Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> option implied volatility is stabilizing at an elevated level. This Insight analyses term structure, skew, open interest, and more.</li>
<li>We identify a tactical option opportunity that profits from the current volatility structure.</li>
<li>Are Consumer Price Index and Bank of Japan interest rate decision announcements systematically followed by unusually large market moves? We run the numbers. </li>
</ul>



Nikkei 225 (NKY INDEX) option implied volatility is stabilizing at an elevated level. This Insight analyses term structure, skew, open interest, and more.
We identify a tactical option opportunity that profits from the current volatility structure.
Are Consumer Price Index and Bank of Japan interest rate decision announcements systematically followed by unusually large market moves? We run the numbers. 


EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

IPOs and Catalysts/Events, Global Equity Research Ltd

Arun George

IPOs and Catalysts/Events

Uncompromised, Independent, Conflict-Free Research

Global Equity Research Ltd

Global Equity Research was started in 2017 by a group of experienced research professionals. It was founded on a passionate belief in the importance and the need for uncompromised, independent, conflict-free research. We aim to provide differentiated and actionable primary and bottom up fundamental research.

Event-Driven

<ul>
<li>In response to media reports, <a href="https://www.smartkarma.com/entities/seven-i-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:1041:1" rel="noopener">Seven &amp; I Holdings (3382 JP)</a> confirmed receiving a revised non-binding proposal from <a href="https://www.smartkarma.com/entities/alimentation-couche-tard-inc" target="_blank" data-smartkarma-citation="entities:25103:1" rel="noopener">Alimentation Couche-Tard (ATD CN)</a>. </li>
<li>The rumoured revised offer is US$18.19, a 22.4% premium to the initial US$14.86 offer. The revised terms are attractive vs precedent transactions and analyst price targets.</li>
<li>The Board would cite regulatory concerns and the revised offer's implied discount compared to peer multiples. At tomorrow's results, the Board must present a credible alternative value generation path.</li>
</ul>


In response to media reports, Seven &amp; I Holdings (3382 JP) confirmed receiving a revised non-binding proposal from Alimentation Couche-Tard (ATD CN). 
The rumoured revised offer is US$18.19, a 22.4% premium to the initial US$14.86 offer. The revised terms are attractive vs precedent transactions and analyst price targets.
The Board would cite regulatory concerns and the revised offer's implied discount compared to peer multiples. At tomorrow's results, the Board must present a credible alternative value generation path.


Seven & I Holdings (3382 JP): Pressure Mounts with a Couche-Tard Revised Offer

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> volatility is trading at historically high levels, and the skew is steep.</li>
<li>National, regional and global catalysts provide the potential for further near-term market turbulence. Downside risk persists.</li>
<li>The current vol environment lends itself to tactical option trades, such as put spreads or risk reversals.</li>
</ul>



Nikkei 225 (NKY INDEX) volatility is trading at historically high levels, and the skew is steep.
National, regional and global catalysts provide the potential for further near-term market turbulence. Downside risk persists.
The current vol environment lends itself to tactical option trades, such as put spreads or risk reversals.


EQD | Nikkei 225 - Persistent Volatility Amid Election Uncertainty: Tactical Opportunities Explored

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

Taiwan Stock Exchange Weighted Index / Technical Analysis

<ul>
<li>Rallies appear to be stalling-out near logical resistances in the largest global equity markets. That includes 5670-5783 on SPX, 2690-2700 on Japan's TOPIX, and 4884 on Europe's EURO STOXX 50.</li>
<li>We continue to believe these indexes will roll over near current or marginally higher levels, fitting with our ongoing belief that MSCI ACWI is going through a 1-to-4-month pullback/consolidation.</li>
<li>Long-Term uptrend violations on global indexes and continued outperformance from defensive Sectors are our top concerns for global equities, though recession indicators and a Fed cutting cycle are also concerns.</li>
</ul>


Rallies appear to be stalling-out near logical resistances in the largest global equity markets. That includes 5670-5783 on SPX, 2690-2700 on Japan's TOPIX, and 4884 on Europe's EURO STOXX 50.
We continue to believe these indexes will roll over near current or marginally higher levels, fitting with our ongoing belief that MSCI ACWI is going through a 1-to-4-month pullback/consolidation.
Long-Term uptrend violations on global indexes and continued outperformance from defensive Sectors are our top concerns for global equities, though recession indicators and a Fed cutting cycle are also concerns.


Expecting Downside Ahead; Stick With Defensives; Downgrading Taiwan to Market Weight; Risk-Off Signs

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>Today after the close, <a href="https://www.smartkarma.com/entities/toyota-motor-corp" target="_blank" data-smartkarma-citation="entities:73:1" rel="noopener">Toyota Motor (7203 JP)</a> reported the results of their ¥800bn Tender Offer Buyback, originally intended to repurchase 290.12mm shares from cross-holders. </li>
<li>In the end, 343.83mm shares were tendered (53.71mm shares more than originally expected, worth about ¥150bn at Tender Price). That creates back-end "issues" which must be considered.</li>
<li>The resulting supply/demand profile is mixed, but on balance, I expect sees positive demand into the H1 earnings announcement. Watch for another buyback possibly announced then.</li>
</ul>


Today after the close, Toyota Motor (7203 JP) reported the results of their ¥800bn Tender Offer Buyback, originally intended to repurchase 290.12mm shares from cross-holders. 
In the end, 343.83mm shares were tendered (53.71mm shares more than originally expected, worth about ¥150bn at Tender Price). That creates back-end "issues" which must be considered.
The resulting supply/demand profile is mixed, but on balance, I expect sees positive demand into the H1 earnings announcement. Watch for another buyback possibly announced then.


Toyota Partial Offer Results - What Next?

Japan

KDDI CORPORATION provides mobile communication services and sells mobile devices.  The Company also is a broadband provider.

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KDDI Corp (9433 JP)

EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...

Gaudenz Schneider

Seven & I Holdings (3382 JP): Pressure Mounts with a Couche-Tard Revised Offer

The revised offer will mount pressure to engage. The Board is running out of excuses and will lean heavily on an alternative value generation path...

Arun George

EQD | Nikkei 225 - Persistent Volatility Amid Election Uncertainty: Tactical Opportunities Explored

Nikkei 225 volatility is high with steep skew. Potential for more turbulence due to various catalysts. Tactical option trades recommended.

Gaudenz Schneider

Expecting Downside Ahead; Stick With Defensives; Downgrading Taiwan to Market Weight; Risk-Off Signs

Expecting Downside Ahead $ACWI $SPX; Stick With Defensive Sectors; Downgrading Taiwan $EWT $TSM to Market Weight; Global Discretionary vs. Staples...

Vermilion Research

Toyota Partial Offer Results - What Next?

A discussion of the Toyota Tender Offer Results, what they mean for supply/demand dynamics near-term, when the current buyback could be completed,...

Travis Lundy

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EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

​Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...

Gaudenz Schneider

Seven & I Holdings (3382 JP): Pressure Mounts with a Couche-Tard Revised Offer

The revised offer will mount pressure to engage. The Board is running out of excuses and will lean heavily on an alternative value generation path...

Arun George

EQD | Nikkei 225 - Persistent Volatility Amid Election Uncertainty: Tactical Opportunities Explored

​Nikkei 225 volatility is high with steep skew. Potential for more turbulence due to various catalysts. Tactical option trades recommended.

Gaudenz Schneider

Expecting Downside Ahead; Stick With Defensives; Downgrading Taiwan to Market Weight; Risk-Off Signs

Expecting Downside Ahead $ACWI $SPX; Stick With Defensive Sectors; Downgrading Taiwan $EWT $TSM to Market Weight; Global Discretionary vs. Staples...

Vermilion Research

Toyota Partial Offer Results - What Next?

A discussion of the Toyota Tender Offer Results, what they mean for supply/demand dynamics near-term, when the current buyback could be completed,...

Travis Lundy

Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...

Nikkei 225 volatility is high with steep skew. Potential for more turbulence due to various catalysts. Tactical option trades recommended.