Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

Commonwealth Bank of Australia / Event-Driven

<ul>
<li>Australia's largest banks are due to report within the next four trading days. Collectively, they account for 23% of the <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>.</li>
<li>A beat or miss of expectations can result in a strong move, up or down. This Insight analyzes options to provide an indication of how big a move to expect.</li>
<li>Option traders price in outsized moves for several but not all banks, with <a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ (ANZ AU)</a> as the largest outlier.</li>
</ul>


Australia's largest banks are due to report within the next four trading days. Collectively, they account for 23% of the S&amp;P/ASX 200 (AS51 INDEX).
A beat or miss of expectations can result in a strong move, up or down. This Insight analyzes options to provide an indication of how big a move to expect.
Option traders price in outsized moves for several but not all banks, with ANZ (ANZ AU) as the largest outlier.


Australia’s Big Banks: Options Flash Mixed Signals Ahead of Earnings

Equity Derivatives

Commonwealth Bank of Australia / Equity Derivatives

<ul>
<li>
Context: Volatility cones provide a straightforward framework to evaluate whether options are trading cheap or rich. This Insight provides volatility analysis for the S&amp;P/ASX 200 and ten prominent Australian stocks.</li>
<li>
Highlights: Implied volatility across Australia’s major banks remains rich ahead of earnings and the RBA decision.</li>
<li>
Why Read: Spot opportunities, assess regime shifts, and manage risk effectively — volatility cones turn complex data into actionable insights for traders and investors.</li>
</ul>



Context: Volatility cones provide a straightforward framework to evaluate whether options are trading cheap or rich. This Insight provides volatility analysis for the S&amp;P/ASX 200 and ten prominent Australian stocks.

Highlights: Implied volatility across Australia’s major banks remains rich ahead of earnings and the RBA decision.

Why Read: Spot opportunities, assess regime shifts, and manage risk effectively — volatility cones turn complex data into actionable insights for traders and investors.


CBA, ANZ, Westpac, NAB: Volatility Runs High Ahead of Imminent Catalysts

Financial News, Analysis and Data, FNArena

FNArena

Financial News, Analysis and Data

Online financial media company focused on Australian equities, with a global perspective

Equity Bottom-Up

Commonwealth Bank of Australia / Equity Bottom-Up

<ul><li>CommBank's shares broke down in July, but recently the share price has been shown more positive signs of moving higher, Fairmont Equities' Michael Gable reports.</li></ul>

CommBank's shares broke down in July, but recently the share price has been shown more positive signs of moving higher, Fairmont Equities' Michael Gable reports.

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/bank-of-queensland-ltd" target="_blank" data-smartkarma-citation="entities:16606:1" rel="noopener">Bank Of Queensland (BOQ AU)</a> vs. <a href="https://www.smartkarma.com/entities/commonwealth-bank-of-australia" target="_blank" data-smartkarma-citation="entities:14:1" rel="noopener">Commonwealth Bank (CBA AU)</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/bank-of-queensland-ltd" target="_blank" data-smartkarma-citation="entities:16606:1" rel="noopener">Bank Of Queensland (BOQ AU)</a> and short <a href="https://www.smartkarma.com/entities/commonwealth-bank-of-australia" target="_blank" data-smartkarma-citation="entities:14:1" rel="noopener">Commonwealth Bank of Australia (CBA AU)</a> targets a 4% return, with <a href="https://www.smartkarma.com/entities/bank-of-queensland-ltd" target="_blank" data-smartkarma-citation="entities:16606:1" rel="noopener">Bank Of Queensland (BOQ AU)</a> supported by cheaper valuations.</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 Bank Of Queensland (BOQ AU) vs. Commonwealth Bank (CBA AU) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Bank Of Queensland (BOQ AU) and short Commonwealth Bank of Australia (CBA AU) targets a 4% return, with Bank Of Queensland (BOQ AU) supported by cheaper valuations.

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.


Bank of Queensland (BOQ AU) Vs. CBA (CBA AU): Quant-Driven Pair Trade Following Potential Overshoot

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in short interest of ASX Stocks as of Nov 28th (reported today). The aggregated short interest was USD27.2bn.</li>
<li>We tabulate league tables for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Lynas Rare Earths, James Hardie Industries, Transurban, CAR, Macquarie.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Nov 28th (reported today). The aggregated short interest was USD27.2bn.
We tabulate league tables for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Lynas Rare Earths, James Hardie Industries, Transurban, CAR, Macquarie.


ASX Short Interest Weekly (Nov 28th): Lynas Rare Earths, James Hardie Industries, Transurban, CAR

Australia

Commonwealth Bank of Australia provides banking, life insurance, and related services for individuals, small businesses and medium sized commercial enterprises. The Bank provides corporate and general banking, international financing, institutional banking and stock broking and funds management such as superannuation product.

Price Gauge
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Commonwealth Bank of Australia (CBA AU)

Australia’s Big Banks: Options Flash Mixed Signals Ahead of Earnings

Australia’s largest banks report within four trading days, and options pricing offers a snapshot of where volatility could strike — particularly in...

Gaudenz Schneider

CBA, ANZ, Westpac, NAB: Volatility Runs High Ahead of Imminent Catalysts

Implied volatility analysis reveals rich options trading in Australian banks, offering insights for traders and investors.

Gaudenz Schneider

CommBank Shares Poised For A Break-Out

CommBank's shares broke down in July, but recently the share price has been shown more positive signs of moving higher, Fairmont Equities' Michael...

FNArena

Bank of Queensland (BOQ AU) Vs. CBA (CBA AU): Quant-Driven Pair Trade Following Potential Overshoot

Pair Trade with 4% Target Return: Long Bank of Queensland vs. Short Commonwealth Bank, exploiting potential mean-reversion after the recent...

Gaudenz Schneider

ASX Short Interest Weekly (Nov 28th): Lynas Rare Earths, James Hardie Industries, Transurban, CAR

We analyzed ASX short interest report for the past week and highlight short interest changes in Lynas Rare Earths, James Hardie Industries,...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Australia’s Big Banks: Options Flash Mixed Signals Ahead of Earnings

Australia’s largest banks report within four trading days, and options pricing offers a snapshot of where volatility could strike — particularly in...

Gaudenz Schneider

CBA, ANZ, Westpac, NAB: Volatility Runs High Ahead of Imminent Catalysts

​Implied volatility analysis reveals rich options trading in Australian banks, offering insights for traders and investors.

Gaudenz Schneider

CommBank Shares Poised For A Break-Out

CommBank's shares broke down in July, but recently the share price has been shown more positive signs of moving higher, Fairmont Equities' Michael...

FNArena

Bank of Queensland (BOQ AU) Vs. CBA (CBA AU): Quant-Driven Pair Trade Following Potential Overshoot

Pair Trade with 4% Target Return: Long Bank of Queensland vs. Short Commonwealth Bank, exploiting potential mean-reversion after the recent...

Gaudenz Schneider

ASX Short Interest Weekly (Nov 28th): Lynas Rare Earths, James Hardie Industries, Transurban, CAR

We analyzed ASX short interest report for the past week and highlight short interest changes in Lynas Rare Earths, James Hardie Industries,...

Ke Yan, CFA, FRM

Implied volatility analysis reveals rich options trading in Australian banks, offering insights for traders and investors.