Low market volatility
Market volatility continues to hover at low levels, with the Chicago Stock Exchange's Volatility Index rarely scraping the 20 points level since mid-May. When volatility is low, it can be more difficult to find yield-optimizing products with attractive return profiles that also don't carry barriers that are too offensive. One way to combine low-volatility stocks in return-optimization products in a way that results in attractive profiles is to consider the correlations of the selected stocks.
Correlation of stocks
The lower the correlation between the individual stocks - ceteris paribus - the higher the coupons or the lower the barrier. A correlation coefficient of 1 says that stocks move perfectly together.
ABB and Roche, for example, have a correlation coefficient of 0.39, so in simple terms they are only relatively weakly correlated. If, for example, Swiss Life and Swiss Re were compared, a coefficient of 0.83 would be obtained, i.e. a comparatively strong positive correlation.
The product
If a combination such as Nestlé, Novartis and Roche is supplemented by two equities that are as weakly correlated as possible and at the same time have a low implied volatility, an attractive return profile is created with an unchanged barrier.
Callable Barrier Reverse Convertible on ABB, Nestlé, Novartis, Roche and UBS (CHF)
Callable Barrier Reverse Convertible on ams, Logitech, SoftwareONE, Kudelski and Temenos (CHF)
*indicative
ZKB Callable Barrier Reverse Convertible on worst of SunPower Corp/Sunrun Inc 127344767 / CH1273447677 |
ZKB Barrier Reverse Convertible auf Atos SE 127346447 / CH1273464474 |
ZKB Autocallable Barrier Reverse Convertible auf Affirm Holdings Inc 127344951 / CH1273449517 |
ZKB Autocallable Barrier Reverse Convertible auf ON Holding AG 127345566 / CH1273455662 |
ZKB Reverse Convertible auf Tesla Inc 125291464 / CH1252914648 |