Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/icici-bank-ltd" target="_blank" data-smartkarma-citation="entities:547:1" rel="noopener">ICICI Bank (ICICIBC IN</a> / <a href="https://www.smartkarma.com/entities/icici-bank-ltd-spon-adr" target="_blank" data-smartkarma-citation="entities:556:1" rel="noopener">IBN US)</a> is scheduled to report its Q2 results on Saturday, 18 October 2025.</li>
<li>
Highlight: In recent years, the bank has consistently beat analysts' expectations and often posted a positive performance post-earnings.</li>
<li>
Portfolio Impact: As a Nifty 50 and BSE Sensex heavyweight, earnings-day moves ripple across the benchmark, making results market-relevant beyond the single stock.</li>
</ul>



ICICI Bank (ICICIBC IN / IBN US) is scheduled to report its Q2 results on Saturday, 18 October 2025.

Highlight: In recent years, the bank has consistently beat analysts' expectations and often posted a positive performance post-earnings.

Portfolio Impact: As a Nifty 50 and BSE Sensex heavyweight, earnings-day moves ripple across the benchmark, making results market-relevant beyond the single stock.


ICICI Bank (ICICIBC IN / IBN US) Earnings Preview: Strong Track Record Points to Post-Result Gains

Equity Bottom-Up

<ul>
<li>
Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.</li>
<li>
Highlights: Currently nine pair trade opportunities across four markets and five sectors persist.</li>
<li>
Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.</li>
</ul>



Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.

Highlights: Currently nine pair trade opportunities across four markets and five sectors persist.

Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.


Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (6 Oct)

External broker reports(aggregated public sources), Axis Direct

Axis Direct

External broker reports(aggregated public sources)

Axis Direct is the flagship brand under Axis Securities Limited, a subsidiary of Axis Bank in India. 

Content available is external broker reports authored by a third party outside the Smartkarma network and has been aggregated by an online aggregator through publicly available sources and is displayed by Smartkarma in this format for user's convenience and general informational purposes only. Content does not constitute investment or financial advice and Smartkarma makes no representation or warranty regarding its accuracy or contents. Original third party author retains all copyright and other proprietary rights in the content. Access or use of third party links not controlled by Smartkarma are at the user's own risk.

<ul><li>NIM Compression Lower on Changed Methodology: The bank has changed its NIM computation methodology, wherein it has changed its convention of computation of margins and other return ratios from the actual number of days to the number of months.</li><li>While the change in methodology is unlikely to have a meaningful impact on the reported NIMs, it evens out any quarterly volatility due to differences in days in a quarter.</li><li>Resultantly, the NIM compression during the quarter was at 7bps, despite a sharp 33bps contraction in yields and a marginal 3/16bps QoQ drop in CoD/CoF, respectively. </li></ul>Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

NIM Compression Lower on Changed Methodology: The bank has changed its NIM computation methodology, wherein it has changed its convention of computation of margins and other return ratios from the actual number of days to the number of months.While the change in methodology is unlikely to have a meaningful impact on the reported NIMs, it evens out any quarterly volatility due to differences in days in a quarter.Resultantly, the NIM compression during the quarter was at 7bps, despite a sharp 33bps contraction in yields and a marginal 3/16bps QoQ drop in CoD/CoF, respectively. Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

ICICI Bank Ltd. - Steady Quarter; Ready to Resume Growth Momentum!

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/icici-bank-ltd" target="_blank" data-smartkarma-citation="entities:547:1" rel="noopener">ICICI Bank (ICICIBC IN)</a> vs. <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> Price-Ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Going long <a href="https://www.smartkarma.com/entities/icici-bank-ltd" target="_blank" data-smartkarma-citation="entities:547:1" rel="noopener">ICICI Bank (ICICIBC IN)</a> and short <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> targets a 2% return to the statistical mean reversion level. The pair has closely aligned fundamentals.</li>
<li>
Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.</li>
</ul>



Context: The ICICI Bank (ICICIBC IN) vs. HDFC Bank (HDFCB IN) Price-Ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long ICICI Bank (ICICIBC IN) and short HDFC Bank (HDFCB IN) targets a 2% return to the statistical mean reversion level. The pair has closely aligned fundamentals.

Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.


Long ICICI (ICICIBC IN) Vs. Short HDFC (HDFCB IN): Spread Trade in High-Profile Indian Bank Pair

Equity Derivatives

<ul>
<li>This strategy exploits relative value in implied volatilities and combines it with a long Nifty 50 vs. short Nikkei 225 directional view over a period of two months.</li>
<li>The strategy performs well if the Nifty 50 rises and outperforms the Nikkei 225. If both indices decline, neither profit nor loss is incurred.</li>
<li>Leverage increases both the strategy's payoff and probability of success.</li>
</ul>


This strategy exploits relative value in implied volatilities and combines it with a long Nifty 50 vs. short Nikkei 225 directional view over a period of two months.
The strategy performs well if the Nifty 50 rises and outperforms the Nikkei 225. If both indices decline, neither profit nor loss is incurred.
Leverage increases both the strategy's payoff and probability of success.


EQD | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

India

ICICI Bank Limited operates as a bank. The Bank offers saving accounts, loans, debit, credit cards, insurance, investments, mortgages, and online banking services. ICICI Bank serves customers worldwide.

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ICICI Bank Ltd (ICICIBC IN)

ICICI Bank (ICICIBC IN / IBN US) Earnings Preview: Strong Track Record Points to Post-Result Gains

Watch for ICICI Bank’s Q2 FY2026 results on 18 October 2025. The bank’s consistent earnings beats and strong post-result record could sway the...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (6 Oct)

Statistical methodology identifies nine pair trade opportunities across four markets and five sectors, offering unique insights into relative value.

Gaudenz Schneider

ICICI Bank Ltd. - Steady Quarter; Ready to Resume Growth Momentum!

While the change in methodology is unlikely to have a meaningful impact on the reported NIMs, it evens out any quarterly volatility due to...

Axis Direct

Long ICICI (ICICIBC IN) Vs. Short HDFC (HDFCB IN): Spread Trade in High-Profile Indian Bank Pair

Both banks report on 19 July for the quarter ended 30 June. The pair is trading just below two standard deviations from its one-year historical...

Gaudenz Schneider

EQD | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

Option strategy: exploit relative value in implied volatilities combined with directional positioning for a leveraged payoff in a long Nifty 50 vs....

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

ICICI Bank (ICICIBC IN / IBN US) Earnings Preview: Strong Track Record Points to Post-Result Gains

Watch for ICICI Bank’s Q2 FY2026 results on 18 October 2025. The bank’s consistent earnings beats and strong post-result record could sway the...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (6 Oct)

​Statistical methodology identifies nine pair trade opportunities across four markets and five sectors, offering unique insights into relative value.

Gaudenz Schneider

ICICI Bank Ltd. - Steady Quarter; Ready to Resume Growth Momentum!

While the change in methodology is unlikely to have a meaningful impact on the reported NIMs, it evens out any quarterly volatility due to...

Axis Direct

Long ICICI (ICICIBC IN) Vs. Short HDFC (HDFCB IN): Spread Trade in High-Profile Indian Bank Pair

Both banks report on 19 July for the quarter ended 30 June. The pair is trading just below two standard deviations from its one-year historical...

Gaudenz Schneider

EQD | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

Option strategy: exploit relative value in implied volatilities combined with directional positioning for a leveraged payoff in a long Nifty 50 vs....

Gaudenz Schneider

Statistical methodology identifies nine pair trade opportunities across four markets and five sectors, offering unique insights into relative value.