Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>US equity indices led global markets in a post-election sharp decline in implied volatility.</li>
<li>With only 34 trading days left in 2024, investors might want to hedge the gains from a profitable year with tactical long puts.</li>
<li>Several markets make good candidates for long put positions due to a combination of cheap options and potentially bearish factors. One example being 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>
</ul>


US equity indices led global markets in a post-election sharp decline in implied volatility.
With only 34 trading days left in 2024, investors might want to hedge the gains from a profitable year with tactical long puts.
Several markets make good candidates for long put positions due to a combination of cheap options and potentially bearish factors. One example being the S&amp;P/ASX 200 (AS51 INDEX) 


EQD | Global Option Implied Volatility – 34 Trading Days Left in 2024, Year-End Positioning.

<ul>
<li>Global equity markets have experienced falling prices and increasing volatility over the past week. Some markets were affected more than others.</li>
<li>Hedging opportunities in 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>, the <a href="https://www.smartkarma.com/entities/ftse-100-index-ukx" target="_blank" data-smartkarma-citation="entities:22904:1" rel="noopener">FTSE 100 Index (UKX INDEX)</a>, or the Swiss Market Index; all with sub-13% implied volatility.</li>
<li>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> experienced some of the largest market and volatility moves in international comparison, with more turbulence likely ahead following the Japanese elections.</li>
</ul>


Global equity markets have experienced falling prices and increasing volatility over the past week. Some markets were affected more than others.
Hedging opportunities in the S&amp;P/ASX 200 (AS51 INDEX), the FTSE 100 Index (UKX INDEX), or the Swiss Market Index; all with sub-13% implied volatility.
The Nikkei 225 (NKY INDEX) experienced some of the largest market and volatility moves in international comparison, with more turbulence likely ahead following the Japanese elections.


EQD | Global Option Implied Volatility - Nikkei 225, Nifty 50, S&P/ASX 200, S&P 500, SMI, FTSE 100

Geopolitical Analyst, Steno Research, Steno Research

Mikkel Rosenvold

Geopolitical Analyst, Steno Research

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.

Cross Asset Strategy

<ul>
<li>Hello and welcome to this week’s Great Game.</li>
<li>The First Round of the French Legislative Election was held on Sunday and the initial results suggested a clear win for Marine Le Pen’s far-right coalition around her National Rally party</li>
<li>Biden is starting to drop rapidly in polls after the US presidential debate.</li>
</ul>


Hello and welcome to this week’s Great Game.
The First Round of the French Legislative Election was held on Sunday and the initial results suggested a clear win for Marine Le Pen’s far-right coalition around her National Rally party
Biden is starting to drop rapidly in polls after the US presidential debate.


Great Game – Biden in Free-Fall and a French Ménage À Trois

Head of Research and Global Chief Strategist, Steno Research

Andreas Steno

Head of Research and Global Chief Strategist

Macroeconomics

<ul><li>Welcome back to our weekly positioning watch, brought to you today from a sunny Copenhagen.</li><li>The standings at the Euros almost perfectly mirror the current cross-regional uncertainties in equity markets. </li><li>The European election has increased the option-implied volatility premium of European equities compared to US equities, while the FTSE 100 continues to stay “less volatile” in IV terms. </li></ul>

Welcome back to our weekly positioning watch, brought to you today from a sunny Copenhagen.The standings at the Euros almost perfectly mirror the current cross-regional uncertainties in equity markets. The European election has increased the option-implied volatility premium of European equities compared to US equities, while the FTSE 100 continues to stay “less volatile” in IV terms. 

Positioning Watch – Markets are buying into US Fixed Income, but fast money don’t agree

<ul><li>We were honestly puzzled by the weakness in Manufacturing PMIs in April as our models pointed in the other direction.</li><li>The timely data delivered by daily congestion numbers point in a positive direction (also adjusted for seasonality), which is typically a strong sign that the lagging consumption numbers (of energy, food and the likes) will see upside.</li><li>The congestion based now-cast from ports, roads and air data sources point to 5-6% YoY increase still and the US truck market demand index rebounded in the first few weeks of May as well after a soft path in April.</li></ul>

We were honestly puzzled by the weakness in Manufacturing PMIs in April as our models pointed in the other direction.The timely data delivered by daily congestion numbers point in a positive direction (also adjusted for seasonality), which is typically a strong sign that the lagging consumption numbers (of energy, food and the likes) will see upside.The congestion based now-cast from ports, roads and air data sources point to 5-6% YoY increase still and the US truck market demand index rebounded in the first few weeks of May as well after a soft path in April.

United Kingdom

The FTSE 100 Index is a capitalization-weighted index of the 100 most highly capitalized companies traded on the London Stock Exchange. The equities use an investibility weighting in the index calculation. The index was developed with a base level of 1000 as of December 30, 1983. 

UKX Index (UKX INDEX)

EQD | Global Option Implied Volatility – 34 Trading Days Left in 2024, Year-End Positioning.

Global equity indices saw a post-election volatility drop, making options cheap in several, but not all, markets. Consider hedging gains with...

Gaudenz Schneider

EQD | Global Option Implied Volatility - Nikkei 225, Nifty 50, S&P/ASX 200, S&P 500, SMI, FTSE 100

Global equity markets have seen falling prices and rising volatility. Hedging opportunities exist in the FTSE 100, SMI, and S&P/ASX 200. The...

Gaudenz Schneider

Great Game – Biden in Free-Fall and a French Ménage À Trois

Biden is starting to drop rapidly in polls after the US presidential debate. Many polls show Trump to have opened a 2-4 point lead nationally,...

Steno Research

Positioning Watch – Markets are buying into US Fixed Income, but fast money don’t agree

Welcome back to our weekly positioning watch, brought to you today from a sunny Copenhagen. Denmark advanced as the second team in their Euros...

Steno Research

Portfolio Watch: Reflation is back!

We were honestly puzzled by the weakness in Manufacturing PMIs in April as our models pointed in the other direction. The timely data delivered by...

Steno Research

EQD | Global Option Implied Volatility – 34 Trading Days Left in 2024, Year-End Positioning.

​Global equity indices saw a post-election volatility drop, making options cheap in several, but not all, markets. Consider hedging gains with...

Gaudenz Schneider

EQD | Global Option Implied Volatility - Nikkei 225, Nifty 50, S&P/ASX 200, S&P 500, SMI, FTSE 100

​Global equity markets have seen falling prices and rising volatility. Hedging opportunities exist in the FTSE 100, SMI, and S&P/ASX 200. The...

Gaudenz Schneider

Great Game – Biden in Free-Fall and a French Ménage À Trois

Biden is starting to drop rapidly in polls after the US presidential debate. Many polls show Trump to have opened a 2-4 point lead nationally,...

Steno Research

Positioning Watch – Markets are buying into US Fixed Income, but fast money don’t agree

Welcome back to our weekly positioning watch, brought to you today from a sunny Copenhagen. Denmark advanced as the second team in their Euros...

Steno Research

Portfolio Watch: Reflation is back!

We were honestly puzzled by the weakness in Manufacturing PMIs in April as our models pointed in the other direction. The timely data delivered by...

Steno Research

Global equity indices saw a post-election volatility drop, making options cheap in several, but not all, markets. Consider hedging gains with...

Global equity markets have seen falling prices and rising volatility. Hedging opportunities exist in the FTSE 100, SMI, and S&P/ASX 200. The...