Every indexed document

we feel that it is prudent that investors

led by uber ""growth"" (EM internet stock

where r(t) is the return on day t. **Indicative mid prices; strikes as % of forward ***Negative values indicate that the bullish risk reversal takes in a credit.

the 15 below have liquid options. Notably

which is higher than equivalent flies ahead of

the agreement reached between major Italian parties on a

too quick: hedge a potential reversal using a Sep17

which is already subdued even for the current lowvol

extending into June as it printed 6 out of

similar to what we have become accustomed to over

NDX and INDU finished the week at all-time highs.

while Russell 2000 1y+ vols remained bid (Chart 19). Last week

volatility has once again collapsed (10d realized is at 4.6%) and the

in part driven by Tech market cap dominating the

the spread to realized correlation has remained healthy with the SPX Top50

as the basis risk has tended to be too high

we suggest 3M put spreads on NDX for two reasons: (i) our cross-asset

as basis risk runs too high with other assets

asset bubbles can be notoriously difficult to trade

‘95) the current bull run is still only half the size