FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES
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1 FEDERAL RESERVE BANK OF MINNEAPOLIS BANKING AND POLICY STUDIES Minneapolis Options Report July 25 th Banks Trading volumes were higher relative to two weeks ago but remained light. Stocks with above average activity included: BBT, BK, C, WFC, KEY, and USB. The CCAR firms have reported earnings since our last report. The median earnings surprise was 5.4%, revenue surprise was 1.6%, and price response was 1.1%. 82% and 65% of the firms beat their street estimates for earnings and revenues respectively. Share prices are higher relative to two weeks ago. The median CCAR firm s stock price rose 4.2% Tail risks fell pervasively across the industry as indicated by declines in RNPD standard deviations relative to last period. RNPD volatilities are near three and a half year lows for the universe of banks we follow. Correspondingly, risk neutral probabilities of large price changes are also extremely low. 35.0% Median CCAR Bank RNPD Standard Deviation 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 1/2010 2/2010 4/2010 5/2010 7/2010 8/ / /2010 1/2011 2/2011 4/2011 5/2011 7/2011 8/ / /2011 1/2012 2/2012 4/2012 5/2012 7/2012 8/ / / /2012 2/2013 3/2013 5/2013 6/2013 7/2013 Additional notes: The RNPD derived from options on MS shares skewed more to the downside after an 8.65% price increase. The majority of firms posted less negative skews. Trading in options on C and MS shares was dominated by put transactions (see arrows in chart below). Trading in options on BK, BBT, KEY, and USB was dominated by call transactions. Page 1 of 3
2 Other Commodity Markets Volumes for options on the S&P 500 index rose for twelve month expiries but fell substantially for six month expiries. The RNPDs associated with those options were largely unchanged. For the third report in a row, we highlight elevated activity in options on the grains. Options on gold, silver, and oil futures also continue to trade at above average levels. As with the bank RNPDs, RNPD standard deviations declined across the range of commodities. Additional notes: Trading was again active for options on WTI crude futures but less so on Brent. Spot prices rose more than 1.5% for WTI and were flat for Brent relative to two weeks ago. We have begun to see an increase in trading on options on WTI futures relative to options on Brent futures. (See Oil Reports). 2.5 Options Trading Volume WTI futures vs. Brent futures (6 month expiries) /2012 5/2012 5/2012 6/2012 7/2012 8/2012 9/ / / /2012 1/2013 2/2013 3/2013 4/2013 5/2013 5/2013 6/2013 7/ Tail risks declined in foreign exchange markets. The decrease was particularly sharp in dollar-yen where the RNPD standard deviation dropped 100 basis points. The increased tail risk in the dollar-pound exchange rate market noted in the last report reversed. Volumes were brisk again in options on dollar-pound futures and above average in the other two markets. (See Exchange rate reports) Page 2 of 3
3 Grain prices dropped precipitously over the past two weeks with corn falling -9.2%, soybeans falling -5.2%, and wheat falling -5.1%. At the same time, the RNPD standard deviations for corn and wheat fell nearly -2%. On the other hand the RNPD standard deviation for soybeans rose nearly 2%. (See grain market reports) Trading volumes for options on gold and silver futures remained high. Tail risks, as measured by RNPD standard deviation fell for the second report in a row. (See gold and silver reports) The DJ Real Estate Index ETF fell -2.4% over the past two weeks. Options trading was highest we have measured since January 2010 and we note that many of the underlying REITs have been reporting earnings in recent days. Performance of the ETF has been very sensitive to changing market views of interest rates. Nevertheless, the shape of the RNPD has changed only slightly since the last report. (See Real Estate report) Trading Volumes for Options on the DJ Real Estate Index ETF /2010 2/2010 4/2010 5/2010 7/2010 8/ / /2010 1/2011 2/2011 4/2011 5/2011 7/2011 8/ / /2011 1/2012 2/2012 4/2012 5/2012 7/2012 8/ / / /2012 2/2013 3/2013 5/2013 6/2013 7/2013 Since the last FOMC meeting, risk neutral expectations for high inflation have risen. Notably, in recent days, near term expectations have begun to reverse while longer term expectations have not. (Also see inflation reports) 14% Risk Neutral Probabilities of Inflation >=4% 12% 10% 8% 6% 4% 2% 0% 6/18/2013 6/20/2013 6/22/2013 6/24/2013 6/26/2013 6/28/2013 6/30/2013 7/2/2013 7/4/2013 7/6/2013 7/8/2013 7/10/2013 7/12/2013 7/14/2013 7/16/2013 7/18/2013 7/20/2013 7/22/2013 7/24/ Year Horizon 5 Year Horizon Page 3 of 3
4 FRB of Minneapolis Updated with data through Aggregate Volumes for Options on CCAR Banks /26/ /30/ /29/ /30/ /28/ /10/2013 % of Volume < 0 % of Volume < -20% Volumes for Options on CCAR Banks AXP BAC BBT BK CITI COF FITB GS JPM KEY MS PNC RF STI STT USB WFC % of Volume < 0 % of Volume < -20%
5 FRB of Minneapolis Updated with data through Aggregate Volume --CCAR Banks (% of volume traded in deep out-of-the-money calls LESS % of volume traded in deep out-of-the-money puts) /15/ /31/ /15/2012 CCAR Bank Volume -- Last Three Periods AXP BAC BBT BK CITI COF FITB GS JPM KEY MS PNC RF STI STT USB WFC 06/27/2013
6 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- AMERICAN EXPRESS Probability of a Large % 0.39% 12.41% -0.50% 11.09% % 0.69% 11.93% -0.20% 10.30% % 0.31% -0.48% 0.30% -0.79% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
7 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- BANK OF AMERICA Probability of a Large % -0.07% 14.74% -0.90% 13.14% % 0.04% 14.21% -0.78% 12.68% % 0.12% -0.53% 0.12% -0.45% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
8 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- BB&T Probability of a Large % 0.86% 10.18% -0.18% 9.16% % 1.02% 8.92% -0.02% 7.99% % 0.16% -1.26% 0.17% -1.17% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
9 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- BANK OF NEW YORK MELLON Probability of a Large % 1.56% 13.47% -0.09% 12.15% % 0.96% 12.47% 0.02% 10.64% % -0.60% -1.00% 0.11% -1.50% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
10 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- CITIGROUP Probability of a Large % 0.81% 15.88% -0.04% 13.31% % 1.41% 14.05% 0.38% 11.70% % 0.60% -1.83% 0.42% -1.61% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
11 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- CAPITAL ONE Probability of a Large % 1.41% 13.97% 0.01% 12.29% % 2.03% 11.49% 0.34% 10.34% % 0.61% -2.48% 0.34% -1.95% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
12 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- FIFTH THIRD Probability of a Large % 0.98% 11.72% -0.58% 11.26% % 0.52% 10.95% -0.41% 10.14% % -0.46% -0.77% 0.17% -1.12% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
13 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- JP MORGAN Probability of a Large % 0.51% 11.70% -0.35% 10.34% % 0.74% 11.07% -0.08% 9.46% % 0.23% -0.63% 0.27% -0.88% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
14 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- KEYCORP Probability of a Large % -0.41% 15.88% -0.82% 13.56% % -0.23% 13.29% -0.50% 11.55% % 0.18% -2.59% 0.32% -2.01% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
15 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- MORGAN STANLEY Probability of a Large % 1.91% 18.63% -0.24% 16.49% % 1.47% 16.13% -0.16% 14.23% % -0.44% -2.49% 0.08% -2.25% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
16 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- PNC FINANCIAL Probability of a Large % 0.68% 11.45% -0.73% 10.99% % 0.36% 10.84% -0.64% 9.88% % -0.32% -0.61% 0.09% -1.11% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
17 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- SUNTRUST Probability of a Large % 0.85% 14.86% -0.56% 13.27% % 0.79% 12.91% -0.32% 11.65% % -0.07% -1.95% 0.24% -1.61% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
18 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- STATE STREET Probability of a Large % 0.23% 13.78% -1.06% 12.83% % 0.40% 12.37% -0.04% 10.19% % 0.17% -1.41% 1.02% -2.64% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
19 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- US BANCORP Probability of a Large % 0.51% 8.60% -0.24% 7.70% % 0.23% 8.29% -0.06% 6.89% % -0.28% -0.31% 0.18% -0.81% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
20 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- WELLS FARGO Probability of a Large % 0.56% 11.84% -0.36% 10.52% % 0.56% 10.93% -0.46% 9.92% % -0.00% -0.91% -0.10% -0.59% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013
21 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- S&P 500 derived from options that expire in approximately 6 months Probability of a Large % 0.85% 11.03% -0.65% 10.63% % 1.09% 10.79% -0.53% 10.49% % 0.24% -0.25% 0.13% -0.14% /24/2008 3/4/2009 4/13/2010 5/23/2011 7/1/2012
22 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- S&P 500 derived from options that expire in approximately 12 months Probability of a Large % 1.60% 16.39% -1.48% 16.98% % 1.91% 16.22% -1.26% 16.80% % 0.31% -0.17% 0.22% -0.18% /24/2008 3/4/2009 4/13/2010 5/23/2011 7/1/2012
23 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- CRUDE OIL FUTURES (WTI) derived from options that expire in approximately 6 months Probability of a Large % 1.02% 18.46% -0.19% 15.95% % 1.37% 18.26% 0.10% 15.66% % 0.35% -0.19% 0.29% -0.29% /11/2011 9/4/2011 2/28/2012 8/23/2012 2/16/2013
24 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- CRUDE OIL FUTURES (Brent) derived from options that expire in approximately 6 months Probability of a Large % 0.88% 18.20% -0.16% 15.67% % 1.34% 17.03% 0.08% 14.69% % 0.46% -1.17% 0.24% -0.98% /9/2012 9/3/ /28/2012 2/22/2013 5/19/2013
25 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- CORN FUTURES derived from options that expire in approximately 6 months Probability of a Large % -1.85% 24.31% -1.44% 20.35% % -1.11% 22.20% -0.92% 18.61% % 0.74% -2.11% 0.52% -1.74% /11/2011 9/4/2011 2/28/2012 8/23/2012 2/16/2013
26 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- SOYBEAN FUTURES derived from options that expire in approximately 6 months Probability of a Large % -0.12% 17.81% -0.25% 14.68% % 0.63% 20.08% 0.08% 16.40% % 0.75% 2.27% 0.34% 1.73% /11/2011 9/4/2011 2/28/2012 8/23/2012 2/16/2013
27 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- WHEAT FUTURES derived from options that expire in approximately 6 months Probability of a Large % -1.42% 21.98% -1.12% 18.30% % -1.34% 19.95% -0.81% 16.29% % 0.09% -2.03% 0.31% -2.01% /11/2011 9/4/2011 2/28/2012 8/23/2012 2/16/2013
28 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- GOLD FUTURES derived from options that expire in approximately 6 months Probability of a Large % 1.03% 17.89% -0.21% 15.68% % 1.31% 16.44% 0.09% 14.20% % 0.28% -1.45% 0.30% -1.49% /11/2011 9/4/2011 2/28/2012 8/23/2012 2/16/2013
29 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- SILVER FUTURES derived from options that expire in approximately 6 months Probability of a Large % 1.09% 26.53% -0.78% 23.74% % 0.98% 25.26% -0.47% 22.01% % -0.10% -1.27% 0.30% -1.73% /11/2011 9/4/2011 2/28/2012 8/23/2012 2/16/2013
30 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- DOLLAR-EURO EXCHANGE RATE FUTURES Probability of a Large -5.97% 0.23% 5.76% 0.07% 4.63% % 0.27% 5.15% 0.11% 4.15% % 0.04% -0.62% 0.04% -0.48% /9/2011 1/3/2012 5/29/ /23/2012 3/19/2013 Decrease <= -10% [stronger $] Increase >= 10% [weaker $]
31 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- DOLLAR-POUND EXCHANGE RATE FUTURES Probability of a Large -6.21% 0.29% 5.87% 0.05% 4.79% % 0.33% 5.53% 0.12% 4.46% % 0.05% -0.34% 0.07% -0.33% /9/2011 1/3/2012 5/29/ /23/2012 3/19/2013 Decrease <= -10% [stronger $] Increase >= 10% [weaker $]
32 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- DOLLAR-YEN EXCHANGE RATE FUTURES Probability of a Large % -0.69% 9.33% -0.25% 7.46% % -0.26% 8.19% -0.06% 6.47% % 0.42% -1.14% 0.19% -1.00% /9/2011 1/3/2012 5/29/ /23/2012 3/19/2013 Decrease <= -10% [stronger $] Increase >= 10% [weaker $]
33 FRB of Minneapolis Updated with data through RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- ishares DOW JONES US REAL ESTATE Probability of a Large % 0.61% 9.21% -0.53% 8.75% % 0.34% 9.19% -0.42% 8.37% % -0.27% -0.02% 0.12% -0.38% /26/2010 3/6/ /15/2011 5/25/2012 1/3/2013 Decrease <= -10% Increase >= 10%
34 FRB of Minneapolis Updated with data through 7/24/2013 RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- Inflation Caps & Floors Probabilty of Deflation and High Inflation over the next 12 Months Probability Deflation Inflation >= 4% 10/5/2009 7/9/2010 4/12/2011 1/14/ /17/2012 7/21/2013 Risk Neutral Density Function for Inflation over the next 12 Months 3 Months Ago [4/24/2013] Current [7/24/2013] Probability Annual Rate of Inflation
35 FRB of Minneapolis Updated with data through 7/24/2013 RISK NEUTRAL PROBABILITY DENSITY FUNCTIONS -- Inflation Caps & Floors Probabilty of Deflation and High Inflation over the next 5 Years Probability Deflation [5-day mov avg] Inflation >= 4% [5-day mov avg] 10/5/2009 7/9/2010 4/12/2011 1/14/ /17/2012 7/21/2013
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