【出版时间及名称】：2010年亚洲衍生品市场前景展望
        【作者】：BNP百富勤
        【文件格式】：pdf
        【页数】：76
        【目录或简介】：

10 THEMES FOR 2010
According to the BNP Paribas Global Economic view, the US
economy should be able to recover in 2010, which is our basecase
scenario, with a 50% probability. Under this scenario, Asian
equities could do well on improving liquidity and earnings. Shortterm
risk comes from the strengthening USD, which will have a
negative impact on Asian equities, causing Developed Markets
(DM) to outperform Asia and other Emerging Markets (EM).
Overall, we remain bullish on Asian equities and suggest a
Lookback Call, or Down-and-In Call, Worst-of Call to gain upside
exposure. We expect Asia/EM to outperform DM in the longerterm,
with any narrowing in the spread likely to present an
excellent opportunity to set up a new trade. Another 15%
probability goes to a Double-dip Recession and 20% probability
goes to the Stagflation scenario, both of which would drag the US
economy into negative for three consecutive quarters starting
from 3Q10. If equities move six months ahead of the real
economy, 1H10 will be tough. In this scenario, a long volatility
spread and downside protection would worth considering. Finally,
a 15% probability goes to a Global Boom scenario which may
damage those with too much downside exposure. Investors that
are cautiously bullish should use a Worst-of Call to gain upside
exposure. Indeed, with volatility and correlation likely to take
years to go back to their historical averages, the road to recovery
remains rocky, with the chance of short-term volatility spiking.
1) Directional Play – Short-term dip, long-term growth –
Lookback or Down-and-In Call
2) Upside Bets – Cheap way to get upside exposure – Worst-of
Call or Knock-In Worst-of Call
3) Relative Strategy – Asia/EM to Outperform –
Outperformance Call, Knock-In Outperformance Call,
Outpeformance Worst-of Call, Worst-of over Best-of, Short
Call in DM to finance long Call in Asia/EM.
4) Dividend Exposure – Long NKY and HSCEI dividends
5) Asia Thematic Baskets – Japanese Exporters, Asia
Recovery, China Domestics, China & Hong Kong High Yield
6) Sector Strategy – Focus on Asia Pacific Technology
7) Hybrid Option – Call on NKY contingent on JPY weakening
8) Commodity Bets – Long Outperformance Call on Oil over
Gold, Short Strangles on Oil
9) Volatility Strategy – Long Volatility Spread to Hedge For
Tailed-Risk
10) Hedging Tools – Hedge for Double-Dip Recession – Put
Spread / Knockout Put / Best-of Put