高盛 2010年8月 全球替代能源研究报告

August 16, 2010
Asia: Options Research
Asia Derivatives Views
Using Nikkei 225 calls as funding for AEJ index and Japan single-stock upside
Our Asia ECS Research team downgraded our Japan view to underweight, favoring the higher growth markets of Offshore China, Korea, and Taiwan. With NKY implied vol at its five year relative high vs. AEJ, we suggest selling calls on NKY to fund multiple calls on AEJ indices. Within Japan, we suggest going long calls on singlestocks in our China-exposed basket (GSSZJPCN) vs. selling calls on the index.
Japan single-stock volatility was flat this week suggesting long single-stock options vs. short NKY optionol, single-stock vol was unchanged this week. We suggest Japan bulls go long on preferred single-stock call options as opposed to index calls. Implied correlation (the relative attractiveness of single-stock options vs. index options) is near historical highs, suggesting single-stock implied vol is low vs. index. While our strategists expect the index to remain relatively range-bound, they do see thematic opportunities in China and “Chindonesia” exposed stocks as well as stocks with stable growth.
The Goldman Sachs Group, Inc.
Goldman Sachs Global Economics, Commodities and Strategy Research
August 16, 2010
Asia: Options Research
Using NKY calls to fund upside trades
The Goldman Sachs Group, Inc. does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. For Reg AC certification, see the end of the text. Other important disclosures follow the Reg AC certification, or go to /research/hedge.html. Analysts employed by non-US affiliates are not registered/qualified as research analysts with FINRA in the U.S. This report is intended for distribution to GS institutional clients only.
+852-2978-0924 sunil.koul@ Goldman Sachs (Asia) L.L.C.
40 35 30 25 20 15 May‐09 Aug‐09
NKY
HSI
KOSPI 200
TWSE
Nov‐09
Feb‐10
May‐10
Aug‐10
Source: Goldman Sachs Global ECS Research.
Our strategists lowered their view of Japan to underweight within Pan-Asia. Given our economists’ recent downward
revisions to their US and Japanese GDP forecasts as well as their outlook for persistent Yen strength, our strategists foresee a more muted earnings recovery and believe company guidance may not be overly conservative as expected. They have lowered their earnings estimates based on the revised JPY/US$ assumptions and now forecast just 12% 12-month upside in TOPIX. (See Japan: Portfolio Strategy: Headwinds Blowing: Focus on Stable Growth/China, Aug 11).
We continue to like using NKY as a funding index for AEJ upside trades. Currently Nikkei 225 implied volatility is nearing its
one-year high vs. its own history while indices such as HSI, TWSE, and NIFTY are all nearing full year lows. As we’ve highlighted in multiple prior pieces, our favorite theme for 2H10 is owning calls on AEJ indices, funded by calls on G3 indices (see The G3-Asia vol shift: Sell calls on G3 to fund calls on AEJ, June 13, 2010). As we show in Exhibit 3, the implied vol differential between Nikkei 225 and AEJ is currently at historic highs. As such, selling an Oct-10 105% call on Nikkei 225 fully funds 1.4x, 1.5x and 2.0x the notional exposure of Oct-10 105% calls on HSI, KOSPI 200, and TWSE, respectively (assumes JP-SQ, Exhibit 4).
45
3‐mo ATM impl vol
Nikkei 225 as a funding index
Our Japan strategists lowered their targets and our regional strategists moved Japan to underweight within the Asia context. They believe the headwinds of a strong JPY and weaker US GDP than previously expected will lead to a slower than expected profit recovery. Nikkei 225 vol rose inline with the market weakness, and is now the highest in the region other than HSCEI. We continue to like selling calls on Nikkei 225 to fund multiple calls on AEJ indices at zero cost. Despite the rise in index implied vol, Japan singlestock implied vol was flat this week, sending implied correlation to full year highs and above realized correlation. We screen for China-exposed stocks in Japan where implied vol is in its bottom quartile over the past year, as alternatives for going long index options. Mitsui OSK Line, Aeon, and Komatsu stand-out.