big money flows... this time he saw one in VIX call options.

'Is the VIX Expecting More Upside in April?' by Andrew Keene
by mkearney on 01-30-2013 12:37 PM - last edited on 01-30-2013 03:28 PM

A broker in the CBOE's Vix Pit bought 5,000 April 17 Calls for $1.725 and possible more Upside in the Vix in the future. The broker represents an order from a hedge fund, mutual fund, retail bank, or big trader. Lets give a little breakdown of the trade. 

Trade: Bought 5000 April 17 Calls for $1.725
Risk: $172.50 per 1 lot
Reward: Unlimited
Breakeven: $18.725
Cash Outlay: $862,500

While the cash VIX was near 13.91, the April VIX Future was at 16.10, up 0.10 on the day. The 17 strike call is out-of-the-money, but maybe not that far.

Since this blog was posted, the VIX has moved up. Our previous post discussed how to take advantage of this situation, its still not too late.

Author: Chris Davies  

ДАЛЬШЕ »

Strategies for Increased Market Volatility

When traders and investors turn largely bullish, they decrease buying protection to hedge their bets against market declines. They become 'complacent' and market volatility falls. A visible account of this complacency and lack of volatility can be seen in the VIX - generally considered a 'fear index' on the US S&P 500 stocks. Reviewing the slightly downward sloping support line for the VIX on the five year chart below, we see the VIX recently traded at levels not seen since before 2007. Although a very bullish sign for the equity markets, these levels are unsustainable. Therefore, we are currently interested in providing our clients exposure to a positive move in the VIX representing higher volatility and lower equity prices.

We have three trade opportunities in development. The lowest risk, longest term play is a 'managed certificate' that trades the moving average of the VIX with either a long or short bias. In general, this is a great way to hedge a bullish (or 'long') equity portfolio. This certificate trades the VIX 'short' almost 80% of the time, so its value increases as volatility falls. However, when the 4-day moving average of the VIX moves higher, the certificates allocation changes from a short bias to a long bias. This means that spikes in the VIX would be captured as gains also.

A more aggressive and timely opportunity would be selling a VXX put (within an decreasing autocall note). VXX is an index ETF that aims to track the movements of the two front months of VIX futures. Selling a put is a bullish position that enables investors to get paid a premium as long as the price of VXX does not close below the strike price of the put option. With VIX and VXX at all time lows, a timely sale of far out-the-money puts on VXX can yield an easy 15%+ annualised rate of return. This is a not a long term holding strategy to hedge a bullish portfolio, but a rather safe bet at making a good short term trading return.

Finally, we are evaluating a 2X leveraged mini-future March 2013 contract with a stop-loss. With VIX extremely low now for an extended period, we are consciously practicing patience while we wait for the first signs that SPY is about to roll over. We find this strategy enticing for investors who want a direct play on the VIX with a leveraged move. Again, looking at the graph above, when the VIX moves up it moves in leaps and bounds! Today alone the VIX was up over 5% on a flat trading day in the markets. Imagine what would happen if market volatility really returned with vigour. Trade size is especially important with this type of product, so we are working to get this product to clients for as little as USD 10,000, with daily liquidity, transparent pricing and the ability to scale into and out of this product.

For information on this note, and others that can hedge a bullish equity portfolio, follow us on Facebook or sign up for our structured product mailings.

Author: Chris Davies  

ДАЛЬШЕ »

A Golden Opportunity in this Structured Product

Almost daily we receive Structured Product offers in our emails from various brokers and banks, such as EFG, UBS, RBC, Commerzbank, Deutsche Bank, and Nomura. As we discussed on our Facebook page, we advise clients when the can achieve the best prices and the highest probabilities of a positive outcome on their investments into structured products by using the CBOE SKEW and VIX measures. Currently, we do not see compelling reason to enter into bullishly oriented structured notes with equity underlyings, but we do see opportunities to hedge our clients' bullish equity bets in the market.

One interesting and timely structured product note focuses on the out-of-favor gold-mining sector (mainly represented by the two ETFs GDX and GDXJ). This sector has not participated in the recent equity bull run that has taken place since mid-November of 2012 which now seems a bit overbought in the near term.

Four stocks make up the underlying investments in this note. The 1-year charts below show these stocks are treading water as the market has risen lately.

Possible bottoming pattern if this makes a high low on this pullback

Flat base pattern with oversold momentum and price oscillators

Weak down trend with bullish divergences in the oscillators

Flat base at support from March 2012

Obviously, we expect further declines in these 4 stocks if the market continues to go higher. So why would these be interesting to own in a structured product note?

As we previously mentioned, we view this opportunity as a hedge of our bullish equity posture in today's market environment. If the equity market does start a pullback, the gold miners could rally. These stocks are are correlated with the movement of gold prices (represented best by the ETF GLD), which is viewed as an anti-inflation and, more generally, a "risk-off" trade.

How this note is structured also makes it an interesting opportunity. Investors will get paid even if these stocks fall! The note pays a coupon as long as none of the 4 stocks fall more than 35% in any quarter. Looking at the charts above, we know that all these stocks would have to trade lower than they did anytime in the last 12 months to put the investors coupon at risk. From a pure statistical perspective this is highly unlikely to occur. Unless these stocks fall to new 52-week lows, investors collect a quarterly income.

Meanwhile, if these stocks all trade at 95% or greater (at the end of any quarter) than where they are priced today, the notes also pay a coupon, Further, the note has an autocall feature meaning the note returns the investor's principal along with the coupon.

This note is an example of how structured products can make investors money when stocks go up, go sideways, or even go slightly down. With a capital guarantee on this structured product as long as none of the 4 stocks trade below 50% of their current price at the end of four years (on that single date only), investors should feel comfortable that the probabilities of success in this investment are extremely high.

For information on this note, and others that can hedge a bullish equity portfolio, follow us on Facebook or sign up for our structured product mailings.


Author: Chris Davies  

ДАЛЬШЕ »