Market volatility is still very low levels; the Volatility Index of the Chicago Options Exchange, which refers to the implied volatility of the U.S. S&P 500 index, fell in October from over 23 to currently just over 16 points.
Popular choice: Swiss equities
The expected range of fluctuation for Swiss blue chips is also quite low, resulting in low option premiums. Nevertheless, Swiss equities are very popular underlyings for BRC - especially thanks to the relative price stability.
Low correlation, higher returns
One way to provide such a product with attractive parameters despite low volatilities is to look at the correlations of the selected underlyings. If underlyings with low correlations are combined, the probability of a barrier event increases, but so does the return. All selected equities are rated "overweight" by ZKB Equity Research - i.e. rising prices are expected.
Barrier Reverse Convertible on Nestlé, Swiss Life and Givaudan
ZKB Callable Barrier Reverse Convertible on worst of SunPower Corp/Sunrun Inc 127344767 / CH1273447677 |
ZKB Autocallable Barrier Reverse Convertible on worst of Nio Sp ADS-A / Alphab Non Vtg-C Rg / Meta P... 113978597 / CH1139785971 |
ZKB Autocallable Barrier Reverse Convertible auf Affirm Holdings Inc 127344951 / CH1273449517 |
ZKB Barrier Reverse Convertible auf NEL ASA 125291360 / CH1252913608 |
ZKB Autocallable Barrier Reverse Convertible auf ON Holding AG 127345566 / CH1273455662 |