A Correction in the Making ? From Goldman Sachs

Derivatives specialists at Goldman have put up an interesting piece of research. Unfortunatelly, it only covers the US equity market.

From GS:

Over the past 9 months, the cost of SPX 55% OTM 5 year equity puts has more than doubled while the cost of 10 year puts is up 50%+. Long-dated options markets appear increasingly concerned about the potential for a decline in the S&P 500. Equity valuation and CDS spreads have been highly correlated with put prices over the past several years, but long-dated put prices have diverged. We see reason for concern as put prices were up a similar amount in 2007 ahead of the financial crisis, diverging from credit and equity at that time as well.

Source: Goldman Sachs

Source: Goldman Sachs

IntercontinentalExchange enterre officiellement NYSE Euronext

C’est l’histoire d’un mariage qui d’ores et déjà prévoit une séparation. IntercontinentalExchange vient d’officialier son projet de fusion avec NYSE Euronext… lequel prévoit une « optimisation de son portefeuille d’activités », notamment une séparation des activités d’Euronext, par le biais d’une mise en Bourse. Lire la suite