selling volatility on single stocks – trade ideas
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Selling Volatility on Single Stocks – Trade Ideas. Catley Lakeman Winter Offsite – January 2014. Structure Overview – Basket A (1/6) . Structure Overview – Basket A (2/6) . Structure Overview – Basket A (3/6) . Structure Overview – Basket A (4/6) . Structure Overview – Basket A (5/6) . - PowerPoint PPT PresentationTRANSCRIPT
Selling Volatility on Single Stocks – Trade Ideas
Catley Lakeman Winter Offsite – January 2014
Structure Overview – Basket A (1/6)
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Description UBS 1yr Reverse Convertible on Equally Weighted Basket
Maturity 1yr
Underlyings BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC
Payoff at Maturity 100% - Knock-in Put (european) @ 80% on Equally weighted basket
Strike 100%
Guaranteed Coupon
2.25% p.a.
Coupon frequency
Paid quarterly
Structure Overview – Basket A (2/6)
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Description UBS 3yr Reverse Convertible on Equally Weighted Basket
Maturity 3yr
Underlyings BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC
Payoff at Maturity 100% - Knock-in Put (european) @ 70% on Equally weighted basket
Strike 100%
Guaranteed Coupon
2.98% p.a.
Coupon frequency
Paid quarterly
Structure Overview – Basket A (3/6)
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Description UBS 1yr Reverse Convertible on Worst-of
Maturity 1yr
Underlyings BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC
Payoff at Maturity 100% - Knock-in Put (european) @ 80% on Worst-of basket
Strike 100%
Guaranteed Coupon
11.88% p.a.
Coupon frequency
Paid quarterly
Structure Overview – Basket A (4/6)
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Description UBS 3yr Reverse Convertible on Worst-of
Maturity 3yr
Underlyings BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC
Payoff at Maturity 100% - Knock-in Put (european) @ 70% on Worst-of basket
Strike 100%
Guaranteed Coupon
8.95% p.a.
Coupon frequency
Paid quarterly
Structure Overview – Basket A (5/6)
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Description UBS 6yr Autocallable Equally Weighted Basket Stock Basket
Maturity Max 6yr
Underlyings BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC
Payoff at Maturity Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% BarriersSoft capital protection, Knock-in at 60% (european) on Equally-weighted Basket
Strike 100%
Snowball coupon 4.85% p.a.
Structure Overview – Basket A (6/6)
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Description UBS 6yr Autocallable Worst-of Stock Basket
Maturity Max 6yr
Underlyings BP PLC, RIO TINTO PLC, SABMILLER PLC, PRUDENTIAL PLC, NATIONAL GRID PLC
Payoff at Maturity Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% BarriersSoft capital protection, Knock-in at 60% (european) on Worst-of
Strike 100%
Snowball coupon 20.25% p.a.
Structure Overview – Basket B (1/6)
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Description UBS 1yr Reverse Convertible on Equally Weighted Basket
Maturity 1yr
Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC
Payoff at Maturity 100% - Knock-in Put (european) @ 80% on Equally weighted basket
Strike 100%
Guaranteed Coupon
2.35% p.a.
Coupon frequency
Paid quarterly
Structure Overview – Basket B (2/6)
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Description UBS 3yr Reverse Convertible on Equally Weighted Basket
Maturity 3yr
Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC
Payoff at Maturity 100% - Knock-in Put (european) @ 70% on Equally weighted basket
Strike 100%
Guaranteed Coupon
3.03% p.a.
Coupon frequency
Paid quarterly
Structure Overview – Basket B (3/6)
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Description UBS 1yr Reverse Convertible on Worst-of
Maturity 1yr
Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC
Payoff at Maturity 100% - Knock-in Put (european) @ 80% on Worst-of
Strike 100%
Guaranteed Coupon
11.95% p.a.
Coupon frequency
Paid quarterly
Structure Overview – Basket B (4/6)
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Description UBS 3yr Reverse Convertible on Worst-of
Maturity 3yr
Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC
Payoff at Maturity 100% - Knock-in Put (european) @ 70% on Worst-of
Strike 100%
Guaranteed Coupon
8.96% p.a.
Coupon frequency
Paid quarterly
Structure Overview – Basket B (5/6)
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Description UBS 6yr Autocallable Equally Weighted Basket Stock Basket
Maturity Max 6yr
Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC
Payoff at Maturity Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% BarriersSoft capital protection, Knock-in at 60% (european) on Equally-weighted Basket
Strike 100%
Snowball coupon 4.4% p.a.
Structure Overview – Basket B (6/6)
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Description UBS 6yr Autocallable Worst-of Stock Basket
Maturity Max 6yr
Underlyings BHP BILLITON PLC, UNILEVER PLC, BG GROUP PLC, BARCLAYS PLC, ROLLS-ROYCE HOLDINGS PLC
Payoff at Maturity Autocallable each anniversary: 100 / 95 / 90 / 85 / 80 / 75% BarriersSoft capital protection, Knock-in at 60% (european) on Worst-of
Strike 100%
Snowball coupon 18.5% p.a.
Structure Overview – Single Stock (1/2)
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Description UBS 1yr Reverse Convertible on BP PLC
Maturity 1yr
Underlyings BP PLC
Payoff at Maturity 100% - Knock-in Put (european) @ 80% on BP PLC
Strike 100%
Guaranteed Coupon
3.6% p.a.
Coupon frequency
Paid quarterly
Structure Overview – Single Stock (2/2)
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Description UBS 1yr Reverse Convertible on RIO TINTO PLC
Maturity 1yr
Underlyings RIO TINTO PLC
Payoff at Maturity 100% - Knock-in Put (european) @ 80% on RIO TINTO PLC
Strike 100%
Guaranteed Coupon
7.6% p.a.
Coupon frequency
Paid quarterly
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