Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> option implied volatility is stabilizing at an elevated level. This Insight analyses term structure, skew, open interest, and more.</li>
<li>We identify a tactical option opportunity that profits from the current volatility structure.</li>
<li>Are Consumer Price Index and Bank of Japan interest rate decision announcements systematically followed by unusually large market moves? We run the numbers. </li>
</ul>



Nikkei 225 (NKY INDEX) option implied volatility is stabilizing at an elevated level. This Insight analyses term structure, skew, open interest, and more.
We identify a tactical option opportunity that profits from the current volatility structure.
Are Consumer Price Index and Bank of Japan interest rate decision announcements systematically followed by unusually large market moves? We run the numbers. 


EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

Japanese Equity Specialist, Ortus Advisors

Andrew Jackson

Japanese Equity Specialist

Ortus Advisors

Thematic (Sector/Industry)

<ul>
<li>Japan SPE set for a big pullback after a terrible ASML order outlook.</li>
<li>EUV related plays will be under pressure including Lasertec and Hoya.</li>
<li>Expect rotation towards domestic defensive, with rails in focus after Tokyo Metro IPO priced top of range.</li>
</ul>


Japan SPE set for a big pullback after a terrible ASML order outlook.
EUV related plays will be under pressure including Lasertec and Hoya.
Expect rotation towards domestic defensive, with rails in focus after Tokyo Metro IPO priced top of range.


Japan Morning Connection: SPE Set for a Serous Pullback After ASML Order Outlook

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>Every year it's the same trade. This year it is Thursday and Friday. There is some funkiness to Monday too.</li>
<li>There is meaningful directional buying on one day, which then kind of gets stretched a bit. This year, circumstances suggest high confidence buying should be at the top end.</li>
<li>This year, because circumstances, I expect the trade is a lot larger than last year. I'd say ¥1.6trln. </li>
</ul>


Every year it's the same trade. This year it is Thursday and Friday. There is some funkiness to Monday too.
There is meaningful directional buying on one day, which then kind of gets stretched a bit. This year, circumstances suggest high confidence buying should be at the top end.
This year, because circumstances, I expect the trade is a lot larger than last year. I'd say ¥1.6trln. 


The Biggish Sep 2024 "Thursday-Friday Trade"

<ul>
<li>Don't expect initial 'sell the fact' reaction to Fed's best-case 50 bps cut to weigh on Japan, with a lot of money on the sidelines in Asia to be deployed.</li>
<li>Shin-Etsu via its PVC sub Shintech and the Japanese home builders with high US exposure continue to look attractive as rate cut plays.</li>
<li>Further US export controls for allies on chip making equipment are imminent and names with lower China sales ratios remain the safer SPE plays.</li>
</ul>


Don't expect initial 'sell the fact' reaction to Fed's best-case 50 bps cut to weigh on Japan, with a lot of money on the sidelines in Asia to be deployed.
Shin-Etsu via its PVC sub Shintech and the Japanese home builders with high US exposure continue to look attractive as rate cut plays.
Further US export controls for allies on chip making equipment are imminent and names with lower China sales ratios remain the safer SPE plays.


Japan Morning Connection: Market Expected to Recover After Fed Announcement

<ul>
<li>Tech rebounds overnight led by AI related, although concerns weighing on China export names including ASML.</li>
<li>Oracle numbers beating after hours setting a positive tone for software as well as some SPE, with capex plans set to double YoY.</li>
<li>Nothing amazing from the Apple event likely to weigh on Japanese suppliers, although little expectation priced in. ARM and Softbank the big winners, with V9 chips running the new iPhones.</li>
</ul>


Tech rebounds overnight led by AI related, although concerns weighing on China export names including ASML.
Oracle numbers beating after hours setting a positive tone for software as well as some SPE, with capex plans set to double YoY.
Nothing amazing from the Apple event likely to weigh on Japanese suppliers, although little expectation priced in. ARM and Softbank the big winners, with V9 chips running the new iPhones.


Japan Morning Connection: Tech Rebound Setting Positive Tone to Start

Japan

ADVANTEST CORPORATION produces semiconductor testing devices and electronic measuring instruments.  The Company's products include large-scale integration (LSI) test systems, memory test systems, dynamic test handlers, network analyzers, electronic meters, optical testing devices, and signal sources.

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Advantest Corp (6857 JP)

EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...

Gaudenz Schneider

Japan Morning Connection: SPE Set for a Serous Pullback After ASML Order Outlook

SPE faces pullback after ASML's poor order outlook, impacting EUV-related plays including. Expect rotation towards domestic defensive, particularly...

Andrew Jackson

The Biggish Sep 2024 "Thursday-Friday Trade"

This year, the September dividend trade is likely quite a bit larger than last year. Last year was likely reduced by de-allocation. Not this year....

Travis Lundy

Japan Morning Connection: Market Expected to Recover After Fed Announcement

Japan expected to recover this morning after Fed announcement. Japanese home builders continue to look attractive. Companies with lower China...

Andrew Jackson

Japan Morning Connection: Tech Rebound Setting Positive Tone to Start

AI Tech rebound overnight. Oracle beats expectation setting positive tone for software. ARM and Softbank benefit with V9 chips in new iPhones.

Andrew Jackson

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

​Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...

Gaudenz Schneider

Japan Morning Connection: SPE Set for a Serous Pullback After ASML Order Outlook

SPE faces pullback after ASML's poor order outlook, impacting EUV-related plays including. Expect rotation towards domestic defensive, particularly...

Andrew Jackson

The Biggish Sep 2024 "Thursday-Friday Trade"

This year, the September dividend trade is likely quite a bit larger than last year. Last year was likely reduced by de-allocation. Not this year....

Travis Lundy

Japan Morning Connection: Market Expected to Recover After Fed Announcement

​Japan expected to recover this morning after Fed announcement. Japanese home builders continue to look attractive. Companies with lower China...

Andrew Jackson

Japan Morning Connection: Tech Rebound Setting Positive Tone to Start

AI Tech rebound overnight. Oracle beats expectation setting positive tone for software. ARM and Softbank benefit with V9 chips in new iPhones.

Andrew Jackson

Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...

Japan expected to recover this morning after Fed announcement. Japanese home builders continue to look attractive. Companies with lower China...