ETF指南：对医疗保健行业的看涨预测

ETF Compass.xlsxInt'l EquityRatesCreditComdty2m 50d IVIV-RV2m/6m TSIV vs IndxStraddleVolScort94%92%989%87%100%94%86%95%85%81%70%83%96%47%64%96%77%76%88%76%84%%5962%75%77%91%80%68%56%74%84%67%64%85%60%72%72%77%74%48%67%68%73%50%65%12%73%67%Richest78%47%84%67%56%66%Vol83%18%68%66%66%15%50%C47%17%52%36%Cheapest14%87919%54%35%vol119%966933%9%60%35%11%%923%15%69%35%15%65%4%26%59%34%29%2%38%27%58%31%13%42%5%17%70%29%3%20%26%11%82%28%5%60%21%10%42%27%12%31%16%3%51%[23%65%85%56%48%63%47%%60641%7%50%47%Popular72%85%53%42%61%63%Hedging53%Options30%86%22%62%51%Restricted -External Global Equity Derivatives StrategyStefano Pascale+12125267983stefano.pascale@barclays.comBCI, USRiddhiman Dass+12125260850riddhiman.dass@barclays.comBCI, USZhiyuan Fan+12125265530zhiyuan.fan@barclays.comBCI, US Weekly changes in key volatility metricsFIGURE 2. Volatility remained largely unchanged across asset classes. Notably, it continues to hover at or slightly below long-term averages-except in commodities, where it remains historically elevated.While commodity options still price-in significant upside risk relative todownside risk from a historical perspective, it has moderated somewhat compared to a week ago, likely reflecting a partial unwinding of thegeopolitical risk premium.z-scoresVolatilitySkewVol TS3.01.5000.0-1.5-3.0US Eq.RatesreditComdtyRatesCreditComdtyUS Eq.Int'l Eq.RatesIsn■30-Jun-25■ 8-Jul-25o Change (rhs)ETF Vol/Skew/Vol TS (term-structure)/norm. OI (open interest) average z-scores = intra asset-class average of z-scores expressed as 1-week MA across US Equity, Int'l Equity,Rates, Credit, and Commodity ETFs.Source: OptionMetrics, Bloomberg.Data as of 8-Jul-25.eC微信10 July2025 Norm. OlX-asset avg.2.01.000.0-1.0-2.0CreditComdtyUS Eq.Int'l Eq.RatesCreditComdtySkewSNorm. O12 Highlights of the week: Sentiment on XLV (Health Care) screens bullish, as the call-to-put ratio has risen to thehighest level in two years along flattening skew (Figure 3). Surprisingly, this comes in the faceof increased uncertainty and potential headwinds ranging from sector tariffs, to medicaidcuts as part of the Big Beautiful Bill.Wenoted recentlythatbuying callson regional banks (KRE)wasattractiveas astockreplacement strategy given the recent rally coupled with M&A optimism (see Figure 16 inFroth comes forth); interestingly, the call-to-put open interest ratio has now reached itshighest level since the SvB crisis in Mar-23 (Figure 4)FIGURE4.Call-to-put open interest ratio has risen to the highest levelsince the SVB / regional banking crisis1.20.100.051.00.000.050.80.100.60.150.200.40.250.300.20.355550.02三222Octupside vs downside vol (rhs)Source: OptionMetrics, Barclays Derivatives Research KRE call/put open interest ratioCalls dominate puts to highestextent since SVB crisis of Mar23SVB Crisis333334444445553 ETF Volatility LandscapeSentiment ScreenFIGURE 5. Top 10 ETFs with Most Bearish/Bullish Sentiment; Red = Bearish, Green = BullishUS EquityInt'l Equity2yr %-ile of:PC OIUSo (US Oil)93%EWU (UK)90%TLT (20+ Yr Treas)72%GDX (Gold Miners)92%XBI (SPDR Biotech)71%XOP (Oil & Gas E&P)98%XRT (Retail)18%XLP (Staples)79%39%GLD (Gold)XLE (Energy)80%IWM (Russell 2000)47%TIP (TIPS Bonds)25%XHB (Homebuilders)4%SMH (VanEck Semis)97%IEF (7-10 Yr Treas)2%XLV (Health Care)3%KRE (Regional Banks)0%QQQ (Invesco QQQ)15%XLU (Utilities)80%EWZ (Brazil)0%The Sentiment Indicator is a weighted average of 2yr %-ile across: 1-week moving average of the Put-to-Call Open Interest Ratio, 2-week change in the 1-week movingaverage of the Put-to-Call Open Interest Ratio, 1-week moving average of 2m 25-delta skew, 2-week change in skew, 2-week ETF flow, SI and 2-week change in SI (expressedas a %-age of AUM. The weighting scheme is such that the put-to-call open interest, skew, ETF-flow, and Sl metrics contribute equally to our Sentiment IndicatorSource: OptionMetrics, Bloomberg. Data as of 8-Jul-25.10 July2025 RatesCredit△PC O1SkewASkewETF flow94%12%100%16%100%86%86%21%82%43%62%19%3%54%79%22%83%54%83%54%96%47%58%10%34%58%85%13%77%80%66%25%48%54%80%6%94%55%60%33%1%55%0%61%25%31%89%44%42%31%34%78%%671%1%96%46%39%%955%19%33%21%56%2%56%1%74%91%76%8%82%51%34%44%91%4%43%21%%86 4 Skew ScreenFIGURE6.Top 10ETFs with expensive skewUS EquityFXI (FTSE China)EWJ (Japan)EEM (EM Markets)ICLN (Clean Energy)KWEB (China Internet)JETS (Airlines)DXJTAN (Solar Energy)EWT (Taiwan)XLI (Industrials)delta call implied vol, normalized by 2m 50-delta implied vol, i.e., 1w MA 2m (25dput- 25d call)/50d IVOL. This measure of normalized delta skew (as opposed tomoneyness skew) allows for easier comparison across ETFs with wildly differentbase volatility levels.Source: OptionMetrics, Bloomberg. Data as of 8-Jul-25.10July2025 Int'lEquityRatesActual Skew0.00.20.20.40.20.20.10.40.30.20.20.375%80%85%2yr %-ile of skew delta call implied vol, normalized by 2m 50-delta implied vol, i.e., 1w MA 2m (25dput- 25d call)/5od IVOL. This measure of normalized delta skew (as opposed tomoneyness skew) allows for easier com