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2021-08-06
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Goldman's Top 13 Charts For The Month Of August<blockquote>高盛8月份前13名图表</blockquote>
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Vacation or extended vacation schedules officially kick off next week after earnings season. As we sit right now. Liquidity is at the highs into a busy week\"</p><p><blockquote><b>1.“如果您是一名关注财报的选股者，本周您可能会全神贯注。</b>本周将是夏季剩余时间的流动性高峰。假期或延长假期计划将于下周财报季后正式开始。就像我们现在坐的那样。流动性处于高位，进入繁忙的一周”</blockquote></p><p> <img src=\"https://static.tigerbbs.com/7085a22959ed7e6fdb8e3dfe125c1d20\" tg-width=\"650\" tg-height=\"450\" referrerpolicy=\"no-referrer\"><b>2. \"I think equities would be fine with higher yields</b>- the negative correlation of SPX & NDX with the 30yr has turned positive again. Higher yields are much less of a problem than they were earlier this year\"</p><p><blockquote><b>2.“我认为股票收益率较高会很好</b>-SPX和NDX与30年期的负相关性再次转为正相关性。与今年早些时候相比，较高的收益率问题要小得多”</blockquote></p><p> <img src=\"https://static.tigerbbs.com/5e5c5950acc89489fb308d300c3dc20f\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>3.</b>\"<b>China Regulation:</b> As the regulatory pressure on China's leading offshore internet & education firms has increased in recent weeks, tech hardware companies listed onshore have outperformed the Chinese market. With the broader Chinese economy still in a growth phase (with Chinese equities historically displaying 22% return over 15months, entirely driven by earnings re-rating), and earnings revisions outside of the internet sector higher year to date (MSCI China ex Internet EPS up +5% vs China Internet EPS down -22% YTD), this basket is designed to benefit from the expansion of China's high tech manufacturing capabilities. For the first time in 5 years we have seen a meaningful divergence between HK and China listed Tech. ADRs have consistently underperformed.\"</p><p><blockquote><b>3.</b>\"<b>中国法规：</b>最近几周，随着中国领先的离岸互联网和教育公司面临的监管压力加大，在境内上市的科技硬件公司的表现优于中国市场。由于更广泛的中国经济仍处于增长阶段（中国股市在15个月内的回报率为22%，完全是由盈利重新评级推动的），以及今年迄今为止互联网行业以外的盈利修正较高（MSCI中国除外互联网每股收益上涨+5%，而中国互联网每股收益年初至今下降-22%），该篮子旨在受益于中国高科技制造能力的扩张。五年来，我们首次看到香港和中国上市科技公司之间存在显着差异。美国存托凭证的表现一直不佳。”</blockquote></p><p> <img src=\"https://static.tigerbbs.com/9b5efa9b164299c0081319274ad88464\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>4. Implied dispersion levels have structurally reset higher over the past 5Y in Europe & US.</b></p><p><blockquote><b>4.在过去的5年里，欧洲和美国的隐含离差水平结构性地重置为更高。</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/8dd483873504d2edb4cce8ab9f3dca03\" tg-width=\"594\" tg-height=\"440\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>5. Dispersion performance has been stable due to rising realized levels over the same period</b></p><p><blockquote><b>5.由于同期实现水平上升，分散性能一直稳定</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/8dd483873504d2edb4cce8ab9f3dca03\" tg-width=\"594\" tg-height=\"440\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>6. SX5E 1Y Vega neutral dispersion offered defensives properties in GFC & COVID due to realized volatility spikes.</b></p><p><blockquote><b>6.由于实现了波动性峰值，SX5E 1Y Vega中性分散体在GFC和COVID中提供了防御特性。</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/828358d146ae81f8416d3e6260df9471\" tg-width=\"606\" tg-height=\"434\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>7. Index implied volatility has reset sharply lower pre- and post-COVID,</b>which has contributed to rising implied entry levels for dispersion. However, the compression of index realized volatility since the US elections has maintained stable dispersion performance from the index leg. SX5E 1Y Dispersion performance has been stable due to contribution from both index and single-stock legs.</p><p><blockquote><b>7.指数隐含波动率在新冠疫情前后大幅降低，</b>这导致了离散的隐含进入水平的上升。然而，自美国大选以来指数已实现波动率的压缩使指数腿保持了稳定的分散表现。由于指数和个股的贡献，SX5E 1Y分散表现一直稳定。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/f79d93d1babf3fbcd8240888633b008f\" tg-width=\"600\" tg-height=\"438\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>8. The fall in index implied volatility in recent years can be partly explained by the sharp fall in index implied correlation levels as well as falling demand for upside call options in European equities.</b>Market-implied average single-stock correlation shows that whilst index implied volatility has fallen since 2015 and again post-COVID, driving the implied dispersion entry level higher, this has coincided with a sharp fall in implied correlation levels over the same period. Therefore, dispersion strategies which sell expensive implied correlation have continued to perform well despite higher implied dispersion entry levels. SX5E 1Y implied correlation has fallen more than index implied volatility levels.</p><p><blockquote><b>8.近年来指数隐含波动率下降的部分原因是指数隐含相关性水平急剧下降，以及欧洲股票对上行看涨期权期权的需求下降。</b>市场隐含平均个股相关性显示，虽然指数隐含波动率自2015年以来下降，并在COVID后再次下降，推动隐含离差进入水平上升，但这与同期隐含相关性水平急剧下降相吻合。因此，尽管隐含离差进入水平较高，但出售昂贵的隐含相关性的离差策略继续表现良好。SX5E 1Y隐含相关性的跌幅超过了指数隐含波动率水平。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/6c4e4fd3d5c2103c572126ee034d92ee\" tg-width=\"600\" tg-height=\"435\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>9. Correlation of returns on t vs t-1 is deeply negative in SX5E</b></p><p><blockquote><b>9.在SX5E中，t与t-1的回报相关性非常负</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/999e9e1449cc5df8c196025b2f68b08b\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p></p><p> <b>10. Despite the spread trading off the lower values during the post-Mar20 period, it remains at historical lows (18th percentile vs. past 5y).</b>The recent pick up in realized spread should support the forward vol level as we roll into the spot spread. Term-structure roll is favorable due to the steepness of the SPX term structure (~0.5v positive carry over the next 3m, everything else remaining equal). The spot spread gets delivered in December at extreme lows, >3v below current 6m realized.</p><p><blockquote><b>10.尽管利差在2020年3月后期间脱离了较低的值，但仍处于历史低点（第18个百分点与过去5年相比）。</b>随着我们进入现货价差，最近已实现价差的回升应该会支撑远期成交量水平。由于SPX期限结构的陡度（在接下来的3m上约0.5 V正进位，其他条件保持不变），期限结构滚动是有利的。现货价差在12月份以极低的价格交付，比当前实现的6m低3v以上。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/9641a36f2830851d562be4216ceea61e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>11. Significant roll-up in the SX5E-SPX spread</b></p><p><blockquote><b>11.SX5E-SPX价差大幅上涨</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/6e03effca5987dae6fb8b74a564e750e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>12. Realized correlation between broader market vs. Momentum vs. EU Cyclicals/Defensives</b></p><p><blockquote><b>12.大盘与动量与欧盟周期性/防御性之间已实现的相关性</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/6e03effca5987dae6fb8b74a564e750e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>13. VOW3 term structure has materially flattened over the past year</b>(<b>red</b> vs.<b>grey</b>), driven by a combination of call overwriting in the front-end and more recently, long-dated upside options buyers. Implied volatility has also recently reset lower across the curve (<b>red</b> vs.<b>navy</b>) and the skew is flat/call skew is inverted. Therefore, consider owning long-dated upside call spreads which offer a high max. payout ratio (chart 4,<b>navy</b>) where you sell a call 3v higher (<b>grey</b>) than where you buy a call.</p><p><blockquote><b>13.VOW3期限结构在过去一年中基本持平</b>(<b>红色</b>vs.<b>灰色</b>），受到前端看涨期权覆盖和最近长期上行期权买家的共同推动。隐含波动率最近也在曲线上重置较低（<b>红色</b>vs.<b>海军</b>)并且偏斜是平的/看涨期权偏斜是反的。因此，考虑持有长期上行看涨期权利差，它提供了很高的最大派息率（图4，<b>海军</b>)哪里有卖看涨期权3v高的(<b>灰色</b>）比您购买看涨期权的地方还要多。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/daaa03296f95fab3243b899b370370c0\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p></p>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Goldman's Top 13 Charts For The Month Of August<blockquote>高盛8月份前13名图表</blockquote></title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nGoldman's Top 13 Charts For The Month Of August<blockquote>高盛8月份前13名图表</blockquote>\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">zerohedge</strong><span class=\"h-time small\">2021-08-05 17:22</span>\n</p>\n</h4>\n</header>\n<article>\n<p>The start of a new month means that Goldman's flow traders need a new set of exciting ideas and trades to dangle before their clients, and that's just what Goldman traders Scott Rubner, Matthew Fleury, Matthieu Martal , Kavita Vaja, and Jonas Bovbjerg are doing by putting together the following 13 charts that capture some of the best ideas and trade recos emerging from the world's most powerful trading desk.</p><p><blockquote>新的一个月的开始意味着高盛的流量交易员需要一套新的令人兴奋的想法和交易摆在他们的客户面前，这正是高盛交易员Scott Rubner、Matthew Fleury、Matthieu Martal、Kavita Vaja和Jonas Bovbjerg正在做的事情，他们将以下13张图表放在一起，捕捉了来自世界上最强大的交易台的一些最佳想法和交易记录。</blockquote></p><p> <b>1. \"If you are a stock picker watching earnings prints you are likely fully engaged this week.</b>This week will be peak liquidity for the rest of the summer. Vacation or extended vacation schedules officially kick off next week after earnings season. As we sit right now. Liquidity is at the highs into a busy week\"</p><p><blockquote><b>1.“如果您是一名关注财报的选股者，本周您可能会全神贯注。</b>本周将是夏季剩余时间的流动性高峰。假期或延长假期计划将于下周财报季后正式开始。就像我们现在坐的那样。流动性处于高位，进入繁忙的一周”</blockquote></p><p> <img src=\"https://static.tigerbbs.com/7085a22959ed7e6fdb8e3dfe125c1d20\" tg-width=\"650\" tg-height=\"450\" referrerpolicy=\"no-referrer\"><b>2. \"I think equities would be fine with higher yields</b>- the negative correlation of SPX & NDX with the 30yr has turned positive again. Higher yields are much less of a problem than they were earlier this year\"</p><p><blockquote><b>2.“我认为股票收益率较高会很好</b>-SPX和NDX与30年期的负相关性再次转为正相关性。与今年早些时候相比，较高的收益率问题要小得多”</blockquote></p><p> <img src=\"https://static.tigerbbs.com/5e5c5950acc89489fb308d300c3dc20f\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>3.</b>\"<b>China Regulation:</b> As the regulatory pressure on China's leading offshore internet & education firms has increased in recent weeks, tech hardware companies listed onshore have outperformed the Chinese market. With the broader Chinese economy still in a growth phase (with Chinese equities historically displaying 22% return over 15months, entirely driven by earnings re-rating), and earnings revisions outside of the internet sector higher year to date (MSCI China ex Internet EPS up +5% vs China Internet EPS down -22% YTD), this basket is designed to benefit from the expansion of China's high tech manufacturing capabilities. For the first time in 5 years we have seen a meaningful divergence between HK and China listed Tech. ADRs have consistently underperformed.\"</p><p><blockquote><b>3.</b>\"<b>中国法规：</b>最近几周，随着中国领先的离岸互联网和教育公司面临的监管压力加大，在境内上市的科技硬件公司的表现优于中国市场。由于更广泛的中国经济仍处于增长阶段（中国股市在15个月内的回报率为22%，完全是由盈利重新评级推动的），以及今年迄今为止互联网行业以外的盈利修正较高（MSCI中国除外互联网每股收益上涨+5%，而中国互联网每股收益年初至今下降-22%），该篮子旨在受益于中国高科技制造能力的扩张。五年来，我们首次看到香港和中国上市科技公司之间存在显着差异。美国存托凭证的表现一直不佳。”</blockquote></p><p> <img src=\"https://static.tigerbbs.com/9b5efa9b164299c0081319274ad88464\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>4. Implied dispersion levels have structurally reset higher over the past 5Y in Europe & US.</b></p><p><blockquote><b>4.在过去的5年里，欧洲和美国的隐含离差水平结构性地重置为更高。</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/8dd483873504d2edb4cce8ab9f3dca03\" tg-width=\"594\" tg-height=\"440\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>5. Dispersion performance has been stable due to rising realized levels over the same period</b></p><p><blockquote><b>5.由于同期实现水平上升，分散性能一直稳定</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/8dd483873504d2edb4cce8ab9f3dca03\" tg-width=\"594\" tg-height=\"440\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>6. SX5E 1Y Vega neutral dispersion offered defensives properties in GFC & COVID due to realized volatility spikes.</b></p><p><blockquote><b>6.由于实现了波动性峰值，SX5E 1Y Vega中性分散体在GFC和COVID中提供了防御特性。</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/828358d146ae81f8416d3e6260df9471\" tg-width=\"606\" tg-height=\"434\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>7. Index implied volatility has reset sharply lower pre- and post-COVID,</b>which has contributed to rising implied entry levels for dispersion. However, the compression of index realized volatility since the US elections has maintained stable dispersion performance from the index leg. SX5E 1Y Dispersion performance has been stable due to contribution from both index and single-stock legs.</p><p><blockquote><b>7.指数隐含波动率在新冠疫情前后大幅降低，</b>这导致了离散的隐含进入水平的上升。然而，自美国大选以来指数已实现波动率的压缩使指数腿保持了稳定的分散表现。由于指数和个股的贡献，SX5E 1Y分散表现一直稳定。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/f79d93d1babf3fbcd8240888633b008f\" tg-width=\"600\" tg-height=\"438\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>8. The fall in index implied volatility in recent years can be partly explained by the sharp fall in index implied correlation levels as well as falling demand for upside call options in European equities.</b>Market-implied average single-stock correlation shows that whilst index implied volatility has fallen since 2015 and again post-COVID, driving the implied dispersion entry level higher, this has coincided with a sharp fall in implied correlation levels over the same period. Therefore, dispersion strategies which sell expensive implied correlation have continued to perform well despite higher implied dispersion entry levels. SX5E 1Y implied correlation has fallen more than index implied volatility levels.</p><p><blockquote><b>8.近年来指数隐含波动率下降的部分原因是指数隐含相关性水平急剧下降，以及欧洲股票对上行看涨期权期权的需求下降。</b>市场隐含平均个股相关性显示，虽然指数隐含波动率自2015年以来下降，并在COVID后再次下降，推动隐含离差进入水平上升，但这与同期隐含相关性水平急剧下降相吻合。因此，尽管隐含离差进入水平较高，但出售昂贵的隐含相关性的离差策略继续表现良好。SX5E 1Y隐含相关性的跌幅超过了指数隐含波动率水平。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/6c4e4fd3d5c2103c572126ee034d92ee\" tg-width=\"600\" tg-height=\"435\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>9. Correlation of returns on t vs t-1 is deeply negative in SX5E</b></p><p><blockquote><b>9.在SX5E中，t与t-1的回报相关性非常负</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/999e9e1449cc5df8c196025b2f68b08b\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p></p><p> <b>10. Despite the spread trading off the lower values during the post-Mar20 period, it remains at historical lows (18th percentile vs. past 5y).</b>The recent pick up in realized spread should support the forward vol level as we roll into the spot spread. Term-structure roll is favorable due to the steepness of the SPX term structure (~0.5v positive carry over the next 3m, everything else remaining equal). The spot spread gets delivered in December at extreme lows, >3v below current 6m realized.</p><p><blockquote><b>10.尽管利差在2020年3月后期间脱离了较低的值，但仍处于历史低点（第18个百分点与过去5年相比）。</b>随着我们进入现货价差，最近已实现价差的回升应该会支撑远期成交量水平。由于SPX期限结构的陡度（在接下来的3m上约0.5 V正进位，其他条件保持不变），期限结构滚动是有利的。现货价差在12月份以极低的价格交付，比当前实现的6m低3v以上。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/9641a36f2830851d562be4216ceea61e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>11. Significant roll-up in the SX5E-SPX spread</b></p><p><blockquote><b>11.SX5E-SPX价差大幅上涨</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/6e03effca5987dae6fb8b74a564e750e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>12. Realized correlation between broader market vs. Momentum vs. EU Cyclicals/Defensives</b></p><p><blockquote><b>12.大盘与动量与欧盟周期性/防御性之间已实现的相关性</b></blockquote></p><p> <img src=\"https://static.tigerbbs.com/6e03effca5987dae6fb8b74a564e750e\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p> <b>13. VOW3 term structure has materially flattened over the past year</b>(<b>red</b> vs.<b>grey</b>), driven by a combination of call overwriting in the front-end and more recently, long-dated upside options buyers. Implied volatility has also recently reset lower across the curve (<b>red</b> vs.<b>navy</b>) and the skew is flat/call skew is inverted. Therefore, consider owning long-dated upside call spreads which offer a high max. payout ratio (chart 4,<b>navy</b>) where you sell a call 3v higher (<b>grey</b>) than where you buy a call.</p><p><blockquote><b>13.VOW3期限结构在过去一年中基本持平</b>(<b>红色</b>vs.<b>灰色</b>），受到前端看涨期权覆盖和最近长期上行期权买家的共同推动。隐含波动率最近也在曲线上重置较低（<b>红色</b>vs.<b>海军</b>)并且偏斜是平的/看涨期权偏斜是反的。因此，考虑持有长期上行看涨期权利差，它提供了很高的最大派息率（图4，<b>海军</b>)哪里有卖看涨期权3v高的(<b>灰色</b>）比您购买看涨期权的地方还要多。</blockquote></p><p> <img src=\"https://static.tigerbbs.com/daaa03296f95fab3243b899b370370c0\" tg-width=\"650\" tg-height=\"450\" width=\"100%\" height=\"auto\"></p><p><blockquote></blockquote></p><p></p>\n<div class=\"bt-text\">\n\n\n<p> 来源：<a href=\"https://www.zerohedge.com/markets/goldmans-top-13-charts-month-august\">zerohedge</a></p>\n<p>为提升您的阅读体验，我们对本页面进行了排版优化</p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{".IXIC":"NASDAQ Composite",".DJI":"道琼斯",".SPX":"S&P 500 Index","SPY":"标普500ETF"},"source_url":"https://www.zerohedge.com/markets/goldmans-top-13-charts-month-august","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1105489937","content_text":"The start of a new month means that Goldman's flow traders need a new set of exciting ideas and trades to dangle before their clients, and that's just what Goldman traders Scott Rubner, Matthew Fleury, Matthieu Martal , Kavita Vaja, and Jonas Bovbjerg are doing by putting together the following 13 charts that capture some of the best ideas and trade recos emerging from the world's most powerful trading desk.\n1. \"If you are a stock picker watching earnings prints you are likely fully engaged this week.This week will be peak liquidity for the rest of the summer. Vacation or extended vacation schedules officially kick off next week after earnings season. As we sit right now. Liquidity is at the highs into a busy week\"\n2. \"I think equities would be fine with higher yields- the negative correlation of SPX & NDX with the 30yr has turned positive again. Higher yields are much less of a problem than they were earlier this year\"\n\n3.\"China Regulation: As the regulatory pressure on China's leading offshore internet & education firms has increased in recent weeks, tech hardware companies listed onshore have outperformed the Chinese market. With the broader Chinese economy still in a growth phase (with Chinese equities historically displaying 22% return over 15months, entirely driven by earnings re-rating), and earnings revisions outside of the internet sector higher year to date (MSCI China ex Internet EPS up +5% vs China Internet EPS down -22% YTD), this basket is designed to benefit from the expansion of China's high tech manufacturing capabilities. For the first time in 5 years we have seen a meaningful divergence between HK and China listed Tech. ADRs have consistently underperformed.\"\n\n4. Implied dispersion levels have structurally reset higher over the past 5Y in Europe & US.\n\n5. Dispersion performance has been stable due to rising realized levels over the same period\n\n6. SX5E 1Y Vega neutral dispersion offered defensives properties in GFC & COVID due to realized volatility spikes.\n\n7. Index implied volatility has reset sharply lower pre- and post-COVID,which has contributed to rising implied entry levels for dispersion. However, the compression of index realized volatility since the US elections has maintained stable dispersion performance from the index leg. SX5E 1Y Dispersion performance has been stable due to contribution from both index and single-stock legs.\n\n8. The fall in index implied volatility in recent years can be partly explained by the sharp fall in index implied correlation levels as well as falling demand for upside call options in European equities.Market-implied average single-stock correlation shows that whilst index implied volatility has fallen since 2015 and again post-COVID, driving the implied dispersion entry level higher, this has coincided with a sharp fall in implied correlation levels over the same period. Therefore, dispersion strategies which sell expensive implied correlation have continued to perform well despite higher implied dispersion entry levels. SX5E 1Y implied correlation has fallen more than index implied volatility levels.\n\n9. Correlation of returns on t vs t-1 is deeply negative in SX5E\n\n10. Despite the spread trading off the lower values during the post-Mar20 period, it remains at historical lows (18th percentile vs. past 5y).The recent pick up in realized spread should support the forward vol level as we roll into the spot spread. Term-structure roll is favorable due to the steepness of the SPX term structure (~0.5v positive carry over the next 3m, everything else remaining equal). The spot spread gets delivered in December at extreme lows, >3v below current 6m realized.\n\n11. Significant roll-up in the SX5E-SPX spread\n\n12. Realized correlation between broader market vs. Momentum vs. EU Cyclicals/Defensives\n\n13. VOW3 term structure has materially flattened over the past year(red vs.grey), driven by a combination of call overwriting in the front-end and more recently, long-dated upside options buyers. Implied volatility has also recently reset lower across the curve (red vs.navy) and the skew is flat/call skew is inverted. Therefore, consider owning long-dated upside call spreads which offer a high max. payout ratio (chart 4,navy) where you sell a call 3v higher (grey) than where you buy a call.","news_type":1,"symbols_score_info":{".SPX":0.9,".IXIC":0.9,".DJI":0.9,"SPY":0.9}},"isVote":1,"tweetType":1,"viewCount":286,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":8,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/899226469"}
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