Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> implied volatility exhibited little change over the last week. It is in its 30th percentile. The term structure is flat and the skew smiles.</li>
<li>Transaction data shows that the relatively low implied volatility favors long vola strategies. Traders also take advantage of the skew through Call and Put Spreads alike.</li>
<li>Strategies reveal a bias towards a bearish view, with an expectation for volatility to pick up in late December and January.</li>
</ul>



Hang Seng Index (HSI INDEX) implied volatility exhibited little change over the last week. It is in its 30th percentile. The term structure is flat and the skew smiles.
Transaction data shows that the relatively low implied volatility favors long vola strategies. Traders also take advantage of the skew through Call and Put Spreads alike.
Strategies reveal a bias towards a bearish view, with an expectation for volatility to pick up in late December and January.


EQD | Hang Seng (HSI Index) - Most Popular Option Strategies, Long Vola with Bearish Bias

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Cross Asset Strategy

<ul>
<li>A review of recent events/data impacting our investment themes or outlook</li>
<li>Revisiting some of our old favourites- China, Japan and Gold</li>
<li>Short-Term trades continue to work but investors only interested in US equities</li>
</ul>


A review of recent events/data impacting our investment themes or outlook
Revisiting some of our old favourites- China, Japan and Gold
Short-Term trades continue to work but investors only interested in US equities


Overview #13 - The US Dollar Peaks, Japan Struggles While China Treads Water

<ul>
<li>The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.</li>
<li>Market Specific commentary and option opportunities for <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a>, <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>, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a>, <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 (NDX INDEX)</a>, <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 (SPX INDEX),</a> and more.</li>
<li>Volatility analytics plus upcoming events and market holidays to the end of January as reference data.</li>
</ul>


The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.
Market Specific commentary and option opportunities for NIFTY Index (NIFTY INDEX), S&amp;P/ASX 200 (AS51 INDEX), Nikkei 225 (NKY INDEX), Nasdaq-100 (NDX INDEX), S&amp;P 500 (SPX INDEX), and more.
Volatility analytics plus upcoming events and market holidays to the end of January as reference data.


EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

Chief Executive Officer, Emmer Capital Partners Limited

Manishi Raychaudhuri

Chief Executive Officer

Emmer Capital Partners Limited

Emmer Capital Partners is an Asia Pacific focused financial advisory firm engaging in strategic financial asset allocation advice, bespoke thematic research and advising early-stage companies and connecting them to investors. Emmer Capital provides macro-economic and multi-asset investment strategy inputs to institutions, family offices, private wealth managers, private equity, and corporate boards directly and through independent research platforms. Emmer Capital also advises a wide range of startup companies on fund raising and business strategy. Emmer Capital's active engagement with the print and electronic media reaches a broad spectrum of investors across the globe.

<ul>
<li>Asia is cheap relative to the US - trading at less than 40% of US's P/BV - but that's because Asia's ROE has consistently declined relative to US's.</li>
<li>Over the next couple of years Asian ROEs are forecast to revive relative to the US's but all Asian markets are not forecast to participate in this recovery.</li>
<li>The "ROE Winners" (rising forecast ROEs) are Korea, Taiwan, India, Malaysia. Indonesia to stay flat but solidly higher than Asian average. We are skeptical of HK/China and Thailand's ROE recovery.</li>
</ul>


Asia is cheap relative to the US - trading at less than 40% of US's P/BV - but that's because Asia's ROE has consistently declined relative to US's.
Over the next couple of years Asian ROEs are forecast to revive relative to the US's but all Asian markets are not forecast to participate in this recovery.
The "ROE Winners" (rising forecast ROEs) are Korea, Taiwan, India, Malaysia. Indonesia to stay flat but solidly higher than Asian average. We are skeptical of HK/China and Thailand's ROE recovery.


Asian Equities: Be Selective - Focus on The "ROE Winners"

Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

<ul>
<li>Move away from short gamma levels and position covering help push HSI implied vols lower on the week. </li>
<li>Short dated Puts are still very active in HSCEI at the 6300 and 6800 strikes. </li>
<li>Both HSI and HSCEI implied vols are trading about 2 points above their pre-stimulus levels. </li>
</ul>


Move away from short gamma levels and position covering help push HSI implied vols lower on the week. 
Short dated Puts are still very active in HSCEI at the 6300 and 6800 strikes. 
Both HSI and HSCEI implied vols are trading about 2 points above their pre-stimulus levels. 


EQD | Hong Kong Index Options Weekly - HSI and HSCEI

Hong Kong

The Hang Seng Index is a free-float capitalization-weighted index of a selection of companies from the Stock Exchange of Hong Kong. The components of the index are divided into four subindices: Commerce and Industry, Finance, Utilities, and Properties. The index was developed with a base level of 100 as of July 31, 1964.

Hang Seng Index (HSI INDEX)

EQD | Hang Seng (HSI Index) - Most Popular Option Strategies, Long Vola with Bearish Bias

Hang Seng Index implied volatility remains stable in the low twenties, favoring long vola strategies. Transaction data shows traders taking...

Gaudenz Schneider

Overview #13 - The US Dollar Peaks, Japan Struggles While China Treads Water

A review of recent events/data impacting our investment themes and outlook. We look at the some recent trends in China, Japan and the USD

Rikki Malik

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Gaudenz Schneider

Asian Equities: Be Selective - Focus on The "ROE Winners"

Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...

Manishi Raychaudhuri

EQD | Hong Kong Index Options Weekly - HSI and HSCEI

HSI implied vols decrease as short gamma positions in up-strike calls are covered. HSCEI still seeing increased activity in short dated 6300 and...

John Ley

EQD | Hang Seng (HSI Index) - Most Popular Option Strategies, Long Vola with Bearish Bias

​Hang Seng Index implied volatility remains stable in the low twenties, favoring long vola strategies. Transaction data shows traders taking...

Gaudenz Schneider

Overview #13 - The US Dollar Peaks, Japan Struggles While China Treads Water

A review of recent events/data impacting our investment themes and outlook. We look at the some recent trends in China, Japan and the USD

Rikki Malik

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

​US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Gaudenz Schneider

Asian Equities: Be Selective - Focus on The "ROE Winners"

​Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...

Manishi Raychaudhuri

EQD | Hong Kong Index Options Weekly - HSI and HSCEI

HSI implied vols decrease as short gamma positions in up-strike calls are covered. HSCEI still seeing increased activity in short dated 6300 and...

John Ley

Hang Seng Index implied volatility remains stable in the low twenties, favoring long vola strategies. Transaction data shows traders taking...

US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...