Derivatives and Quantitative Strategist

Gaudenz Schneider

Quantitative Analysis

<ul>
<li>
Context: A recent market pullback alongside implied volatility at the 95th–98th percentile has created a fertile environment for cross-sectional analysis across TOPIX and Nikkei 225 constituents.</li>
<li>
 Highlights: A quantitative screen reveals dispersion in both returns and volatility, with distinct clusters supporting different option structures—from premium-selling strategies to asymmetric upside participation.</li>
<li>
 Why read: This note provides a practical framework and illustrative setups (put underwriting, risk reversals) to help investors translate volatility signals into tailored option strategies.</li>
</ul>



Context: A recent market pullback alongside implied volatility at the 95th–98th percentile has created a fertile environment for cross-sectional analysis across TOPIX and Nikkei 225 constituents.

 Highlights: A quantitative screen reveals dispersion in both returns and volatility, with distinct clusters supporting different option structures—from premium-selling strategies to asymmetric upside participation.

 Why read: This note provides a practical framework and illustrative setups (put underwriting, risk reversals) to help investors translate volatility signals into tailored option strategies.


Japan Equities: Volatility Spike and Dispersion Create Options Opportunities

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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sanrio-co-ltd" target="_blank" data-smartkarma-citation="entities:16476:1" rel="noopener">Sanrio (8136 JP)</a>'s stock price dropped following the placement announcement in November. Then there was a rally in the stock amid increased volatility.</li>
<li>The placement resulted in an increase in free float and the move higher in the stock could lead to <a href="https://www.smartkarma.com/entities/sanrio-co-ltd" target="_blank" data-smartkarma-citation="entities:16476:1" rel="noopener">Sanrio (8136 JP)</a> being added to a global index in May.</li>
<li>There is positioning in the stock but a lot of that appears to have been taken off in the last month. The stock could move higher depending on global cues.</li>
</ul>



Sanrio (8136 JP)'s stock price dropped following the placement announcement in November. Then there was a rally in the stock amid increased volatility.
The placement resulted in an increase in free float and the move higher in the stock could lead to Sanrio (8136 JP) being added to a global index in May.
There is positioning in the stock but a lot of that appears to have been taken off in the last month. The stock could move higher depending on global cues.


Sanrio (8136 JP): Global Index Inclusion in May

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>About 10 days ago I put out a piece saying H1 guidance trends were such that a lot more banks would upgrade guidance before results. </li>
<li>More than two dozen did and the average guidance uplift is VERY high at +59%. The median uplift vs guidance for 35 banks guiding/reporting is +39% for H1. </li>
<li>The big wave of bank earnings is today through late next week. Megas at the end. Stay long banks. Megas. Cheap regionals. </li>
</ul>


About 10 days ago I put out a piece saying H1 guidance trends were such that a lot more banks would upgrade guidance before results. 
More than two dozen did and the average guidance uplift is VERY high at +59%. The median uplift vs guidance for 35 banks guiding/reporting is +39% for H1. 
The big wave of bank earnings is today through late next week. Megas at the end. Stay long banks. Megas. Cheap regionals. 


Japan 2024 H1 Bank Guidance/Results - Better and Better

Head of Research, IPOs & Placements, Aequitas Research

Sumeet Singh

Head of Research, IPOs & Placements

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

<ul>
<li>Following up on our earlier cross-shareholding notes, in this note we look at <a href="https://www.smartkarma.com/entities/mizuho-financial-group-inc" target="_blank" data-smartkarma-citation="entities:219:1" rel="noopener">Mizuho Financial Group (8411 JP)</a>'s cross-shareholding.</li>
<li>Mizuho had a stake over US$100m in at least 34 listed Japanese stocks, amounting to a total of around US$7bn.</li>
<li>In this note, we take a look at its stakes in various companies to see which ones could possibly be candidates for further selldowns.</li>
</ul>


Following up on our earlier cross-shareholding notes, in this note we look at Mizuho Financial Group (8411 JP)'s cross-shareholding.
Mizuho had a stake over US$100m in at least 34 listed Japanese stocks, amounting to a total of around US$7bn.
In this note, we take a look at its stakes in various companies to see which ones could possibly be candidates for further selldowns.


Mizuho Cross-Shareholding - US$11bn of Cross-Shareholding, with at Least US$2bn to Sell over FY24-26

Research and consultancy, Tabbush Report

Daniel Tabbush

Research and consultancy

Tabbush Report

We provide research and consultancy on Asian banks. Our focus is on what we call “Asian bank research, without the noise.” We are interested in the most critical swing-factors for banks, the NPL and credit cycle, and where we believe there is a gap between perception and reality. We often focus on the less studied components of bank financial statements.  Our research is highly thematic, sometimes examining unlisted banks and companies as a window on mainstream banks. 

Being independent allows us to look at smaller banks, often overlooked by others. Analysis of BIS bank guidelines in the context of Asia, is also a focal point, while we also analyze global banks operating in the region. We use what we believe is the most comprehensive, reliable financials database, SNL Financial. S&P Capital IQ augments our database, with corporate data and CEIC, with economics. 

Asian bank research, without the noise.

Equity Bottom-Up

<ul>
<li>
<a href="https://www.smartkarma.com/entities/japan-post-bank-co-ltd" target="_blank" data-smartkarma-citation="entities:838:1" rel="noopener">Japan Post Bank (7182 JP)</a> saw its net profit surge from non-recurring gains, which was from the sale of stocks.  </li>
<li>The company's cost of funds worsened more than the improvement in its yields, and we believe this remains an issue related to hedging costs. </li>
<li>Unrealized gains on foreign bonds remains significantly higher now than a year ago and this may again be the driver for earnings, but still with very low ROA. </li>
</ul>



Japan Post Bank (7182 JP) saw its net profit surge from non-recurring gains, which was from the sale of stocks.  
The company's cost of funds worsened more than the improvement in its yields, and we believe this remains an issue related to hedging costs. 
Unrealized gains on foreign bonds remains significantly higher now than a year ago and this may again be the driver for earnings, but still with very low ROA. 


Japan Post Bank - It's like a Closed End Mutual Fund More Than Ever

Japan

Mizuho Financial Group, Inc. provides comprehensive financial services through its subsidiaries. The Group provides variety of financial services such as general banking, securities brokerage, trust banking, and assets management.

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Mizuho Financial Group (8411 JP)

Japan Equities: Volatility Spike and Dispersion Create Options Opportunities

This note presents a cross-sectional approach to identifying options strategies in Japanese equities, set against a backdrop of market pullback and...

Gaudenz Schneider

Sanrio (8136 JP): Global Index Inclusion in May

Sanrio's stock price has stalled over the last few weeks and the announcement of inclusion in a global index in the next few weeks could take the...

Brian Freitas

Japan 2024 H1 Bank Guidance/Results - Better and Better

This AM has a Nikkei headline saying Japan's 3 megabanks will report ¥2.0trln in Net Profit in H1. That compares to ¥894bn last year, and ¥3.3trln...

Travis Lundy

Mizuho Cross-Shareholding - US$11bn of Cross-Shareholding, with at Least US$2bn to Sell over FY24-26

Following up on our earlier cross-shareholding notes, in this note we look at Mizuho Financial Group (8411 JP)'s cross-shareholding.

Sumeet Singh

Japan Post Bank - It's like a Closed End Mutual Fund More Than Ever

Japan Post Bank is more than ever like a closed-end mutual fund, which is hardly seeing any line items drive profit upward other than stock sales,...

Daniel Tabbush

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