Senior Equity Derivatives Trader

Simon Harris

Equity Derivatives

<ul>
<li>Weekly summary of vol changes and moves across Global Markets</li>
<li>Analysing ATM volatility and skew changes over the last 5 days</li>
<li>We suggest a few trades to take advantage of the implied vol surfaces</li>
</ul>


Weekly summary of vol changes and moves across Global Markets
Analysing ATM volatility and skew changes over the last 5 days
We suggest a few trades to take advantage of the implied vol surfaces


EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

EURO STOXX 50 Price EUR / Technical Analysis

<ul>
<li>It appears the recent pullback is over, and we could see the MSCI ACWI (ACWI-US) test YTD highs at $93. We still expect $93 to cap upside in 2023.</li>
<li>Overweight Europe/UK and non-U.S., we are buyers on pullbacks as long as FTSE 100 is above 7700, STOXX Europe 50 is above 3800, and EURO STOXX 50 is above 4000.</li>
<li>As long as these support levels are holding, we are constructive from a price perspective</li>
</ul>


It appears the recent pullback is over, and we could see the MSCI ACWI (ACWI-US) test YTD highs at $93. We still expect $93 to cap upside in 2023.
Overweight Europe/UK and non-U.S., we are buyers on pullbacks as long as FTSE 100 is above 7700, STOXX Europe 50 is above 3800, and EURO STOXX 50 is above 4000.
As long as these support levels are holding, we are constructive from a price perspective


Remain Overweight Europe/UK & Non-US Equities; Pullback Over?; Buys in Industrials and Financials

<ul>
<li>European markets have begun to outperform their US peers over last few months</li>
<li>The differences in market sentiment have driven both the implied and realised vol spread wider </li>
<li>Trade a relative vol spread that should hold up in multiple market scenarios</li>
</ul>


European markets have begun to outperform their US peers over last few months
The differences in market sentiment have driven both the implied and realised vol spread wider 
Trade a relative vol spread that should hold up in multiple market scenarios


EQD | SPX Vs SX5E: Trade a Relative Value Vol Spread

The EURO STOXX 50 Index, Europe's leading blue-chip index for the Eurozone, provides a blue-chip representation of supersector leaders in the region. The index covers 50 stocks from 11 Eurozone countries. The index is licensed to financial institutions to serve as an underlying for a wide range of investment products such as exchange-traded funds (ETFs), futures, options and structured products.

EURO STOXX 50 Price EUR (SX5E INDEX)

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

Remain Overweight Europe/UK & Non-US Equities; Pullback Over?; Buys in Industrials and Financials

Remain overweight Europe/UK and non-US equities; we are buyers on pullbacks as long as the FTSE 100 is above 7700, the STOXX Europe 50 is above...

Vermilion Research

EQD | SPX Vs SX5E: Trade a Relative Value Vol Spread

European markets have been outperforming their US peers and these spot differences have helped to create a wider than usual vol differential. We...

Simon Harris

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris