EQUITY DERIVATIVES STRATEGY

Weekly Market Commentary

October 19, 2020

Market Volatility Bulletin

US vs Europe Single Stock Vol Diverges on Earnings
Equity Derivatives Strategy Weekly

IMPLIED VOLS were mixed across asset classes last week Exhibit 1: Asset Class Implied Vols (1Y Percentile)
on conflicting stimulus headlines and rising covid cases globally.
Oil vol jumped the most, with WTI 1M implied volatility gaining 5 100%

pts to 43% ahead of this week’s OPEC meeting amidst rising 90%

demand uncertainty. Equity volatility also increased, with the VIX 80%

up 2.4 pts and V2X up 3.1 pts to 27.4% and 25.3%, 70%

Vol Percentile (1Y)

respectively. US rate vol (CIRVE Index) ended the week roughly 60%

unch’d, with 1M remaining the richest part of the vol curve as a 50%

result of the US election. FX (G7) vols declined, led by EURUSD 40%

(1M implied -0.4 vol pt) – though FX vols still remain the richest 30%

cross-asset vol on a 1Y percentile basis (see Exhibit 1). 20%

10%

EQUITY VOL: VIX put volume at record vs calls; equity vols 0%

8/1/20 8/15/20 8/29/20 9/12/20 9/26/20 10/10/20
gained modestly last week, with S&P 1M implied volatility US Equities (VIX) Oil Gold

increasing 1.7 pts to 22.8%. That said, most of the flows remain Int Rate FX (G7) Euro Equities (V2X)
Source: Credit Suisse Derivatives Strategy
concentrated on selling volatility, particularly around the election
tenors. In VIX space, demand for downside puts now outpaces Exhibit 2: VIX Put/Call Volume Ratio Hits Record High
calls by the largest on record (see Exhibit 2) as investors position
for vol normalization post-election. At the sector level, Tech vols VIX put/call volume ratio (10D rolling average)
1.6
are the most dislocated as we approach earnings, driven
1.4
primarily by demand for upside calls. We like overwriting Tech as
a way to monetize the expensive upside vol (see pg 3 for details) 1.2

SKEW steepens modestly: As the fiscal stalemate in 0.8

Congress extends against a backdrop of rising covid cases, we 0.6

see more elevated downside risk to the Q4 economic outlook.
0.4
Not surprisingly, skew has started to steepen again, with 3M
0.2
skew (25D spread) rising to the 43rd percentile. We like risk
reversals (sell put, buy call) as our preferred year-end hedge. 0
Mar-06 Mar-08 Mar-10 Mar-12 Mar-14 Mar-16 Mar-18 Mar-20

Source: Credit Suisse Derivatives Strategy

TERM STRUCTURE flattens as short-dated vols bid: The
front-end of the S&P vol curve lifted higher last week, Exhibit 3: S&P Term Structure Flattens as Short-Dated Vols Bid
particularly 1-2M tenors, with the front 6M maturities now
trading at near parity while the back-end of the curve remains
inverted (see Exhibit 2). The elevated vols in the front 6M is not
so much a reflection of election risk (since it extends out to
Mar’21) but rather covid/economic uncertainty.

EQUITY CORRELATIONS diverge on earnings: while S&P

1M implied correlation increased by 4 pts last week to 38%,
realized correlation fell by 2 pts to 40% as earnings season
kicked off. At the sector level, implied correlation is trading below
realized for every sector with the exception of Financials (with
large cap Fins earnings mostly complete), signaling a more
constructive environment for stock picking in the coming weeks
Source: Credit Suisse Derivatives Strategy
(see pg 13 for details).
Mandy Xu, CFA Anshul Gupta
mandy.xu@credit-suisse.com anshul.gupta.3@credit-suisse.com
(212) 325 9628 +44 208 888 8888

(212
***Not Intended for Retail***
(
 EQUITY DERIVATIVES STRATEGY
October 19, 2020

EUROPE

CROSS-ASSET VOLS were mixed last week, as gains in Exhibit 4: SPX vol remains most elevated across assets vs history
equity vols were partly offset by the decline in FX vols. Indeed, -2 -1

35
0 1 2 3 4 5 6
12

European equity vols, led by FTSEMIB, gained the most last week EU rates 1y min-max range
6.7%
EURUSD
on concerns around rising coronavirus infections, Brexit-induced 7.1% 1w ago 10

USDJPY
uncertainty and US fiscal stalemate. Despite the recent decline in 59 Latest
US rates
election-related premia, SPX vol remains most elevated across EUR IG*
54 8

assets versus history, followed by GBPUSD vol, which remains NKY

17.2%

elevated amid ongoing Brexit saga. On the other hand, vols on 71 Labels next to dots 6

EUR HY*
22.1% indicate latest levels
European rates, EURUSD and USDJPY remain among least SX5E
24.8% 4

stressed across assets (Exhibit 4). FTSEMIB

21.2%
FTSE
11.0% 2

EQUITY VOLS found a floor for shorter-dated tenors; With GBPUSD

23.0%
rising virus cases, US election on the horizon, Brexit uncertainty SPX 0

and upcoming earnings, SX5E 1M implied vol bounced back -2 -1 0 1 2 3 4 5 6

from the recent lows to 22v (+2v w/w). Indeed, long gamma Long-term z-score of 1M vols (*CDS spreads for credit, not vols)
flows dominated last week as directional investors stepped in to Source: Credit Suisse Derivatives Strategy
buy short-dated upside as well as protection. In RV space,
FTSEMIB-DAX 1M ATM implied vol spread is once again trading Exhibit 5: FTSEMIB-DAX 1M implied vol spread near its 2y lows
near its 2y lows (see Exhibit 5). 10% FTSEMIB - DAX 1M ATM implied vol spread
9% Last
SKEW steepened, particularly for shorter tenors; The SX5E 1M
8%
put skew, which had dropped to a 3y low (as highlighted in last
week’s note), reset higher as we saw increased demand for 7%
protection as well as some short covering of Nov crash puts 6%
(Exhibit 6). Despite recent steepening, SX5E 1M put skew 5%
continues to trade relatively flat versus history (37st percentile 4%
over the last 5y) and short put ratios continue to line up well as a
3%
tail hedge. Notably, SX5E longer-dated (2Y) put skew remains
2%
historically steep, trading in its 90th 5y percentile.
1%
TERM STRUCTURE inverts again, as short-dated vols gain. 0%
Indeed, the SX5E 3M-1M term structure is now trading in its 1st Oct-18 Apr-19 Oct-19 Apr-20 Oct-20
quintile since 2008. Notably, SX5E 1y+ vols were lower w/w, Source: Credit Suisse Derivatives Strategy

even as short-dated vols gained. Consequently, we saw

Exhibit 6: SX5E 2021 div futures sold off ~10x vs their beta to SX5E
continued interest in forward vol structures as vol accounts
stepped in to buy long-dated (Jun22/Dec23) vols towards the 0%
end of the week.

DIVIDEND futures sold off, led by front-end of the curve. -1%

SX5E 2021 dividend futures led the decline, severely
underperforming (by ~10x) versus what historical equity beta
-2%
would suggest (Exhibit 6) while longer-dated divs were relatively
more resilient. This suggests that the sell-off was driven by
concerns around rising virus cases leading to renewed -3%
restrictions, which could potentially stall the recovery.

CORRELATIONS rise; SX5E 1M implied correlation increased -4%

by 7pts to 52% as macro concerns continue to overshadow 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029
potential earnings impact. As a result, 1M implied correlation is 1W change Move attributed to SX5E beta
now in line with the 1M realised correlation of 45%. Source: Credit Suisse Derivatives Strategy

(212
(
 EQUITY DERIVATIVES STRATEGY

Featured Equity Derivatives Trade Ideas

Overwrite Expensive Tech Earnings Vol
 The bid to Tech vol remains the biggest dislocation within the options market, with the QQQ-SPX implied vol spread widening again in
recent weeks – now at 3x its 10Y average and near a record high. The 2M QQQ-SPX implied vol spread is now higher than it was at
the start of last earnings season and is only exceeded by the August Tech vol squeeze (see Exhibit 1). Not surprisingly, most of the
bid to vol has come from the call-side as call buyers re-emerge (though often buying calls as stock replacement).
 For existing owners of large-cap Tech stocks, we like overwriting into earnings season as a way to take advantage of
this extreme bid to vol. Below, we screen for names within the Nasdaq that have 1) expensive upside vol (2M 110% strike implied
vol > 75th percentile), 2) near 52W highs (within 15% of 52-week high), 3) has liquid options (call open interest > 30k).
 On average, the stocks identified have an average implied volatility in the 80 th percentile high, are within 7.3% of their 52-
week highs, and generate a call-away return of 13.2% over a 2-months horizon. Please contact the desk for further earnings
vol screens. ***The risk to selling a covered call is being called away at the strike price.
Exhibit 1: QQQ-SPX 2M Implied Vol Spread at Extremes Exhibit 2: Top Call Overwriting Candidates (2M 10% OTM)

Source: CS Equity Derivatives Strategy Source: CS Equity Derivatives Strategy

Own relatively cheap earnings gamma in Europe

 Lockdowns & US elections overshadow earnings: Macro concerns such as rising virus cases, US elections, fiscal negotiations
and Brexit discussions continue to dominate market sentiment (justifiably so). With EU companies starting to report their 3Q earnings,
it will also be important to watch out for signs of if/how companies have emerged from a pandemic-induced trough. While it remains
to be seen if earnings can be a driving force in a period full of macro events, investors can nevertheless benefit from identifying cheap
single stock gamma to implement specific macro views, particularly as environment remains ripe for greater stock dispersion.
 What’s priced in? As highlighted in Exhibit 3 below, SX5E single stock vols continue to trade at a larger discount to index vol,
compared to SPX, which is admittedly driven by continued dislocation in US Tech vols.
 Screening for relatively cheap single stock gamma ahead of earnings: Amongst SX5E constituents that report within next month, we
screen for names where (a) implied volatility is low vs. its own history, (b) implied volatility is low relative to SX5E, vs. history, (c)
implied volatility is low vs. the recent realized volatility and (d) implied earnings move is low versus historical (2y average) realized move.
Exhibit 4 shows top 10 names that stand out when sorted by average cross-sectional rank of these measures (a, b, c and d).
 Siemens, Sanofi, Adidas, Santander and Airbus screen as top 5 attractive names to own gamma, based on above criteria.
Exhibit 3: SX5E single stock vols are low vs index, relative to SPX Exhibit 4: Screen for relatively cheap gamma ahead of earnings
20% SPX avg single stock vs index 1M implied vol spread 1M implied (A) 1M vol (B) 1M vol vs SX5E (C) 1M implied vs (D) Ratio of implied vs
Ticker
SX5E avg single stock vs index 1M implied vol spread vol (1y percentile) (1y percentile) realised vol ratio realised earnings move
18%
SIE GY 28% 46% 35% 0.76 1.21
16%
SAN FP 23% 49% 41% 1.05 0.96
14% ADS GY 32% 46% 36% 1.16 0.87
12% SAN SQ 46% 45% 47% 1.06 0.97

10% AIR FP 46% 45% 44% 1.20 0.95

DPW GY 27% 54% 44% 1.13 0.82
8%
BNP FP 40% 48% 40% 0.97 3.02
6%
ENEL IM 26% 44% 37% 1.11 5.83
4% BMW GY 33% 49% 26% 1.17 1.64
2% VOW3 GY 37% 54% 33% 1.28 1.08
Oct-18 Apr-19 Oct-19 Apr-20 Oct-20 Source: CS Equity Derivatives Strategy. Table sorted by cross-sectional rank of A, B,
Source: CS Equity Derivatives Strategy C and D. Please ask us for the full list and further details.

3
 EQUITY DERIVATIVES STRATEGY

Cross-Asset Correlation & Contagion

4
 EQUITY DERIVATIVES STRATEGY

Cross-Asset Volatility Analysis

Asset Class Implied and Realized Volatility
240% 100% 350% 100%
Asset Volatilities (1M Implied)

90% 300%

Asset Volatilities (1M Realized)

200% 80%
75%
70% 250%
160%
60% 200%
120% 50% 50%
40% 150%
80% 30% 100%
25%
40% 20%
50%
10%
0% 0% 0% 0%
1/1/20

2/1/20

3/1/20

4/1/20

5/1/20

6/1/20

7/1/20

8/1/20

9/1/20
10/1/19

11/1/19

12/1/19

10/1/20

6/1/20
1/1/20

2/1/20

3/1/20

4/1/20

5/1/20

7/1/20

8/1/20

9/1/20

10/1/20
10/1/19

11/1/19

12/1/19
VIX CDX (left axis) Oil (left axis)
VIX Oil (left axis) Rates (left axis) Gold FX (G7)
Rates (left axis) FX Gold

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Cross Asset Volatility Contagion Snapshot

How to read this chart: Equity volatility is represented by the dark blue circles at the bottom, whereas other asset volatilities are
represented by the light blue circles. The size of the circles represents the magnitude of each asset’s volatility relative to equity
volatility, while the size of overlap represents the degree of the volatility spillover onto equities.
Volatility Spillover: measures the degree of co-movement between equity volatility and the other asset class volatility. For example, a
volatility spillover number of 75% for an asset class means when that asset class volatility increases, 75% of the time, equity volatility
(VIX) will also increase. Please see page 5 for further details. Source: CS Derivatives Strategy

Cross Asset Correlation Snapshot (1M)

Equities Corporate Credit Commodities Foreign Exchange Rates

SPX RTY SX5E NKY EEM CDX IG LUCI US CDX HY Oil Gold Copper EURUSD GBPUSD AUDJPY USDJPY Tsy 10Y Tsy 30Y
SPX
RTY 83%
Equities

SX5E 36% 46%

NKY 20% 30% 38%
EEM 76% 67% 47% 20%
CDX IG -2% 29% 52% -8% -2%
Corporate

LUCI US -35% -55% -55% -34% -61% -18%

Credit

CDX HY -71% -74% -28% -5% -70% -7% 60%

Oil 10% 19% 32% 33% 22% 32% -27% -17%
Commodi-

Gold 43% 59% 43% 12% 42% 39% -40% -49% 7%

ties

Copper 14% 28% 10% -13% -2% 25% -29% -25% 13% 13%
EURUSD 43% 48% 46% 21% 55% 16% -50% -56% -2% 76% 2%
Exchange
Foreign

GBPUSD 44% 37% 56% 0% 47% 19% -29% -42% 0% 54% 28% 70%
AUDJPY 62% 59% 35% 24% 67% 5% -50% -67% -1% 56% 11% 82% 64%
USDJPY 3% 6% -13% 25% -13% 0% 6% 7% 20% -38% -23% -10% -36% 8%
Rates

Tsy 10Y 45% 49% 24% -7% 38% 10% -50% -55% 16% 24% 33% 45% 50% 49% 27%
Tsy 30Y 50% 58% 30% 3% 42% 12% -54% -55% 17% 34% 32% 49% 52% 53% 23% 98%

Source: CS Derivatives Strategy; correlations greater than 75% highlighted in red

5
 EQUITY DERIVATIVES STRATEGY

Cross-Asset Correlation Analysis

Weekly Change in Asset Correlations (1M) Cross-Asset Correlation Range (1Y)
8% 100%
80%
6%
Change in Correlation (ppts)

60%
4% 40%
20%
2%
0%
0% -20%
-40%
-2%
-60%
-4% -80%
-100%
-6% vs. Credit vs. Gold vs. Oil vs. EUR vs. Treasury
vs. Credit vs. Gold vs. Oil vs. EUR vs. Treasury
Source: CS Derivatives Strategy Source: CS Derivatives Strategy ♦ Last Close Value

Historical Asset Correlations

SPX vs. Gold (1M) SPX vs. 10Y Treasury Yield (1M) SPX vs. High Yield Credit (1M) SPX vs. Oil (1M)
80% 100% -100% 100%

-90%
60%
75% 75%
-80%
40%
-70%
50% 50%
20%
-60%

0% 25% -50% 25%

-20% -40%
0% 0%
-30%
-40%
-20%
-25% -25%
-60%
-10%
-80% -50% 0% -50%
Oct-19 Jan-20 Apr-20 Jul-20 Oct-19 Jan-20 Apr-20 Jul-20 Oct-19 Jan-20 Apr-20 Jul-20 Oct-19 Jan-20 Apr-20 Jul-20

Source: CS Derivatives Strategy

Cross-Asset Volatility Contagion Analysis

Weekly Change in Volatility Contagion (1M) Cross-Asset Volatility Contagion Range (1Y)
1% 100%
90%
1%
Change in Vol Contagion (ppts)

80%
70%
0%
60%
-1% 50%
40%
-1% 30%
20%
-2%
10%
-2% 0%
vs. Credit vs. Gold vs. EUR vs. Treasury vs. Oil vs. Credit vs. Gold vs. EUR vs. Treasury vs. Oil
Source: CS Derivatives Strategy Source: CS Derivatives Strategy ♦ Last Close Value

Historical Cross-Asset Volatility Spillover

SPX vs. Gold (1M) SPX vs. 10Y Treasury Yield (1M) SPX vs. High Yield Credit (1M) SPX vs. Oil (1M)
100% 100% 100% 100%

90% 90% 90% 90%

80% 80% 80% 80%

70% 70% 70% 70%

60% 60% 60% 60%

50% 50% 50% 50%
40% 40% 40% 40%
30% 30% 30% 30%
20% 20% 20% 20%
10% 10% 10% 10%
0% 0% 0% 0%
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-19 Jan-20 Apr-20 Jul-20 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-19 Jan-20 Apr-20 Jul-20

Source: CS Derivatives Strategy; please refer to page 5 on how we define and measure volatility spillover

6
 EQUITY DERIVATIVES STRATEGY

Equity Volatility & Correlation

7
 EQUITY DERIVATIVES STRATEGY

Global Index Volatility Snapshot

Equity Volatility Snapshot 1M Implied Volatility Range (1Y)
S&P 500 Euro Stoxx 50
90%
Volatility 1-Week Percentile Volatility 1-Week Percentile
Levels Change (1Y) Levels Change (1Y) 80%
Short-Dated Volatility
70%
1M Implied 22.9% 1.8% 60% 22.0% 2.0% 50%
1M Realized 19.0% -0.6% 48% 20.8% 2.8% 58% 60%
1M Imp-Rlz Spread 3.9% 2.4% 72% 1.1% -0.9% 61% 50%
Long-Dated Volatility
40%
1Y Implied 22.5% 0.1% 50% 19.8% 0.0% 43%
3Y Implied 21.5% -0.1% 55% 18.1% -0.1% 40% 30%
Skew & Term Structure 20%
3M Skew (90-110%) 11.2% 0.9% 39% 10.8% 0.8% 45%
7.1% 0.1% 15% 6.1% 0.0% 40% 10%
1Y Skew (90-110%)
1Y-1M Term Structure -0.3% -1.7% 30% -2.2% -2.0% 43% 0%
3Y-1Y Term Structure -1.1% -0.2% 54% -1.7% -0.1% 53% SPX RTY NDX SX5E DAX UKX NKY KOSPI2 HSI

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Implied vs Realized Volatility Weekly Change in Equity Index Vol

40% 3

35%
2.5

Wkly Chg in 1M ATM Vol (Pts)

Cheap
1M Realized Volatility

30% NDX
2
25%
HSI RTY 1.5
20% SPX
DAX
15% KOSPI2 SX5E 1
UKX
10% NKY
Rich 0.5

5%
5% 10% 15% 20% 25% 30% 35% 40% 0
1M Implied Volatility DAX NDX SX5E UKX SPX NKY

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Equity Index Volatility Time Series

Index Volatility (3M ATM) Index Skew (3M 90-110%)
70% 18%

60% 16%
14%
50%
12%
Skew (Spread)
Volatility

40% 10%

30% 8%
6%
20%
4%
10%
2%
0% 0%
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20
SPX 3M Imp Vol SX5E 3M Imp Vol NKY 3M Imp Vol SPX 3M Skew SX5E 3M Skew NKY 3M Skew
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Index Term Structure (2Y-3M) Index Relative Vol Heat Map

10%
5%
0%
-5%
Term Structure

-10%
-15%
-20%
-25%
-30%
-35%
-40%
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20
SPX TermStr SX5E TermStr NKY TermStr
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

8
 EQUITY DERIVATIVES STRATEGY

S&P 500 Index Volatility Surface

3M Implied & Realized Volatility SPX 1M, 6M, 2Y Implied Volatilities
70% 80%

60% 70%

50% 60%

50%
Volatility

Volatility
40%
40%
30%
30%
20%
20%
10% 10%

0% 0%
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20
SPX 3M Imp Vol SPX 3M Realized Vol SPX 1M Imp Vol SPX 6M Imp Vol SPX 2Y Imp Vol
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

SPX 3M Skew SPX Term Structure

90% Skew Range (1Y) Current Skew Skew (1W Ago) 80% Term Str Range (1Y) Current Term Str Term Str (1W Ago)
80%
70%
70%
60%
60%
50%
Volatility

50%

40% Volatility 40%

30%
30%

20% 20%

10% 10%

0% 0%
50 60 70 80 90 ATM 110 120 130 140 150 1M 2M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y
Strike Strike
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Euro Stoxx 50 Volatility Surface

SX5E 3M Implied & Realized Volatility SX5E 1M, 6M, 2Y Implied Volatilities
70% 80%

60% 70%

60%
50%
50%
Volatility

Volatility

40%
40%
30%
30%
20%
20%
10% 10%
0% 0%
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20
SX5E 3M Imp Vol SX5E 3M Realized Vol SX5E 1M Imp Vol SX5E 6M Imp Vol SX5E 2Y Imp Vol
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

SX5E Skew (3M) SX5E Term Structure

100% Skew Range (1Y) Current Skew Skew (1W Ago) 80% Term Str Range (1Y) Current Term Str Term Str (1W Ago)
90% 70%
80%
60%
70%
50%
60%
Volatility
Volatility

50% 40%
40% 30%
30%
20%
20%
10% 10%

0% 0%
50 60 70 80 90 ATM 110 120 130 140 150 1M 2M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y
Strike Strike
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

9
 EQUITY DERIVATIVES STRATEGY

VIX and VSTOXX

VIX Futures Curve V2X Futures Curve

Oct Nov Dec Jan Feb Mar Apr May Oct Nov Dec Jan Feb Mar Apr May
32 1.2 32 2.5

30 1.0 2.0
Nov

30
Dec

Feb
Jan
1.5
Oct

0.8

Mar

Apr

May
28 28 1.0
0.6

Oct
26 26 0.5
0.4

Feb
Nov

Jan
0.0

Mar

Apr

May
Dec
24 0.2 24
-0.5
22 0.0 22 -1.0
1m 2m 3m 4m 5m 6m 7m 8m 1m 2m 3m 4m 5m 6m 7m 8m

VIX futs curve 1W change (rhs) 1M ago 1W ago Latest V2X futs curve 1W change (rhs) 1M ago 1W ago Latest

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

VIX vs SPX Beta V2X vs SX5E Beta

15 Last 2y 15 Last 2y

10 y = -130.46x + 0.09 10
R² = 0.65

15-Oct
V2X daily change
VIX daily change

13-Oct
13-Oct

5 5

12-Oct
15-Oct

14-Oct
16-Oct

12-Oct

16-Oct
14-Oct

0 0

-5 -5
y = -126.28x + 0.02
R² = 0.67
-10 -10
-5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5% -5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5%
SPX daily return SX5E daily return

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

VIX Implied vs Realised Vol (of vol) V2X Implied vs Realised Vol (of vol)
250 250

200 200

150 150

100 100

50 50

0 0
Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20
VVIX VIX 1M realised (walk) vol V-VSTOXX V2X 1M realised (walk) vol

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

VIX vs SPX Volatility Ratio V2X vs SX5E Volatility ratio

10
10
9
9
8
8
7
7
6 6
5 5
4 4
3 3
2 2

1 1
Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20
VVIX/VIX ratio VIX/SPX 1M realised vol ratio V-VSTOXX/V2X ratio V2X/SX5E 1M realised vol ratio

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

10
 EQUITY DERIVATIVES STRATEGY

Dividend Monitor
Global Dividend Futures SX5E Dividend Futures Change
110 0%

100

90 -1%

80 2023
2020

2022

2024

2025
2021

2026

2027

2028

2029
-2%
70

60
-3%
50

40
-4%
1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029
SX5E SPX UKX NKY
1W change Move attributed to SX5E beta

Source: CS Derivatives Strategy; futures curve rescaled by setting 2019 dividends to 100 Source: CS Derivatives Strategy

SX5E Dividend Bottom-up SX5E Dividend Yield

180
159

5.5%
147

160
5.0%
126
124
122

122

108.2

140
118
117
116

116

115
114
113

110

4.5%
98.2

120
99

83.4

100 4.0%

80 3.5%
83.7
83.4

83.4

82.6
81.3
80.4

80.3
79.0

60
77.7
76.4

3.0%
40
2.5%
20
2.0%
0
1.5%
2005

2008

2012

2015

2019

2022

2025

2029
2006
2007

2009
2010
2011

2013
2014

2016
2017
2018

2020
2021

2023
2024

2026
2027
2028

'08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20

Realised Futures Bottom-up (bloomberg) SX5E 1y div yield SX5E 3y div yield SX5E 5y div yield

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Intra-index correlations
SPX Implied and Realised Correlation SX5E Implied and Realised Correlation
100% 100%
90% 90%
80% 80%
70% 70%
60% 60%
50% 50%
40% 40%
30% 30%
20% 20%
10% 10%
0% 0%
Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20

SPX 1M implied correlation (top 50) SPX 1M realised correlation (top 50) SX5E 1M implied correlation SX5E 1M realised correlation

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Variance Convexity
Variance Convexity Ratio Variance Convexity Spread
1.50 14%
1.45 12%
1.40
1.35 10%
1.30 8%
1.25
6%
1.20
1.15 4%
1.10
2%
1.05
1.00 0%
Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20

SPX 1M var/vol ratio SX5E 1M var/vol ratio SPX 1M var-vol spread SX5E 1M var-vol spread

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

11
 EQUITY DERIVATIVES STRATEGY

Macro/Equity ETF Volatility

Implied vs. Realized Volatility 1M Implied Volatility Range (1Y)
50 250
45
40 USO 200
Cheap
1M Realized Volatility

35 EWZ
30 QQQ 150
25
IWM
20 SPY 100
GLD
15 EEM
10
EFA Rich
TLT 50
5 HYG
0
0
0 10 20 30 40 50
SPY IWM QQQ EEM EWZ EFA USO GLD HYG TLT
1M Implied Volatility
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Macro ETFs (Biggest Weekly Vol Movers) Sector ETFs (Biggest Weekly Vol Movers)
3 3

2.5
2
Wkly Chg in 1M ATM Vol (Pts)

Wkly Chg in 1M ATM Vol (Pts)

1
1.5
0 1

-1 0.5

0
-2
-0.5
-3 -1

-4 -1.5
SLV EFA GLD QQQ HEDJ XLC XLK IYR XLV XLB XLI

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Equity ETF Volatility

Equity ETF Volatility (3M ATM) Equity ETF Skew (3M 90-110%)
80% 18%

70% 16%
14%
60%
12%
Skew (Spread)

50%
Volatility

10%
40%
8%
30%
6%
20% 4%
10% 2%
0% 0%
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20
QQQ 3M Imp Vol IWM 3M Imp Vol EEM 3M Imp Vol QQQ 3M Skew IWM 3M Skew EEM 3M Skew
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Equity ETF Term Structure (2Y-3M) Relative Vol Spreads (vs. SPX)
15% 15%
10%
5% 10%
0%
Implied Vol Spread
Term Structure

-5% 5%
-10%
-15%
0%
-20%
-25%
-30% -5%
-35%
-40% -10%
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20
QQQ TermStr IWM TermStr EEM TermStr QQQ-SPX 3M Vol Spd IWM-SPX 3M Vol Spd EEM-SPX 3M Vol Spd
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

12
 EQUITY DERIVATIVES STRATEGY

Intra-Sector Equity Correlations

Implied & Realized Correlation Snapshot Weekly Change in Realized Correlation (1M)
Implied Percentile Realized Percentile Imp-Rlz Percentile
Sector 20%
Corr (1M) (1Y) Corr (1M) (1Y) Spread (1Y)

15%
Materials (XLB) 55.0% 63% 67.2% 78% -12.2% 16%

Change in Correlation
Financials (XLF) 74.0% 60% 71.4% 71% 2.6% 28%
10%
Healthcare (XLV) 45.9% 60% 47.3% 61% -1.3% 39%
Energy (XLE) 74.9% 56% 84.6% 84% -9.7% 17% 5%
Utilities (XLU) 53.4% 53% 67.3% 69% -13.9% 20%
Technology (XLK) 60.0% 47% 61.2% 60% -1.1% 32% 0%
Cons Staples (XLP) 35.5% 43% 63.3% 81% -27.8% 6%
Industrials (XLI) 51.9% 42% 67.7% 76% -15.8% 8% -5%
Comm Svcs (XLC) 49.0% 28% 57.0% 71% -8.0% 21%
Cons Discr (XLY) 12.7% 6% 42.2% 69% -29.5% 2% -10%
S&P 500 Index (SPX) 37.7% 52% 40.4% 54% -2.7% 33% XLU XLY XLI XLP XLC XLF XLE SPX XLB XLK XLV
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Technology, Communication Services, & Financial Sector Correlations (1M)

Technology (XLK) Communication Services (XLC) Financials (XLF)
100% 100% 100%

80% 80% 80%

60% 60% 60%

40% 40% 40%

20% 20% 20%

Implied Correlation (1M) Implied Correlation (1M) Implied Correlation (1M)
Realized Correlation (1M) Realized Correlation (1M) Realized Correlation (1M)
0% 0% 0%
Oct-19 Jan-20 Apr-20 Jul-20 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-19 Jan-20 Apr-20 Jul-20
Source: CS Derivatives Strategy

Consumer Staples, Discretionary, & Healthcare Sector Correlations (1M)

Consumer Staples (XLP) Consumer Discretionary (XLY) Healthcare (XLV)
100% 100% Implied Correlation (1M) 100%
Implied Correlation (1M)
Realized Correlation (1M)
Implied Correlation (1M)
80% 80% 80% Realized Correlation (1M)
Realized Correlation (1M)

60% 60% 60%

40% 40% 40%

20% 20% 20%

0% 0% 0%
Oct-19 Jan-20 Apr-20 Jul-20 Oct-19 Jan-20 Apr-20 Jul-20 Oct-19 Jan-20 Apr-20 Jul-20
Source: CS Derivatives Strategy

Materials, Industrials, & Energy Sector Correlations (1M)

Materials (XLB) Industrials (XLI) Energy (XLE)
100% 100% 100%
Implied Correlation (1M)
Implied Correlation (1M) Realized Correlation (1M)
80% 80% 80%
Realized Correlation (1M)

60% 60% 60%

40% 40% 40%

20% 20% 20% Implied Correlation (1M)

Realized Correlation (1M)
0% 0% 0%
Oct-19 Jan-20 Apr-20 Jul-20 Oct-19 Jan-20 Apr-20 Jul-20 Oct-19 Jan-20 Apr-20 Jul-20
Source: CS Derivatives Strategy

13
 EQUITY DERIVATIVES STRATEGY

Commodity Volatility

14
 EQUITY DERIVATIVES STRATEGY

Commodity Overview - Oil

Oil Volatility Snapshot WTI Futures Curve
WTI Volatility (Commodity) USO Volatility (Equity) $46.0
Weekly Percentile Weekly Percentile
Latest Latest $45.0
Chg (1Y) Chg (1Y)
$44.0
1M Implied 42.7% 58% 39.3% 55%
$43.0
1M Realized 43.2% 58% 38.8% 58%
1M Imp-Rlz Spd -0.5% 43% 0.5% 35% $42.0

6M Implied 41.2% 57% 40.3% 54% $41.0

6M Realized 62.0% 42% 41.5% 39% $40.0
6M Imp-Rlz Spd -20.8% 54% -1.2% 79%
$39.0
1M Skew 12.6% 67% 8.8% 60% $38.0
6M-1M Trm Str -1.5% 51% 1.0% 56% NOV 20 FEB 21 MAY 21 AUG 21 DEC 21 MAR 22 JUN 22 SEP 22
Latest (Oct-16) A Week Ago (Oct-09)
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

WTI Volatility (Commodity) USO Volatility (Equity)

WTI Implied vs. Realized Vol USO Implied vs. Realized Vol
600 300

500 250

400 200

Volatility (%)
Volatility (%)

300 150

200 100

100 50

0 0
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-20
1M Implied 1M Realized 1M Implied 1M Realized

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

WTI Skew (Front Month) USO Skew (1M)

250 90
Front Month Skew (25-Delta) 1M Skew (25-Delta)
80
200 70
60
150
50
Skew (%)
Skew (%)

40
100
30
20
50
10

0 0
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-20 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20
-10
-50 -20
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

WTI Volatility Term Structure USO Volatility Term Structure

44 44

42 42

40 40
Volatility (%)
Volatility (%)

38 38

36 36

34 34

32 32

30 30
1M 2M 3M 6M 1Y 1M 2M 3M 6M 1Y
Latest (Oct-16) A Week Ago (Oct-09) Latest (Oct-16) A Week Ago (Oct-09)
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

15
 EQUITY DERIVATIVES STRATEGY

Commodity Overview - Gold

Gold Volatility Snapshot Comex Gold Futures Curve
Gold Volatility (Commodity) GLD Volatility (Equity) $2,050
Weekly Percentile Weekly Percentile
Latest Latest $2,030
Chg (1Y) Chg (1Y)
$2,010
1M Implied 17.5% 51% 18.5% 59% $1,990
1M Realized 15.4% 48% 15.2% 58% $1,970
1M Imp-Rlz Spd 2.2% 78% 3.3% 72% $1,950
$1,930
6M Implied 19.3% 49% 18.8% 47%
$1,910
6M Realized 17.9% 43% 17.7% 45%
6M Imp-Rlz Spd 1.4% 80% 1.1% 66% $1,890
$1,870
1M Skew -2.0% 23% -0.6% 91% $1,850
6M-1M Trm Str 1.7% 60% 0.4% 37% OCT 20 APR 21 OCT 21 APR 22 DEC 22 JUN 24 DEC 25
Latest (Oct-16) A Week Ago (Oct-09)
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Comex Gold Volatility (Commodity) GLD Volatility (Equity)

Gold Implied vs. Realized Vol GLD Implied vs. Realized Vol
60 50

50 40

40
Volatility (%)
Volatility (%)

30
30
20
20

10
10

0 0
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-20
1M Implied 1M Realized 1M Implied 1M Realized

Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Gold Skew (Front Month) GLD Skew (1M)

30 8
Front Month Skew (25-Delta)
6 1M Skew (25-Delta)
25
4
20
2

15 0
Skew (%)

-2
Skew (%)

10
-4
5 -6

0 -8
-10
-5
-12
-10 -14
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 Oct-20 Nov-19 Jan-20 Mar-20 May-20 Jul-20 Sep-20
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Gold Volatility Term Structure GLD Volatility Term Structure

24 24

23 23

22 22
21 21
Volatility (%)
Volatility (%)

20 20
19 19
18 18
17 17
16 16
15 15
14 14
1M 2M 3M 6M 1Y 2Y 1M 2M 3M 6M 1Y
Latest (Oct-16) A Week Ago (Oct-09) Latest (Oct-16) A Week Ago (Oct-09)
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

16
 EQUITY DERIVATIVES STRATEGY

Interest Rate Volatility

17
 EQUITY DERIVATIVES STRATEGY

Interest Rate Monitor

Fed Fund Futures Eurodollar Curve
0.1 1
1-Week Ago Current 0.9
0.08 0.8
0.7
0.06
0.6

Yield (%)
Yield (%)

0.04 0.5
0.4
0.02 0.3
0.2
0
0.1
0
-0.02
Dec'20 Sep'21 Jun'22 Mar'23 Dec'23 Sep'24 Jun'25
Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Current 1-Week Ago
Fed Fund Futures (Next 12M)
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

US Treasury Yield Curve Inflation Monitor

1.8 0
2.4 2.2
1.6 2
-0.5 2.2
1.4 1.8
1.2 -1 2 1.6
Change (bps)
Yield (%)

1 1.4
1.8
Rate (%)
-1.5
0.8 1.2
1.6
0.6 -2 1

0.4 1.4 0.8

-2.5
0.2 0.6
1.2 US 5Y5Y Forward Inflation
0 -3 0.4
US 5Y Inflation Swap (Right)
2Y 3Y 5Y 7Y 10Y 30Y 1 0.2
Change (Right Axis) Current Yield 1-Week Ago Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Swaption Implied Volatility

USD Swaption Implied Volatility Surface Weekly Change in Implied Vol
1

0.5

0
Normals

-0.5

-1

-1.5

-2
1Mx2Y 1Mx5Y 1Mx10Y 1Yx2Y 1Yx5Y 1Yx10Y
Gamma Vega
Source: CS Derivatives Strategy Source: CS Derivatives Strategy

Skew & Term Structure

30
10Y Treasury Skew (Put-Call) 220 10Y Tail Volatility Term Structure
20
200 1-Year Range Current 1-Week Ago
10
180
0
Volatility (Normals)

160
bp/annual

-10
140
-20
120
-30 100
-40 80
-50 60
TY 2M 5-Strk Skew (Put-Call)
-60 40
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 Aug-20 1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y
Source: CS Derivatives Strategy TY: 1-Strike=$0.50 Source: CS Derivatives Strategy

18
 EQUITY DERIVATIVES STRATEGY

Foreign Exchange (FX) Volatility

19
 EQUITY DERIVATIVES STRATEGY

Foreign Exchange (FX) Monitor

Foreign Exchange (FX) Snapshot Weekly Change in Spot (USD Base)
Spot YTD Chg 1M Imp Vol Percentile 1M Skew** Percentile 0.0%
Majors
-0.2%
EUR 1.1717 4.5% 6.7% 48% -0.20% 57%
JPY 105.41 3.0% 7.0% 71% 1.12% 51% -0.4%

Weekly Change (%)

GBP 1.2936 -2.4% 10.9% 77% 1.20% 58%
CHF 0.9153 5.6% 6.3% 53% 0.45% 5% -0.6%

CAD 1.3175 -1.4% 7.0% 66% -0.35% 48%

-0.8%
AUD 0.7101 1.1% 10.3% 59% 1.25% 61%
NZD 0.6622 -1.8% 10.4% 59% 1.10% 61% -1.0%
Crosses USD Strength
-1.2%
AUDJPY 74.846 1.9% 11.4% 62% 2.48% 67% USD Weakness
EURGBP 0.90573 -6.6% 9.0% 73% -1.20% 40% -1.4%
CHFJPY 115.158 -2.5% 6.2% 43% 0.44% 73% EUR JPY GBP CHF CAD AUD NZD
Source: CS Derivatives Strategy; ** Skew defined as the difference in imp vol between the 25-delta put vs. call Source: CS Derivatives Strategy

1M Implied Vol 1-Year Range Weekly Change in 1M Implied Volatility

32% 0.20

0.10
27%
0.00

Change in Vol (pts)

1M Implied Vol

22%
-0.10

17% -0.20

-0.30
12%
-0.40
7%
-0.50
2%
-0.60
EUR JPY GBP CHF CAD AUD NZD EUR JPY GBP CHF CAD AUD NZD
Source: CS Derivatives Strategy ♦ Last Close Value Source: CS Derivatives Strategy

Implied vs. Realized Volatility

18% 28% 34%
EURUSD 1M Vol USDJPY 1M Vol AUDUSD 1M Vol
16%
1M Implied Vol 1M Realized Vol 29%
1M Implied Vol 1M Realized Vol 23% 1M Implied Vol
14%
24% 1M Realized Vol
12%
Volatility (%)

18%

10% 19%

8% 13%
14%
6%
8%
9%
4%

2% 3% 4%
Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20
Source: CS Derivatives Strategy

Volatility Skew
10.0% 13.0%
9.4% EURUSD 1M Skew USDJPY 1M Skew AUDUSD 1M Skew
9.5% 12.5%
Current Skew
8.9% Current Skew 9.0% Current Skew 12.0% Skew (1Wk Ago)
Skew (1Wk Ago)
8.4% 1Y average 8.5% Skew (1Wk Ago) 11.5% 1Y average
8.0% 1Y average 11.0%
Volatility

7.9%
7.5% 10.5%
7.4% 7.0% 10.0%
6.5% 9.5%
6.9%
6.0% 9.0%
6.4% 5.5% 8.5%

5.9% 5.0% 8.0%

10D Put 25D Put ATM 25D Call 10D Call 10D Put 25D Put ATM 25D Call 10D Call 10D Put 25D Put ATM 25D Call 10D Call

Source: CS Derivatives Strategy

20
 EQUITY DERIVATIVES STRATEGY

Credit Suisse Equity Derivatives (US) Credit Suisse Equity Derivatives (EMEA)

Equity Derivatives Strategy Equity Derivatives Strategy

Mandy Xu Anshul Gupta

Equity Derivatives Strategy Equity Derivatives Strategy
+1 212 325 9628 +44 208 888 8888
mandy.xu@credit-suisse.com anshul.gupta.3@credit-suisse.com

Equity Derivatives Sales Equity Derivatives Sales

Elaine Sam Luca Lodi-Rizzini

Head, Derivatives Sales Head, Derivatives Sales
+1 212 325 5072 +44 207 888 0291
elaine.sam@credit-suisse.com luca.lodirizzini@credit-suisse.com

Peter Janney David Cohen

Head, Flow Derivatives Sales Co-Head, Flow Derivatives Sales
+1 212 325 6338 +44 207 883 0091
peter.janney@credit-suisse.com david.cohen@credit-suisse.com

Mike Heraty Steven Jorgensen

Head, Institutional Derivatives Sales Co-Head, Flow Derivatives Sales
+1 212 325 8464 +44 207 883 0212
michael.heraty@credit-suisse.com steven.jorgensen@credit-suisse.com

Rose Lee
Head, Structured Products Sales & Development
+1 212 325 4128
rose.lee@credit-suisse.com

21
 EQUITY DERIVATIVES STRATEGY

US Disclaimer:
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 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.

This material is intended for your use only and not for general distribution. This material is not intended to promote or procure a particular outcome in the UK
referendum on membership of the European Union (the “Referendum”). Credit Suisse does not promote or endorse either campaign in the Referendum. This
material does not constitute, and should not be interpreted as, a recommendation by Credit Suisse as to the merits of a particular outcome of the
Referendum.”

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 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.
6. 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.

EMEA Disclaimer:
Please follow the attached hyperlink to an important disclosure: http://www.credit-suisse.com/legal_terms/market_commentary_disclaimer.shtml.
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.cboe.com/LearnCenter/pdf/characteristicsandrisks.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.

This material has been issued by Credit Suisse International, which is authorised by the Prudential Regulation Authority (“PRA”) and regulated by the Financial
Conduct Authority (“FCA”) and the Prudential Regulation Authority in the United Kingdom. This material has been prepared by individual traders or sales
personnel of CS 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
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/

© 2020, CREDIT SUISSE

22