EFTA01410965

Subject: FW: ***Market Volatility Bulletin: "Brexit" Déjà Vu? FX vs. Equity Vols Diverge Ahead of Election - Credit Suisse Equity Derivatives Strategy*** From: Stewart Oldfield ‹ > Date: Mon, 03 Oct 2016 10:07:57 -0400 To: From: Xu, Mandy [mailto: Sent: Monday, October 03, 2016 9:15 AM To: Xu, Mandy Subject: ***Market Volatility Bulletin: "Brexit" Déjà Vu? FX vs. Equity Vols Diverge Ahead of Election - Credit Suisse Equity Derivatives Strategy*** {Header 1} MARKET COMMENTARY Market Volatility Bulletin "Brexit" Déjà Vu? FX vs. Equity Vols Diverge Ahead of Election Link to Report: Market Volatility Bulletin WHAT STANDS OUT: Similar to what we saw heading into the "Brexit" referendum earlier this year, equity and FX implied vols have diverged as we approach the Nov 8th US presidential election. While USDMXN 2M implied vol has jumped to a 4- year high in reaction to polls showing Trump in a close race with Clinton, equity vols are pricing in very little election risk. See charts below for comparison. For "Brexit", equity vols didn't react until two weeks before the referendum (and even then, it still underpriced the risk of the "leave" vote). Will we see a similar pickup in equity volatility this time as the election date approaches? Historically, we've found October to be the most volatile month of election season and the VIX has gone up an average of 3.5 pts in the month leading up to the election. See pg 14 for tradable election basket ideas. Chart: FX vs. Equity Vols Now vs. Before "Brexit" EFTA01410965 Source: CS Equity Derivatives Strategy MORE INSIDE (Market Volatility Bulletin) Mandy Xu, CFA Equity Derivatives Strategy This material has been prepared by individual traders or sales personnel of Credit Suisse Securities Limited and not by the Credit Suisse research department. It is provided for informational purposes, is intended for your use only and does not constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. The information provided is not intended to provide a sufficient basis on which to make an investment decision. It is intended only to provide observations and views of individual traders or sales personnel, which may be different from, or inconsistent with, the observations and views of Credit Suisse research department analysts, other Credit Suisse traders or sales personnel, or the proprietary positions of Credit Suisse. Observations and views expressed herein may be changed by the trader or sales personnel at any time without notice. Past performance should not be taken as an indication or guarantee of future performance, and no representation or warranty, expressed or EFTA01410966 implied is made regarding future performance. The information set forth above has been obtained from or based upon sources believed by the trader or sales personnel to be reliable, but each of the trader or sales personnel and Credit Suisse does not represent or warrant its accuracy or completeness and is not responsible for losses or damages arising out of errors, omissions or changes in market factors. This material does not purport to contain all of the information that an interested party may desire and, in fact, provides only a limited view of a particular market. Credit Suisse may, from time to time, participate or invest in transactions with issuers of securities that participate in the markets referred to herein, perform services for or solicit business from such issuers, and/or have a position or effect transactions in the securities or derivatives thereof. The most recent Credit Suisse research on any company mentioned is at http://- creditsuisse.com/researchandanalytics/ Please follow the attached hyperlink to an important disclosure: https://- www.credit-suisse.com/sites/disclaimers-ib/en/market-commentary.html. Structured securities, derivatives and options are complex instruments that are not suitable for every investor, may involve a high degree of risk, and may be appropriate investments only for sophisticated investors who are capable of understanding and assuming the risks involved. Supporting documentation for any claims, comparisons, recommendations, statistics or other technical data will be supplied upon request. Any trade information is preliminary and not intended as an official transaction confirmation. Use the following links to read the Options Clearing Corporation's disclosure document: http://- www.optionsclearing.com/components/docs/riskstoc.pdf Because of the importance of tax considerations to many option transactions, the investor considering options should consult with his/her tax advisor as to how taxes affect the outcome of contemplated options transactions. Risks: 1. Call or Put Purchasing: The risk of purchasing a call/put is that you will lose the entire premium paid. 2. Uncovered Call Writing: The risk of selling an uncovered call is unlimited and may result in losses significantly greater than the premium EFTA01410967 received. 3. Uncovered Put Writing: The risk of selling an uncovered put is significant and may result in losses significantly greater than the premium received. 4. Call or Put Vertical Spread Purchasing (same expiration month for both options): The basic risk of effecting a long spread transaction is limited to the premium paid when the position is established. 5. Call or Put Vertical Spread Writing (same expiration month for both options): The basic risk of effecting a short spread transaction is limited to the difference between the strike prices less the amount received in premiums. Call or Put Calendar Spread Purchasing (different expiration months & short must expire prior to the long): The basic risk of effecting a long calendar spread transaction is limited to the premium paid when the position is established. 0 2016, CREDIT SUISSE Please access the attached hyperlink for an important electronic communications disclaimer: http://www.credit-suisse.com/legal/en/disclaimer_email_ib.html EFTA01410968 This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01410969