CIO Derivatives Top Ideas

This report highlights derivative trade ideas for June 2026, focusing on lookback put spreads for equity hedging, worst-of sector baskets for yield, and call spread collars for gold participation.

Key Takeaways

• 1.Use lookback put spread options on the S&P 500 to hedge against periodic equity drawdowns.
• 2.Worst-of options on a basket of US equity sectors (financials, consumer discretionary, industrials) offer attractive yields due to high sector volatility and low correlation.
• 3.Gold call spread collars are attractive as put-implied volatility has risen, allowing for a downside buffer while maintaining upside exposure.

Table of Contents

• Summary: Derivatives - top ideas
• Hedging: Hedges that can sustain sharp rallies
• Yield enhancement: Take advantage across sector dispersion
• Participation: Take advantage of flip in gold volatility skew
• Overview: Summary of previously highlighted trades
• Risk information

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