Top volatility plays: BankUnited, Schlumberger, Teva, HCC Insurance, Quanex, Merrill says

By Ronda Fears

Nashville, Oct. 15 - Given the recent run-up in market volatility, or the old VIX, there are an increasing number of opportunities for convertible players, Merrill Lynch convertible analyst Tatyana Hube said in a report.

At the top of the list, according to Merrill's research, are the HCC Insurance Holdings 1.3% notes due 2023, BankUnited Financial 3.125% due 2034, the Schlumberger 2.125% due 2023, the Teva Pharmaceuticals Financial 0.25% due 2024 and the Quanex Corp. 2.5% due 2034.

Among the largest by market value, and therefore more liquid names, on the list were the General Motors 6.25% due 2033, the Liberty Media/America Online 0.75% due 2023, the Schlumberger 1.5% due 2023, the Eastman Kodak 3.375% due 2033 and the Sepracor 0% due 2024.

The report lists the top 50 equity volatility sensitive convertibles by adjusted Vega, which is the raw Vega divided by the convertible price, in order to make securities of different par values and price levels comparable to one another.

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