Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> has been in a paralyzed trend since August 2024. Then at the end of February 2025 it started to correct.</li>
<li>As explained by <a href="https://www.smartkarma.com/profiles/travis-lundy" target="_blank" data-smartkarma-citation="accounts:25" rel="noopener">Travis Lundy</a> and <a href="https://www.smartkarma.com/profiles/brian-freitas" target="_blank" data-smartkarma-citation="accounts:4091" rel="noopener">Brian Freitas</a> the index rebalance on March 5th, 2025 was a bit unexpected and minimal in terms of changes.</li>
<li>The index bottomed 1 week after the March 2025 Nikkei 225 Average Review, and then started a rally, quite modest for now which could be signaling short-term tactical <strong>weakness</strong>.</li>
</ul>


The Nikkei 225 (NKY INDEX) has been in a paralyzed trend since August 2024. Then at the end of February 2025 it started to correct.
As explained by Travis Lundy and Brian Freitas the index rebalance on March 5th, 2025 was a bit unexpected and minimal in terms of changes.
The index bottomed 1 week after the March 2025 Nikkei 225 Average Review, and then started a rally, quite modest for now which could be signaling short-term tactical weakness.


Nikkei 225 Outlook After the Mar25 Rebalance

Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

<ul>
<li>A weekly recap of volatility and price metrics, covering option volumes, volatility trends, the spot/implied relationship, and open interest statistics.</li>
<li>The Bank of Japan held rates steady, with little reaction from the Nikkei or USD/JPY amid lower option volumes.</li>
<li>Implied volatility declined throughout the week, pressured by muted price action and low historic volatility.</li>
</ul>


A weekly recap of volatility and price metrics, covering option volumes, volatility trends, the spot/implied relationship, and open interest statistics.
The Bank of Japan held rates steady, with little reaction from the Nikkei or USD/JPY amid lower option volumes.
Implied volatility declined throughout the week, pressured by muted price action and low historic volatility.


Nikkei Index Options Weekly (Mar 17 – 21): Muted Reaction to BOJ as Volatility Declines

<ul>
<li>We assess the effectiveness of short volatility versus long volatility positioning.</li>
<li>Nikkei’s performance relative to SPX is analyzed across three distinct time frames.</li>
<li>Volatility remained muted ahead of next week’s Bank of Japan meeting, while option volumes increased week over week.</li>
</ul>


We assess the effectiveness of short volatility versus long volatility positioning.
Nikkei’s performance relative to SPX is analyzed across three distinct time frames.
Volatility remained muted ahead of next week’s Bank of Japan meeting, while option volumes increased week over week.


Nikkei Index Options Weekly (Mar 10–14): Assessing Long Vs. Short Vol Strategies & Returns Vs. SPX

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

<ul>
<li>We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.</li>
<li>India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.</li>
<li>A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.</li>
</ul>


We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.
India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.
A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.


Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

<ul>
<li>Nikkei breaks lower, USD/JPY and trade tensions weighing on the market.</li>
<li>Implied volatility rose as the market declined. We discuss implications of current spot levels that is dominated by Put open interest.</li>
<li>Historic volatility continues to lag implied vol, we provide visuals on the extent of the lag.</li>
</ul>


Nikkei breaks lower, USD/JPY and trade tensions weighing on the market.
Implied volatility rose as the market declined. We discuss implications of current spot levels that is dominated by Put open interest.
Historic volatility continues to lag implied vol, we provide visuals on the extent of the lag.


Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

Japan

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

Nikkei 225 (NKY INDEX)

Nikkei 225 Outlook After the Mar25 Rebalance

The March 25 Index rebalance is approaching, the index appears oversold according to our models, this insight is quite timely in predicting a...

Nico Rosti

Nikkei Index Options Weekly (Mar 17 – 21): Muted Reaction to BOJ as Volatility Declines

Weekly recap: Implied volatility drops as Bank of Japan holds rates steady, with little impact across markets and lower overall option volumes.

John Ley

Nikkei Index Options Weekly (Mar 10–14): Assessing Long Vs. Short Vol Strategies & Returns Vs. SPX

Analysis of short versus long volatility positioning and comparison of Nikkei's performance to SPX across different time frames. Option Volume...

John Ley

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...

John Ley

Nikkei 225 Outlook After the Mar25 Rebalance

The March 25 Index rebalance is approaching, the index appears oversold according to our models, this insight is quite timely in predicting a...

Nico Rosti

Nikkei Index Options Weekly (Mar 17 – 21): Muted Reaction to BOJ as Volatility Declines

​Weekly recap: Implied volatility drops as Bank of Japan holds rates steady, with little impact across markets and lower overall option volumes.

John Ley

Nikkei Index Options Weekly (Mar 10–14): Assessing Long Vs. Short Vol Strategies & Returns Vs. SPX

​Analysis of short versus long volatility positioning and comparison of Nikkei's performance to SPX across different time frames. Option Volume...

John Ley

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

​Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...

John Ley

Weekly recap: Implied volatility drops as Bank of Japan holds rates steady, with little impact across markets and lower overall option volumes.

Analysis of short versus long volatility positioning and comparison of Nikkei's performance to SPX across different time frames. Option Volume...

Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...