瑞银-全球衍生品市场策略-20240711

ab

GlobalResearchandEvidenceLab

11July2024

GlobalDerivativesStrategy

Alltogethernow:GammaRentalcandidatesforQ2earnings

Dispersionemerging:RecordsinglestockdispersioncouldpersistthroughQ2earnings[Figures1-5]

Wehaveextensivelysuggestedthatsubduedlevelsofindexcorrelationsaretheprimarydriverofthelowvolatilityregime,amongstotherfactors.Indexrealizedcorrelationsarenowatall-timelowsheadingintoQ2earningsseason,eclipsingeven2017-stylelevels.Wecouldcontinuetowitnessvolatility'underthehood'asnamesreportmoredispersedresults,wellreflectedinthehigherbeatratesofrealizedvs.impliedmovesoverthelastseveralearningsseasons.However,wedonotthinkitwillnecessarilymanifestinhigherindexvolatilityifBig6Tech+continuestodominatetheearningsstory.

TheAItailwindintheformofthemomentumtradekeepstruckingon,morerecentlydrivenbytheshortlegunderperformingasthelongleghasstalled.WethinkitwilltakeacoordinatedunwindintheAItailwindtodriveasubstantialpickupincorrelations.TheAInarrativehasdraggedinalotmorenamesinitswake–healthyfornowintermsofincreasedbreadth,untilsomethingbreaks.Fornow,weexpectdispersiontopersistthroughQ2earningsseasonaslongasnothingdoes.

Rentmoney:ScreeningforGammaRentalopportunitiesinUS&EUsinglestocks[Figures6-15]

ThisisthefourthrunofourGammaRentalsframework.Post-mortem,overhalfofthetop'Moocher/Mover'pairsbysectorproducedpositivedelta-hedgedP&Lpost-Moverearningsoverthelastfewearningsseasons.WescreenforUSandEUstockswithdirectpeersreportingearningspriortotheirowntocapture'sympathy'movesviadelta-hedgedATMstraddles–moredetailsonfullmethodologyinAppendix.

InFigures6-7,weshowthetopfiveUSMoocher/Moverpairsbysectorandbyearningscalendarweek,respectively,basedonanequal-weightedcompositerankingofpairwisebacktest,quantamentalsignal,andvolatilitycarryrankingscores.Perourmethodology,thetop20UScandidatesinwhichtoownpairwisevolatilityare:MU,AVGO,WDC,PH,NVDA,HD,NDSN,WTW,APD,OXY,CHD,AZO,AJG,QCOM,MKC,OKE,CB,LOW,QRVO,andRJF.

InFigures8-10,weshowtheaveragerankacrossallpairwisecandidatesattheaggregateUSsector,subsector,andindustrylevel(GICSLevel1-3),respectively.Onasectorbasis,pairwisevolatilitywithinEnergy,Tech,andStaplesappearthemostattractivetoownintheUS.

GlobalStrategy

Global

MaxwellGrinacoff,CFA

Strategist

maxwell.grinacoff@+1-212-7133892

GerryFowler

Strategist

gerry.fowler@+44-20-75675490

ArtourDanilov

Strategist

artour.danilov@+44-20-75675203

SeanSimonds

Strategist

sean.simonds@+1-212-7132851

NicolasLeRoux

Strategist

nicolas.le-roux@+33-14-8885000

PaulWinter

Analyst

paul-j.winter@+61-2-93242080

JonathanGolub

Strategist

jonathan.golub@+1-212-7138673

WerunthesameanalysesforEUstocks,perFigures11-15.Thetop20candidatesinwhichtoownpairwisevolatilityare:ALFASS,ACSSQ,AFXGY,LANDLN,JYSKDC,GTTFP,BGAV,BVIFP,AMUNFP,BPEIM,AIFP,ISPIM,ENGIFP,HNR1GY,INGANA,CABKSQ,BCIM,EBSAV,HELNSE,andAKZANA.Sector-wise,RealEstate,Financials,andIndustrialsappearthemostattractiveEUsectorsinwhichtoownpairwisevolatility.

ThisreporthasbeenpreparedbyUBSSecuritiesLLC.ANALYSTCERTIFICATIONANDREQUIREDDISCLOSURES,includinginformationontheQuantitativeResearchReviewpublishedbyUBS,beginonpage11.

Figure1:S&P500aggregatehistoricalaverageearningsmoves

—o—Avg.options-impliedmovesonearnings(S&P500agg.)—o—Avg.options-impliedmovebeatratesonearnings(S&P500agg.)

760

43

220

Source:Bloomberg,UBS

Figure2:S&P500vs.sector-levelaggregateimpliedvs.realizedearningsmoves(for1Q24earningsseason)

Move(%)

7

6

5

4

3

2

1

0

Avg.ImpliedMove

Avg.RealizedMove

ImpliedMoveBeatRate

58

54

56

53

50

●

4545

44

37

31

27

●

21

4.56.04.33.53.73.84.54.04.54.73.93.94.03.34.24.13.11.93.62.43.72.02.20.7

BeatRate

70

60

50

40

30

20

10

0

Information

Technology

Communication

Services

ConsumerStaples

Consumer

Discretionary

Materials

Industrials

S&P500

HealthCare

Energy

Financials

RealEstate

Utilities

Source:Bloomberg,UBS

Figure3:S&P5003mrealizedcorrelationvs.earningsseasons

EarningsSeason——SPX3mRealizedCorr

100%90%80%70%60%50%40%30%20%10%0%

1718192021222324

Source:Bloomberg,UBS

Volatility'underthehood':Wehavewitnessedalargerpercentageof

singlestockmovesoutpacetheir

respectiveimpliedmovesthrough

thelastyear+worthofearnings

seasons.Thisparticularlyasimpliedmoveshavedeclinedamidstalowervolatilitybackdrop–Adynamicweexpecttopersistthroughthis

reportingseason

Tech,Comm.Services,andCons.

Staples&Discretionarysawthe

largestpercentageofsinglestock

constituentsoutpacetheirrespectiveimpliedmoveslastearningsseason

Dispersion(correlation)attheindexleveltendstoincrease(decrease)

throughearningsseasons–S&P5003mrealizedcorrelationalreadyatall-timelowsheadingintoQ2earningsseason,noweclipsingeven2017

lows

Move(%)

BeatRate

2011:Q4

2012:Q1

2012:Q2

2012:Q3

2012:Q4

2013:Q1

2013:Q2

2013:Q3

2013:Q4

2014:Q1

2014:Q2

2014:Q3

2014:Q4

2015:Q1

2015:Q2

2015:Q3

2015:Q4

2016:Q1

2016:Q2

2016:Q3

2016:Q4

2017:Q1

2017:Q2

2017:Q3

2017:Q4

2018:Q1

2018:Q2

2018:Q3

2018:Q4

2019:Q1

2019:Q2

2019:Q3

2019:Q4

2020:Q1

2020:Q2

2020:Q3

2020:Q4

2021:Q1

2021:Q2

2021:Q3

2021:Q4

2022:Q1

2022:Q2

2022:Q3

2022:Q4

2023:Q1

2023:Q2

2023:Q3

2023:Q4

2024:Q1

54●6.6

51

55

50

45

40

35

30

25

47

45

6

47

●

4.0

45

4.2

●

4.3

4.0

●

4.2

●

42

42

48

43

42

41

46

47

41

41

38

40

●

3.7

3.63.7

3.5

●

3.5

3.53.5

●

3.9

●

3.7

●

●

3.8

3.7

●

3.7

●

3.5

●●

3.9

3.7

●

4.0

4.4

48

47

5.3

45

5.1

44

43

43

43

43

43

43

42

41

5

41

40

40

39

39

38

37

37

36

43574.74.4

4.6

34

34

4.1

33

4

33

3.9

33

4.4

4.4

4.3

4.2

4.2

4301

4.1

4.0

4.0

3.9

3.9

28

3.8

28

3.8

3.6

3.5

25

3

3.4

3.3

3.23.2

●

GlobalDerivativesStrategy11July2024ab2

GlobalDerivativesStrategy11July2024ab3

Figure4:US2024consensusEPSrevisions

20%

15%

10%

5%

0%

-5%

-10%

S&P500S&P500ex-Tech+Cyclicalsex-Tech+

——DefensivesTech+——Top6Tech+

-2024EPSRevisions

Sep-23Oct-23Nov-23Dec-23Jan-24Feb-24Mar-24Apr-24May-24Jun-24

Source:Standard&Poor's,FactSet,Refinitiv,UBS;Cumulative2024EPSchangesrebasedto0%(since30-Sep-2023);2Q24earningspreviewfromourUSEquityStrategistshere

Figure5:Realized-implied3mcorrelationspreadbyUSindex&(sub)sector

Semis

RetailRegionalBanks

SoftwareLargeCapBanksUtilities

Cons.Stap.

Strongcorrelation

EnergyMaterialsBiotech

Strongdispersion

Cons.Disc. Russell2000Metals&Mining Comm.Svcs. S&P500 Nasdaq100 HealthCare Oil&GasE&P Industrials Financials TechnologyHomebuilders

-20%-15%-10%-5%0%5%10%15%20%25%30%35%

Realized-ImpliedCorrelationSpread(3m)

Source:Bloomberg,UBS;Realizedvs.impliedcorrelationdatacalculatedasof05-Jul-2024

Continueddivergenceinboth2024&25USsector-levelearningsrevisionsamaincontributortotheultralow

indexcorrelationenvironment,inourview

Semis,Retail,RegionalBanks,and

Softwareareseeingthehighest

realizedcorrelationrelativeto

impliedamongstconstituents;

Conversely,Homebuilders,Tech,andFinancialsareseeingthehighest

dispersion

Figure6:TopfiveGammaRentalcandidatespersector(US)

Closest

UBSAnalyst

Moocher/Mover

Listed

Composite

Composite

Composite

Surprise

Pair

Subindustry

Subindustry

InSupply

ReportDate

Expiry

Rank

Rank

Rank

Composite

Score

(Top5bySector)

Moocher

Mover

Sector

Subsector

Industry

(Moocher)

(Mover)

Chain?

(Mover)

(Moocher)

(Backtest)

(Quantamental)

(Carry)

Rank

(Mover)

FOX/PARA

FoxCorp

ParamountGlobal

CommunicationServices

Media&Entertainment

Media

Broadcasting

Broadcasting

N

7-Aug-24

16-Aug-24

92

635

847

151

0

NWSA/PARA

NewsCorp

ParamountGlobal

CommunicationServices

Media&Entertainment

Media

Publishing

Broadcasting

N

7-Aug-24

16-Aug-24

643

781

773

425

0

NWSA/OMC

NewsCorp

OmnicomGroupInc

CommunicationServices

Media&Entertainment

Media

Publishing

Advertising

N

16-Jul-24

19-Jul-24

962

781

773

643

1

FOX/IPG

FoxCorp

InterpublicGroupofCosInc/T

CommunicationServices

Media&Entertainment

Media

Broadcasting

Advertising

N

24-Jul-24

16-Aug-24

1154

635

847

718

1

NWSA/IPG

NewsCorp

InterpublicGroupofCosInc/T

CommunicationServices

Media&Entertainment

Media

Publishing

Advertising

N

24-Jul-24

16-Aug-24

1155

781

773

755

1

AZO/ORLY

AutoZoneInc

O'ReillyAutomotiveInc

ConsumerDiscretionary

ConsumerDiscretionaryDistrib

SpecialtyRetail

AutomotiveRetail

AutomotiveRetail

N

24-Jul-24

16-Aug-24

89

23

62

1

1

LOW/HD

Lowe'sCosInc

HomeDepotInc/The

ConsumerDiscretionary

ConsumerDiscretionaryDistrib

SpecialtyRetail

HomeImprovementRetail

HomeImprovementRetail

N

13-Aug-24

16-Aug-24

56

513

74

4

0

HD/TSCO

HomeDepotInc/The

TractorSupplyCo

ConsumerDiscretionary

ConsumerDiscretionaryDistrib

SpecialtyRetail

HomeImprovementRetail

OtherSpecialtyRetail

N

25-Jul-24

9-Aug-24

701

69

153

20

0

LOW/ROST

Lowe'sCosInc

RossStoresInc

ConsumerDiscretionary

ConsumerDiscretionaryDistrib

SpecialtyRetail

HomeImprovementRetail

ApparelRetail

N

16-Aug-24

23-Aug-24

550

513

74

44

1

AZO/ULTA

AutoZoneInc

UltaBeautyInc

ConsumerDiscretionary

ConsumerDiscretionaryDistrib

SpecialtyRetail

AutomotiveRetail

OtherSpecialtyRetail

N

29-Aug-24

20-Sep-24

1111

23

62

57

0

CHD/CL

Church&DwightCoInc

Colgate-PalmoliveCo

ConsumerStaples

Household&PersonalProducts

HouseholdProducts

HouseholdProducts

HouseholdProducts

N

26-Jul-24

16-Aug-24

400

142

492

28

1

MKC/CPB

McCormick&CoInc/MD

CampbellSoupCo

ConsumerStaples

Food,Beverage&Tobacco

FoodProducts

PackagedFoods&Meats

PackagedFoods&Meats

N

30-Aug-24

20-Sep-24

854

245

70

47

-

WBA/DG

WalgreensBootsAllianceInc

DollarGeneralCorp

ConsumerStaples

ConsumerStaplesDistribution

ConsumerStaplesDistribution

DrugRetail

ConsumerStaplesMerchandiseR

N

30-Aug-24

20-Sep-24

281

934

9

62

0

MKC/SJM

McCormick&CoInc/MD

JMSmuckerCo/The

ConsumerStaples

Food,Beverage&Tobacco

FoodProducts

PackagedFoods&Meats

PackagedFoods&Meats

N

29-Aug-24

20-Sep-24

1261

245

70

153

-

MKC/HRL

McCormick&CoInc/MD

HormelFoodsCorp

ConsumerStaples

Food,Beverage&Tobacco

FoodProducts

PackagedFoods&Meats

PackagedFoods&Meats

N

30-Aug-24

20-Sep-24

1299

245

70

166

-

OKE/APA

ONEOKInc

APACorp

Energy

Energy

Oil,Gas&ConsumableFuels

Oil&GasStorage&Transporta

Oil&GasExploration&Produc

N

2-Aug-24

16-Aug-24

119

285

627

27

0

OKE/EOG

ONEOKInc

EOGResourcesInc

Energy

Energy

Oil,Gas&ConsumableFuels

Oil&GasStorage&Transporta

Oil&GasExploration&Produc

N

1-Aug-24

16-Aug-24

139

285

627

31

0

OKE/CTRA

ONEOKInc

CoterraEnergyInc

Energy

Energy

Oil,Gas&ConsumableFuels

Oil&GasStorage&Transporta

Oil&GasExploration&Produc

N

1-Aug-24

16-Aug-24

189

285

627

39

1

OKE/TRGP

ONEOKInc

TargaResourcesCorp

Energy

Energy

Oil,Gas&ConsumableFuels

Oil&GasStorage&Transporta

Oil&GasStorage&Transporta

N

2-Aug-24

16-Aug-24

246

285

627

46

-

OKE/WMB

ONEOKInc

WilliamsCosInc/The

Energy

Energy

Oil,Gas&ConsumableFuels

Oil&GasStorage&Transporta

Oil&GasStorage&Transporta

N

2-Aug-24

16-Aug-24

269

285

627

51

-

AJG/MMC

ArthurJGallagher&Co

Marsh&McLennanCosInc

Financials

Insurance

Insurance

InsuranceBrokers

InsuranceBrokers

N

18-Jul-24

19-Jul-24

129

575

155

13

0

AJG/BRO

ArthurJGallagher&Co

Brown&BrownInc

Financials

Insurance

Insurance

InsuranceBrokers

InsuranceBrokers

N

22-Jul-24

16-Aug-24

155

575

155

17

0

WTW/BRO

WillisTowersWatsonPLC

Brown&BrownInc

Financials

Insurance

Insurance

InsuranceBrokers

InsuranceBrokers

N

22-Jul-24

16-Aug-24

895

83

108

34

0

WTW/MMC

WillisTowersWatsonPLC

Marsh&McLennanCosInc

Financials

Insurance

Insurance

InsuranceBrokers

InsuranceBrokers

N

18-Jul-24

19-Jul-24

896

83

108

35

0

CB/TRV

ChubbLtd

TravelersCosInc/The

Financials

Insurance

Insurance

Property&CasualtyInsurance

Property&CasualtyInsurance

N

19-Jul-24

16-Aug-24

81

317

786

54

0

UHS/HCA

UniversalHealthServicesInc

HCAHealthcareInc

HealthCare

HealthCareEquipment&Servic

HealthCareProviders&Servic

HealthCareFacilities

HealthCareFacilities

N

23-Jul-24

16-Aug-24

101

79

1162

82

1

PFE/BMY

PfizerInc

Bristol-MyersSquibbCo

HealthCare

Pharmaceuticals,Biotechnology

Pharmaceuticals

Pharmaceuticals

Pharmaceuticals

Y

26-Jul-24

2-Aug-24

601

346

455

96

1

HUM/ELV

HumanaInc

ElevanceHealthInc

HealthCare

HealthCareEquipment&Servic

HealthCareProviders&Servic

ManagedHealthCare

ManagedHealthCare

N

17-Jul-24

26-Jul-24

59

17

1355

100

1

HUM/UNH

HumanaInc

UnitedHealthGroupInc

HealthCare

HealthCareEquipment&Servic

HealthCareProviders&Servic

ManagedHealthCare

ManagedHealthCare

N

16-Jul-24

26-Jul-24

76

17

1355

104

1

MTD/DHR

Mettler-ToledoInternationalI

DanaherCorp

HealthCare

Pharmaceuticals,Biotechnology

LifeSciencesTools&Services

LifeSciencesTools&Services

LifeSciencesTools&Services

N

23-Jul-24

16-Aug-24

115

385

1037

138

1

NDSN/IR

NordsonCorp

IngersollRandInc

Industrials

CapitalGoods

Machinery

IndustrialMachinery&Supplie

IndustrialMachinery&Supplie

N

2-Aug-24

16-Aug-24

53

1

477

3

-

NDSN/IEX

NordsonCorp

IDEXCorp

Industrials

CapitalGoods

Machinery

IndustrialMachinery&Supplie

IndustrialMachinery&Supplie

N

31-Jul-24

16-Aug-24

225

1

477

5

-

NDSN/DOV

NordsonCorp

DoverCorp

Industrials

CapitalGoods

Machinery

IndustrialMachinery&Supplie

IndustrialMachinery&Supplie

N

25-Jul-24

16-Aug-24

309

1

477

8

-

PH/ITW

Parker-HannifinCorp

IllinoisToolWorksInc

Industrials

CapitalGoods

Machinery

IndustrialMachinery&Supplie

IndustrialMachinery&Supplie

N

1-Aug-24

16-Aug-24

158

352

323

9

1

NDSN/ITW

NordsonCorp

IllinoisToolWorksInc

Industrials

CapitalGoods

Machinery

IndustrialMachinery&Supplie

IndustrialMachinery&Supplie

N

1-Aug-24

16-Aug-24

366

1

477

10

1

MU/AVGO

MicronTechnologyInc

BroadcomInc

InformationTechnology

Semiconductors&Semiconductor

Semiconductors&Semiconductor

Semiconductors

Semiconductors

N

30-Aug-24

20-Sep-24

74

315

57

2

-

AVGO/ADI

BroadcomInc

AnalogDevicesInc

InformationTechnology

Semiconductors&Semiconductor

Semiconductors&Semiconductor

Semiconductors

Semiconductors

N

23-Aug-24

20-Sep-24

37

677

46

6

-

AVGO/AMAT

BroadcomInc

AppliedMaterialsInc

InformationTechnology

Semiconductors&Semiconductor

Semiconductors&Semiconductor

Semiconductors

SemiconductorMaterials&Equi

N

15-Aug-24

23-Aug-24

45

677

46

7

-

QCOM/NXPI

QUALCOMMInc

NXPSemiconductorsNV

InformationTechnology

Semiconductors&Semiconductor

Semiconductors&Semiconductor

Semiconductors

Semiconductors

N

22-Jul-24

26-Jul-24

24

238

597

13

1

AVGO/NVDA

BroadcomInc

NVIDIACorp

InformationTechnology

Semiconductors&Semiconductor

Semiconductors&Semiconductor

Semiconductors

Semiconductors

Y

23-Aug-24

20-Sep-24

203

677

46

21

-

CE/ALB

CelaneseCorp

AlbemarleCorp

Materials

Materials

Chemicals

SpecialtyChemicals

SpecialtyChemicals

N

31-Jul-24

16-Aug-24

95

497

367

22

0

APD/DOW

AirProductsandChemicalsInc

DowInc

Materials

Materials

Chemicals

IndustrialGases

CommodityChemicals

N

25-Jul-24

16-Aug-24

512

180

271

23

1

APD/CTVA

AirProductsandChemicalsInc

CortevaInc

Materials

Materials

Chemicals

IndustrialGases

Fertilizers&AgriculturalChe

N

31-Jul-24

16-Aug-24

759

180

271

58

1

LYB/CE

LyondellBasellIndustriesNV

CelaneseCorp

Materials

Materials

Chemicals

CommodityChemicals

SpecialtyChemicals

N

1-Aug-24

16-Aug-24

92

426

693

60

1

LYB/EMN

LyondellBasellIndustriesNV

EastmanChemicalCo

Materials

Materials

Chemicals

CommodityChemicals

SpecialtyChemicals

N

25-Jul-24

16-Aug-24

107

426

693

64

1

ESS/EQR

EssexPropertyTrustInc

EquityResidential

RealEstate

EquityRealEstateInvestment

ResidentialREITs

Multi-FamilyResidentialREITs

Multi-FamilyResidentialREITs

N

29-Jul-24

16-Aug-24

566

254

885

203

0

AMT/CCI

AmericanTowerCorp

CrownCastleInc

RealEstate

EquityRealEstateInvestment

SpecializedREITs

TelecomTowerREITs

TelecomTowerREITs

N

17-Jul-24

19-Jul-24

154

374

1200

218

0

SPG/FRT

SimonPropertyGroupInc

FederalRealtyInvestmentTrus

RealEstate

EquityRealEstateInvestment

RetailREITs

RetailREITs

RetailREITs

N

1-Aug-24

16-Aug-24

459

1233

413

381

0

SPG/REG

SimonPropertyGroupInc

RegencyCentersCorp

RealEstate

EquityRealEstateInvestment

RetailREITs

RetailREITs

RetailREITs

N

1-Aug-24

16-Aug-24

538

1233

413

412

0

SBAC/CCI

SBACommunicationsCorp

CrownCastleInc

RealEstate

EquityRealEstateInvestment

SpecializedREITs

TelecomTowerREITs

TelecomTowerREITs

N

17-Jul-24

19-Jul-24

78

1197

943

442

0

WEC/CNP

WECEnergyGroupInc

CenterPointEnergyInc

Utilities

Utilities

Multi-Utilities

Multi-Utilities

Multi-Utilities

N

30-Jul-24

16-Aug-24

162

322

995

115

0

DUK/LNT

DukeEnergyCorp

AlliantEnergyCorp

Utilities

Utilities

ElectricUtilities

ElectricUtilities

ElectricUtilities

N

2-Aug-24

16-Aug-24

219

612

718

146

1

DUK/SO

DukeEnergyCorp

SouthernCo/The

Utilities

Utilities

ElectricUtilities

ElectricUtilities

ElectricUtilities

N

1-Aug-24

16-Aug-24

264

612

718

159

0

DUK/PNW

DukeEnergyCorp

PinnacleWestCapitalCorp

Utilities

Utilities

ElectricUtilities

ElectricUtilities

ElectricUtilities

N

1-Aug-24

16-Aug-24

269

612

718

162

-

WEC/DTE

WECEnergyGroupInc

DTEEnergyCo

Utilities

Utilities

Multi-Utilities

Multi-Utilities

Multi-Utilities

Y

26-Jul-24

16-Aug-24

289

322

995

164

1

Source:Bloomberg,UBS;Note:ExpectedearningsreportdatesforbothMoochersandMoversaresubjecttochangepriortoactualrelease

Figure7:TopfiveGammaRentalcandidatesperearningscalendarweek(US)

CompositeRank(Moocher/Mover)

0

50

100

150

200

250

300

350

400

450

NDSN/IRNDSN/IEXPH/ITW

NDSN/PH

AZO/ORLY

NDSN/DOVPH/DOV

QCOM/NXPIAJG/BRO

LOW/HD

PH/SNA

AJG/MMC

WTW/MMC

CB/TRV

RJF/SCHW

AVGO/ADI

AVGO/NVDA

MU/AVGOMKC/CPB

AZO/ULTA

NVDA/SWKS

OXY/FANG

AVGO/AMAT

LOW/ROST

厂

NDSN/ITWNDSN/SWK

RJF/BK

Strongercandidates

AZO/HD

WBA/DG

OXY/OKE

AMAT/SWKS

NVDA/AMAT

MKC/SJM

TROW/BKLUV/DAL

AZO/TJX

WBA/DLTR

ADBE/INTU

Weaker

candidates

MNST/PEPKEY/C

12345678

EarningsCalendarWeek#

Source:Bloomberg,UBS;Calendarweek#1=Jul8-12,#2=Jul15-19,#3=Jul22-26,#4=Jul29-Aug2,etc.

Figure8:AverageGammaRentalcandidaterankingsbysector(US;GICSLevel1)

ConsumerMaterialsCommunication

Services

Utilities

Staples

Energy

ConsumerDiscretionary

RealEstate

Industrials

Financials

HealthCare

InformationTechnology

Strongercandidates

Weakercandidates

700

600

1200

1300

Morepairs

80090010001100

Lesspairs

Avg.CompositeRank(AllSectors)

Source:Bloomberg,UBS

MostattractiveUSGammaRental

candidatesconcentratedinweeks2-4ofQ2earningsseason

AttheaggregateUSsectorlevel,

Energy,Tech,andStaplesscreenasthemostattractivesectorsinwhichtoownpairwisevolatilitythroughQ2earningsseason

GlobalDerivativesStrategy11July2024ab4

GlobalDerivativesStrategy11July2024ab5

Figure9:AverageGammaRentalcandidaterankingsbysubsector(US;GICSLevel2)

Household&

PersonalProducts

Banks

/

ConsumerStaplesDistribution

Semiconductors&Semiconductor

Food,Beverage&Tobacco

Energy

Consumer

ConsumerCapitalGoodsDurables&Apparel

RealEstate

Management&

Devel

Discretionary

Distrib

Strongercandidates

Weakercandidates

300

Lesspairs

400

Morepairs

500600700800900

Avg.CompositeRank(Top10Subsectors)

Source:Bloomberg,UBS

Figure10:AverageGICSLevel3)

Gamma

Rentalcandidate

rankings

byindustry

(US;

RealEstate

Management&

Containers&Packaging

AirFreight&Logistics

/

Semiconductors&Semiconductor

Devel

Household

Products

Construction

Materials

Consumer

Machinery

Staples

SpecialtyRetail

Distribution

Textiles,Apparel&LuxuryGoo

Strongercandidates

Weakercandidates

Morepairs

300350400450500550600650

Lesspairs

Avg.CompositeRank(Top10Industries)

Source:Bloomberg,UBS

WithinTechinparticular,Semispairsagainscreenasthemostattractive/tradable

AirFreight&LogisticsandHouseholdProductsexhibitthestrongest

candidates,butwithfewertradablepairswithintheUSuniverse

Figure11:TopfiveGammaRentalcandidatespersector(EU)

Closest

UBSAnalyst

Moocher/Mover

Listed

Composite

Composite

Composite

Surprise

Pair

Subindustry

Subindustry

InSupply

ReportDate

Expiry

Rank

Rank

Rank

Composite

Score

(Top5bySector)

Moocher

Mover

Sector

Subsector

Industry

(Moocher)

(Mover)

Chain?

(Mover)

(Moocher)

(Backtest)

(Quantamental)

(Carry)

Rank

(Mover)

WPPLN/PUBFP

WPPPLC

PublicisGroupeSA

CommunicationServices

Media&Entertainment

Media

Advertising

Advertising

N

18-Jul-24

19-Jul-24

24

256

300

40

1

TELIASS/ELISAFH

TeliaCoAB

ElisaOyj

CommunicationServices

TelecommunicationServices

DiversifiedTelecommunication

IntegratedTelecommunicationS

IntegratedTelecommunicationS

Y

16-Jul-24

19-Jul-24

786

154

99

208

0

TEFSQ/ORAFP

TelefonicaSA

OrangeSA

CommunicationServices

TelecommunicationServices

DiversifiedTelecommunication

IntegratedTelecommunicationS

IntegratedTelecommunicationS

N

24-Jul-24

26-Jul-24

342

440

405

281

0

FNTNGY/TEL2BSS

FreenetAG

Tele2AB

CommunicationServices

TelecommunicationServices

WirelessTelecommunicationSer

WirelessTelecommunicationSer

WirelessTelecommunicationSer

N

17-Jul-24

19-Jul-24

526

85

663

333

-

WPPLN/IPSFP

WPPPLC

IPSOSSA

CommunicationServices

Media&Entertainment

Media

Advertising

Advertising

N

24-Jul-24

16-Aug-24

797

256

300

378

-

SKFP/ELUXBSS

SEBSA

ElectroluxAB

ConsumerDiscretionary

ConsumerDurables&Apparel

HouseholdDurables

HouseholdAppliances

HouseholdAppliances

N

19-Jul-24

16-Aug-24

101

264

71

22

-

BCIM/ADSGY

BrunelloCucinelliSpA

adidasAG

ConsumerDiscretionary

ConsumerDurables&Apparel

Textiles,Apparel&LuxuryGoo

Apparel,Accessories&Luxury

Apparel,Accessories&Luxury

N

31-Jul-24

16-Aug-24

22

217

490

72

1

BCIM/RMSFP

BrunelloCucinelliSpA

HermesInternationalSCA

ConsumerDiscretionary

ConsumerDurables&Apparel

Textiles,Apparel&LuxuryGoo

Apparel,Accessories&Luxury

Apparel,Accessories&Luxury

N

25-Jul-24

16-Aug-24

42

217

490

77

0

BCIM/BOSSGY

BrunelloCucinelliSpA

HUGOBOSSAG

ConsumerDiscretionary

ConsumerDurables&Apparel

Textiles,Apparel&LuxuryGoo

Apparel,Accessories&Luxury

Apparel,Accessories&Luxury

N

1-Aug-24

16-Aug-24

47

217

490

78

1

BMWGY/RNOFP

BayerischeMotorenWerkeAG

RenaultSA

ConsumerDiscretionary

Automobiles&Components

Automobiles

AutomobileManufacturers

AutomobileManufacturers

N

25-Jul-24

26-Jul-24

28

97

727

118

0

RIFP/CARLBDC

PernodRicardSA

CarlsbergAS

ConsumerStaples

Food,Beverage&Tobacco

Beverages

Distillers&Vintners

Brewers

N

14-Aug-24

16-Aug-24

266

101

448

105

-

ORFP/ULVRLN

L'OrealSA

UnileverPLC

ConsumerStaples

Household&PersonalProducts

PersonalCareProducts

PersonalCareProducts

PersonalCareProducts

N

25-Jul-24

26-Jul-24

253

71

535

125

1

CARLBDC/HEIANA

CarlsbergAS

HeinekenNV

ConsumerStaples

Food,Beverage&Tobacco

Beverages

Brewers

Brewers

N

29-Jul-24

16-Aug-24

290

526

112

154

-

SBRYLN/TSCOLN

JSainsburyPLC

TescoPLC

ConsumerStaples

ConsumerStaplesDistribution

ConsumerStaplesDistribution

FoodRetail

FoodRetail

N

3-Oct-24

18-Oct-24

18

592

360

177

1

BNFP/NESNSE

DanoneSA

NestleSA

ConsumerStaples

Food,Beverage&Tobacco

FoodProducts

PackagedFoods&Meats

PackagedFoods&Meats

N

25-Jul-24

26-Jul-24

333

353

291

17