Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

Commonwealth Bank of Australia / Equity Bottom-Up

<ul>
<li>
Context: The <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> vs. <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> price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: After Commonwealth Bank's sharp post-earnings drop last week, a mean-reversion model suggests long <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> and short <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>.</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 Commonwealth Bank (CBA AU) vs. Bank of Queensland (BOQ AU) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: After Commonwealth Bank's sharp post-earnings drop last week, a mean-reversion model suggests long Commonwealth Bank of Australia (CBA AU) and short Bank Of Queensland (BOQ AU).

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.


CBA (CBA AU) Vs. Bank of Queensland (BOQ AU): Quant Signal Flags Trading Opportunity

<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>
Highlight: Currently seven pair trade opportunities across two markets and two 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.

Highlight: Currently seven pair trade opportunities across two markets and two 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 (18 Aug)

Equity Derivatives

Commonwealth Bank of Australia / Equity Derivatives

<ul>
<li>
Context: <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>’s FY 2025 results delivered record profits but missed analyst expectations, prompting a sharp share price adjustment.</li>
<li>
Insights: Detailed review of intraday price action and implied volatility behavior following the announcement shows how the market digested the results and how implied volatility established a new equilibrium.</li>
<li>
Why Read: Offers a concise, data-driven view of how Australia’s largest bank’s results influenced market dynamics. Gain practical perspective on intraday trading patterns and where implied volatility might be heading</li>
</ul>



Context: Commonwealth Bank of Australia (CBA AU)’s FY 2025 results delivered record profits but missed analyst expectations, prompting a sharp share price adjustment.

Insights: Detailed review of intraday price action and implied volatility behavior following the announcement shows how the market digested the results and how implied volatility established a new equilibrium.

Why Read: Offers a concise, data-driven view of how Australia’s largest bank’s results influenced market dynamics. Gain practical perspective on intraday trading patterns and where implied volatility might be heading


CBA (CBA AU): FY 2025 Results Drive Sharp Intraday Moves - Insights for Options Traders

<ul>
<li>
Context: <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> is approaching oversold territory, with limited upside potential. Quantitative analysis outlines key support and resistance levels with high reversal probabilities.</li>
<li>
Trade Idea: The proposed options strategy profits if the stock remains range-bound between ~172 and ~190 by 17 July expiry. The setup offers a ~1.0% maximum return within 10 days.</li>
<li>
Why Read: This Insight presents a timely, actionable trade idea with a well-defined risk/reward profile—ideal for investors seeking to monetize muted price action around a high-probability range.</li>
</ul>



Context: Commonwealth Bank of Australia (CBA AU) is approaching oversold territory, with limited upside potential. Quantitative analysis outlines key support and resistance levels with high reversal probabilities.

Trade Idea: The proposed options strategy profits if the stock remains range-bound between ~172 and ~190 by 17 July expiry. The setup offers a ~1.0% maximum return within 10 days.

Why Read: This Insight presents a timely, actionable trade idea with a well-defined risk/reward profile—ideal for investors seeking to monetize muted price action around a high-probability range.


Commonwealth Bank of Australia (CBA AU) In Oversold Territory: Options Strategy on Reversal Range

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>
<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>’s shares have surged &gt;80% since November2023, outpacing its underlying profit growth and dividend yields. Passive‐index ETF reallocations are the primary driver of this rally.</li>
<li>
A Reuters poll forecasts the RBA will cut rates by 25 bps to 3.60% on July 8—with further cuts likely into year‐end. This will compress NIMs, a key earnings driver for CBA. </li>
<li>This insight marks the start of our coverage for <a href="https://www.smartkarma.com/entities/commonwealth-bank-of-australia" target="_blank" data-smartkarma-citation="entities:14:1" rel="noopener">CBA</a>: the stock closed this week down (CC -1) reaching oversold levels, it can bounce but the rally potential appears limited.</li>
</ul>



Commonwealth Bank of Australia (CBA AU)’s shares have surged &gt;80% since November2023, outpacing its underlying profit growth and dividend yields. Passive‐index ETF reallocations are the primary driver of this rally.

A Reuters poll forecasts the RBA will cut rates by 25 bps to 3.60% on July 8—with further cuts likely into year‐end. This will compress NIMs, a key earnings driver for CBA. 
This insight marks the start of our coverage for CBA: the stock closed this week down (CC -1) reaching oversold levels, it can bounce but the rally potential appears limited.


Commonwealth Bank of Australia (CBA AU) Outlook Amid Overblown Passive Inflows And NIM Pressures

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
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Commonwealth Bank of Australia (CBA AU)

CBA (CBA AU) Vs. Bank of Queensland (BOQ AU): Quant Signal Flags Trading Opportunity

CBA vs. Bank of Queensland divergence signals a potential mean-reversion trade. This Insight reviews trade setup, valuation context, and risk...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (18 Aug)

Statistical methodology identifies seven pair trade opportunities across two markets and two sectors. Update on previously flagged opportunities,...

Gaudenz Schneider

CBA (CBA AU): FY 2025 Results Drive Sharp Intraday Moves - Insights for Options Traders

CBA’s record profits fall short of expectations, triggering a sharp price drop. Insights into intraday implied volatility action and outlook for...

Gaudenz Schneider