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Investment Ideas

Market Opportunity: Take the Skew

Wednesday, 22 September 2021 Reading time : 2 minutes

Currently, the options market on well-known U.S. indices shows an interesting volatility structure for short maturities: The implied volatility for puts with deep strikes (well below the current price level) is currently very high in historical comparison to the implied volatility of options with higher strikes (in the range of the current price level). The so-called skew, the premium in volatility of the low strikes, is high. For example, at 3 months to 6 months maturity, the implied volatility at an 80% strike is about 8-10 points higher than that at a 95% strike.

Put spread warrants offer the possibility to profit from this market situation by allowing to acquire portfolio hedges at attractive conditions. They consist of a long put position with a high strike (e.g. 95% or 90%) and a short put position with a lower strike (e.g. 80%) - in the current market situation, investors therefore receive an exceptionally good premium for the put with a low strike and can thus largely refinance the premium of the put position with a higher strike.


Put Spread Warrants on NASDAQ 100® Index


Put Spread Warrants on S&P 500® Index

Subscription deadline tomorrow, 23.09.2021, 16:00.

*indicative

 

Disclaimer
This communication is for marketing purposes. It is neither an offer nor an invitation to submit an offer, to purchase or to subscribe to securities and does not constitute investment advice. You should consult your advisors before making an investment decision.
Forward-looking statements are subject to known and unknown risks, uncertainties and other factors that may cause the actual results, financial condition, development or performance of the issuer to be materially different from any future results, financial condition, development or performance expressed or implied by such statements.
The present document has not been drawn up by the research department as defined in the rules of the “Directives on the Independence of Financial Research” published by the Swiss Bankers Association, hence these rules do not apply to this document.
If securities are mentioned in the communication, the base prospectus, the final terms and any key information document may be obtained free of charge from Zürcher Kantonalbank, Bahnhofstrasse 9, 8001 Zurich, VRIS, and from www.zkb.ch/finanzinformationen. 


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