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文档介绍：May 16, 2008 Global: Options Research: Considering All Options
Global: Options Research
Considering All Options

Options on energetic upside
modities analysts expect further strength in oil
prices. We generally like buying calls on the plex
as a way to participate in the upside tail of this distribution.
Calls look most attractive on modity, XLE, RDXUSD,
Gazprom, ENI, US integrateds, and INPEX.
Expect oil to rally in structural bull market
modities analysts expect long-dated oil prices to rally as the Jason Cuttler, CFA
[phone] | @
market seeks a new equilibrium. This year’s 37% rally in 5-y oil forwards is Goldman Sachs International
only two-thirds that experienced in Jan-04/Sep-05. Their new December
2008 forecast is $144/bbl for long-dated crude. Related to this view, our Damien Courvalin
regional portfolio strategists suggest overweights in energy. [phone] | @
Goldman Sachs International
Top call buys Alexandre Virolle
On a macro level, we like buying calls on oil, USO (oil ETF), XLE, and [phone] | @
RDXUSD. These offer high potential returns on premium if the oil price Goldman Sachs International
rallies above our forecast. Among single stocks, our top call buys are
John Marshall
Gazprom, ENI, US integrateds, and INPEX. In most cases, these stocks
[phone] | @
offer (1) high historic sensitivity to the oil price vs. low current vol, and (2) Goldman, Sachs & Co.
high returns on call premium if stocks rally to GS targets near term.
Sam Gellman
Vol still inexpensive enough to own, particularly on equities [phone] | @
Goldman Sachs (Asia) .
modity implied volatility is up dramatically, but we would rather be
buyers than sellers as (1) implied realized spreads are reasonable, (2) Yohei Iwao
consumers may need to re-hedge upside following the re-basing higher, [phone] | yohei.