Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
Market Reaction: The announcement of US reciprocal tariffs led to significant declines in S&amp;P 500 (-3.5%) and Nasdaq-100 (-4.4%) futures, with the VIX spiking from 20.00 to 23.45.</li>
<li>
Impact on Australia: Australia faces a 10% tariff, with the overall economic impact expected to be limited.</li>
<li>
<a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> Response: The S&amp;P/ASX 200 dropped 2.1% in early trading, with its VIX index rising from 13.20 to 15.43. These are historically high but not extreme levels.</li>
</ul>



Market Reaction: The announcement of US reciprocal tariffs led to significant declines in S&amp;P 500 (-3.5%) and Nasdaq-100 (-4.4%) futures, with the VIX spiking from 20.00 to 23.45.

Impact on Australia: Australia faces a 10% tariff, with the overall economic impact expected to be limited.

S&amp;P/ASX 200 (AS51 INDEX) Response: The S&amp;P/ASX 200 dropped 2.1% in early trading, with its VIX index rising from 13.20 to 15.43. These are historically high but not extreme levels.


S&P/ASX 200 Volatility Rises: Market Down Amid US Tariffs and S&P 500 Futures Plunge

Quantitative Analysis

<ul>
<li>This Insight presents intraday data to illustrate regional volatility moves over the past one and a half trading days. </li>
<li>Sunday’s US tariff announcement led to a global decline in equities and a spike in volatility on Monday. Asian indices began to recover today with a slight decrease in volatility.</li>
<li>Market reaction to Sunday's announcement was short-lived, so far, and the impact on implied volatility muted. The risk of a renewed volatility spike to or above Monday's intraday high's remains.</li>
</ul>


This Insight presents intraday data to illustrate regional volatility moves over the past one and a half trading days. 
Sunday’s US tariff announcement led to a global decline in equities and a spike in volatility on Monday. Asian indices began to recover today with a slight decrease in volatility.
Market reaction to Sunday's announcement was short-lived, so far, and the impact on implied volatility muted. The risk of a renewed volatility spike to or above Monday's intraday high's remains.


EQD Intraday | Tariff Tantrum Impact on Intraday Volatility

Junior Finance Analyst, Steno Research

Ulrik Simmelholt

Junior Finance Analyst

Macro and Geopolitical Research House

Steno Research

Steno Research is a new macro and geopolitical research house. We are based out of Copenhagen, Denmark, but have an international team and a strong network of sources and partners around the world. The team is lead by Andreas Steno, previous global head of strategy at Nordea Bank, and Mikkel Rosenvold, former chief consultant in the Danish Ministry of Finance.

Macroeconomics

<ul><li>Happy Friday! Every week, we dive deep into macro trends, analyze asset movements, and uncover the best value plays in the world of macro.</li><li>These insights are shared with hedge funds and institutional clients, and each Friday, we’re bringing them directly to you.</li><li>While the macro landscape can be complex, we believe it doesn’t have to be intimidating.</li></ul>

Happy Friday! Every week, we dive deep into macro trends, analyze asset movements, and uncover the best value plays in the world of macro.These insights are shared with hedge funds and institutional clients, and each Friday, we’re bringing them directly to you.While the macro landscape can be complex, we believe it doesn’t have to be intimidating.

Here is what we told hedge funds this week – and how we’re trading it!

Podcast series by Dean Curnutt, Alpha Exchange

Alpha Exchange

Podcast series by Dean Curnutt

The Alpha Exchange is a podcast series launched by Dean Curnutt to explore topics in financial markets, risk management and capital allocation in the alternatives industry. Our in depth discussions with highly established industry professionals seek to uncover the nuanced and complex interactions between economic, monetary, financial, regulatory and geopolitical sources of risk. We aim to learn from the perspective our guests can bring with respect to the history of financial and business cycles, promoting a better understanding among listeners as to how prior periods provide important context to present day dynamics. The “price of risk” is an important topic. Here we engage experts in their assessment of risk premium levels in the context of uncertainty. Is the level of compensation attractive? Because Central Banks have played so important a role in markets post crisis, our discussions sometimes aim to better understand the evolution of monetary policy and the degree to which the real and financial economy will be impacted. An especially important area of focus is on derivative products and how they interact with risk taking and carry dynamics. Our conversations seek to enlighten listeners, for example, as to the factors that promoted the February melt-down of the VIX complex. We do NOT ask our guests for their political opinions. We seek a better understanding of the market impact of regulatory change, election outcomes and events of geopolitical consequence. Our discussions cover markets from a macro perspective with an assessment of risk and opportunity across asset classes. Within equity markets, we may explore the relative attractiveness of sectors but will NOT discuss single stocks.

Technical Analysis

Chicago Board Options Exchange Volatility Index / Technical Analysis

Chicago Board Options Exchange Volatility Index

<ul><li>Seller understanding that product may not sell immediately, similar to rainy day insurance with put options</li><li>Tight correlation between supply, demand, and prices in liquid markets like put options</li><li>Market risk climate currently influenced by high implied volatility due to upcoming events like elections, similar to date certain macro events in the past like Brexit or company earnings dates</li></ul>This content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.

Seller understanding that product may not sell immediately, similar to rainy day insurance with put optionsTight correlation between supply, demand, and prices in liquid markets like put optionsMarket risk climate currently influenced by high implied volatility due to upcoming events like elections, similar to date certain macro events in the past like Brexit or company earnings datesThis content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.

<ul><li>Recent market disruptions, including a dramatic rally in the yen and a significant increase in the VIX, have raised concerns</li><li>The convergence of US and Japan CPI rates may have contributed to the narrowing of Fed BoJ policy spread</li><li>The VIX's large move on August 5, 2019, has sparked concerns about the stability of the S&amp;P options market and the potential impact on global risk levels</li></ul>This content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.

Recent market disruptions, including a dramatic rally in the yen and a significant increase in the VIX, have raised concernsThe convergence of US and Japan CPI rates may have contributed to the narrowing of Fed BoJ policy spreadThe VIX's large move on August 5, 2019, has sparked concerns about the stability of the S&amp;P options market and the potential impact on global risk levelsThis content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.

United States

The VIX Index is a financial benchmark designed to be an up-to-the-minute market estimate of the expected volatility of the S&P 500® Index, and is calculated by using the midpoint of real-time S&P 500 Index (SPX) option bid/ask quotes.

Chicago Board Options Exchange Volatility Index (VIX INDEX)

Chicago Board Options Exchange Volatility Index (VIX INDEX)

S&P/ASX 200 Volatility Rises: Market Down Amid US Tariffs and S&P 500 Futures Plunge

S&P/ASX 200 drops 2.1% in early trading, while volatility increases from 13.2% to above 15.0%. Implied volatility is elevated, but not extreme by a...

Gaudenz Schneider

EQD Intraday | Tariff Tantrum Impact on Intraday Volatility

The Tariff Tantrum triggered a universal equity decline and spike in volatility. Intra-day data shows that market reaction was short-lived, but...

Gaudenz Schneider

Here is what we told hedge funds this week – and how we’re trading it!

Happy Friday! Every week, we dive deep into macro trends, analyze asset movements, and uncover the best value plays in the world of macro. These...

Steno Research

Hedge When You Can, Not When You Have to

Sellers use put options as insurance against market risk in response to fluctuating demand, with a focus on observable and liquid insurance...

Alpha Exchange

VIX Went Cray Cray

The market was impacted by events such as the Yen's rally, Japan's monetary policy, the VIX hitting 65, and the unique risks in March 2020.

Alpha Exchange

S&P/ASX 200 Volatility Rises: Market Down Amid US Tariffs and S&P 500 Futures Plunge

S&P/ASX 200 drops 2.1% in early trading, while volatility increases from 13.2% to above 15.0%. Implied volatility is elevated, but not extreme by a...

Gaudenz Schneider

EQD Intraday | Tariff Tantrum Impact on Intraday Volatility

The Tariff Tantrum ​triggered a universal equity decline and spike in volatility. Intra-day data shows that market reaction was short-lived, but...

Gaudenz Schneider

Here is what we told hedge funds this week – and how we’re trading it!

Happy Friday! Every week, we dive deep into macro trends, analyze asset movements, and uncover the best value plays in the world of macro. These...

Steno Research

Hedge When You Can, Not When You Have to

Sellers use put options as insurance against market risk in response to fluctuating demand, with a focus on observable and liquid insurance...

Alpha Exchange

VIX Went Cray Cray

The market was impacted by events such as the Yen's rally, Japan's monetary policy, the VIX hitting 65, and the unique risks in March 2020.

Alpha Exchange

The Tariff Tantrum triggered a universal equity decline and spike in volatility. Intra-day data shows that market reaction was short-lived, but...