Derivatives and Quantitative Strategist

Gaudenz Schneider

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 <em>and</em> 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

Japan Specialist

Mark Chadwick

Thematic (Sector/Industry)

<ul>
<li>Stocks advanced on Wednesday as a sharp 32,000 drop in ADP private payrolls reinforced expectations that the Federal Reserve will cut rates next week</li>
<li>JFE Holdings (5411 JP) will invest ¥270bn for a 50% stake in Bhushan Power &amp; Steel, targeting expansion to 10mtpa by 2030 through tech transfer and ore access.</li>
<li>Fanuc (6954 JP) is shifting toward open, AI-enabled automation through ROS 2 integration and expanded Nvidia partnerships, enhancing interoperability and positioning the company to capture long-term smart-factory growth.</li>
</ul>


Stocks advanced on Wednesday as a sharp 32,000 drop in ADP private payrolls reinforced expectations that the Federal Reserve will cut rates next week
JFE Holdings (5411 JP) will invest ¥270bn for a 50% stake in Bhushan Power &amp; Steel, targeting expansion to 10mtpa by 2030 through tech transfer and ore access.
Fanuc (6954 JP) is shifting toward open, AI-enabled automation through ROS 2 integration and expanded Nvidia partnerships, enhancing interoperability and positioning the company to capture long-term smart-factory growth.


Ohayo Japan | Payroll Drop Drives Fed-Cut Bets as Financials Rally and AI Stocks Lag

Equity Bottom-Up

<ul>
<li>Fanuc returns to revenue growth, driven by robomachine demand in Asia, but core robot sales remain weak after last year’s EV-driven surge.</li>
<li>Management offered no guidance for FY3/26, citing tariff and FX uncertainty; we cut forecasts, with downside risk still looming large.</li>
<li>A ¥50bn buyback provides limited support, but shares may stay stuck until global capex trends and trade policy clarify.</li>
</ul>


Fanuc returns to revenue growth, driven by robomachine demand in Asia, but core robot sales remain weak after last year’s EV-driven surge.
Management offered no guidance for FY3/26, citing tariff and FX uncertainty; we cut forecasts, with downside risk still looming large.
A ¥50bn buyback provides limited support, but shares may stay stuck until global capex trends and trade policy clarify.


Fanuc (6954) | Growth Flickers, Visibility Dims

<ul>
<li>Consolidated net sales slipped 0.4% to ¥197 billion, while operating income slipped 14.6%, hitting ¥34.9 billion</li>
<li>The yen’s Q3 weakness erased ¥11 billion in unrealised inventory profits, dragging reported operating profit below expectations</li>
<li>Recovery in order book is key positive. However, given the stock's outperformance over the past 3 months, there is less upside. </li>
</ul>


Consolidated net sales slipped 0.4% to ¥197 billion, while operating income slipped 14.6%, hitting ¥34.9 billion
The yen’s Q3 weakness erased ¥11 billion in unrealised inventory profits, dragging reported operating profit below expectations
Recovery in order book is key positive. However, given the stock's outperformance over the past 3 months, there is less upside. 


Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

Nomura Research Institute / Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nomura-research-institute-ltd" target="_blank" data-smartkarma-citation="entities:18129:1" rel="noopener">Nomura Research Institute (4307 JP)</a> and <a href="https://www.smartkarma.com/entities/ryohin-keikaku-co-ltd" target="_blank" data-smartkarma-citation="entities:2765:1" rel="noopener">Ryohin Keikaku (7453 JP)</a> will replace <a href="https://www.smartkarma.com/entities/nippon-paper-industries-co-l" target="_blank" data-smartkarma-citation="entities:557:1" rel="noopener">Nippon Paper Industries Co L (3863 JP)</a> and <a href="https://www.smartkarma.com/entities/dic-corp" target="_blank" data-smartkarma-citation="entities:7343:1" rel="noopener">Dic Corp (4631 JP)</a> in the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a>. </li>
<li>
<a href="https://www.smartkarma.com/entities/fast-retailing-co-ltd" target="_blank" data-smartkarma-citation="entities:751:1" rel="noopener">Fast Retailing (9983 JP)</a>'s CPAF will drop from 3 to 2.7 and there will be further selling in March 2025 as the CPAF drops to 2.4 (or possibly even 2.1!) </li>
<li>Passives will need to buy 7-15x ADV (13-14% of real float) in the adds and sell 2.7-6.5x ADV in the deletes. There is a big reverse funding trade too.</li>
</ul>



Nomura Research Institute (4307 JP) and Ryohin Keikaku (7453 JP) will replace Nippon Paper Industries Co L (3863 JP) and Dic Corp (4631 JP) in the Nikkei 225 (NKY INDEX). 

Fast Retailing (9983 JP)'s CPAF will drop from 3 to 2.7 and there will be further selling in March 2025 as the CPAF drops to 2.4 (or possibly even 2.1!) 
Passives will need to buy 7-15x ADV (13-14% of real float) in the adds and sell 2.7-6.5x ADV in the deletes. There is a big reverse funding trade too.


Nikkei 225 Index Rebalance: NRI, Ryohin Keikaku IN; Nippon Paper, DIC OUT; Fast Retailing Capped

Japan

FANUC CORPORATION manufactures factory automation (FA) systems and equipments, and robots. The Company's products include computerized numerically-controlled (CNC) equipment, servo motors, laser systems, industrial robots, wire-cut electric discharge machines, and CNC drill.  Fanuc participates in a joint venture with General Electric in the FA field.

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Fanuc Corp (6954 JP)

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

Ohayo Japan | Payroll Drop Drives Fed-Cut Bets as Financials Rally and AI Stocks Lag

Stocks rise on expectations of Fed rate cut after sharp drop in ADP private payrolls; JFE Holdings invests in Bhushan Power & Steel; Fanuc...

Mark Chadwick

Fanuc (6954) | Growth Flickers, Visibility Dims

Fanuc sees revenue growth from robomachine demand in Asia, but weak core robot sales. Uncertainty on tariffs and FX leads to forecast cuts and...

Mark Chadwick

Fanuc (6594) | Robots in Reverse

Company's net sales and operating income decreased due to yen's weakness erasing inventory profits, but recovery in order book is a positive sign...

Mark Chadwick

Nikkei 225 Index Rebalance: NRI, Ryohin Keikaku IN; Nippon Paper, DIC OUT; Fast Retailing Capped

Nomura Research Institute and Ryohin Keikaku replace Nippon Paper and DIC in the Nikkei 225. Fast Retailing will be capped (and probably again in...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

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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

Ohayo Japan | Payroll Drop Drives Fed-Cut Bets as Financials Rally and AI Stocks Lag

​Stocks rise on expectations of Fed rate cut after sharp drop in ADP private payrolls; JFE Holdings invests in Bhushan Power & Steel; Fanuc...

Mark Chadwick

Fanuc (6954) | Growth Flickers, Visibility Dims

​Fanuc sees revenue growth from robomachine demand in Asia, but weak core robot sales. Uncertainty on tariffs and FX leads to forecast cuts and...

Mark Chadwick

Fanuc (6594) | Robots in Reverse

​Company's net sales and operating income decreased due to yen's weakness erasing inventory profits, but recovery in order book is a positive sign...

Mark Chadwick

Nikkei 225 Index Rebalance: NRI, Ryohin Keikaku IN; Nippon Paper, DIC OUT; Fast Retailing Capped

Nomura Research Institute and Ryohin Keikaku replace Nippon Paper and DIC in the Nikkei 225. Fast Retailing will be capped (and probably again in...

Brian Freitas

Stocks rise on expectations of Fed rate cut after sharp drop in ADP private payrolls; JFE Holdings invests in Bhushan Power & Steel; Fanuc...

Fanuc sees revenue growth from robomachine demand in Asia, but weak core robot sales. Uncertainty on tariffs and FX leads to forecast cuts and...

Company's net sales and operating income decreased due to yen's weakness erasing inventory profits, but recovery in order book is a positive sign...