Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<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

Nasdaq-100 Stock Index / Equity Derivatives

<ul>
<li>A rare cross asset relative value opportunity; time horizon two months, market neutral, near zero-cost premium.</li>
<li>The strategy exploits the historically low difference between implied volatilities for the <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 Stock Index (NDX INDEX)</a> and the <a href="https://www.smartkarma.com/entities/spdr-gold-shares" target="_blank" data-smartkarma-citation="entities:8632:1" rel="noopener">SPDR Gold Shares (GLD US)</a>.</li>
<li>This insight lays out trade rationale, historical context, fundamental drivers, and trade implementation. Nasdaq-100 Vega exposure provides the strategy with an extra edge and tailwind for success.</li>
</ul>


A rare cross asset relative value opportunity; time horizon two months, market neutral, near zero-cost premium.
The strategy exploits the historically low difference between implied volatilities for the Nasdaq-100 Stock Index (NDX INDEX) and the SPDR Gold Shares (GLD US).
This insight lays out trade rationale, historical context, fundamental drivers, and trade implementation. Nasdaq-100 Vega exposure provides the strategy with an extra edge and tailwind for success.


EQD | Nasdaq-100 Vs. Gold - A Relative Value Volatility Strategy with an Edge

Research from Water Tower Research, Water Tower Research

Water Tower Research

Research from Water Tower Research

Water Tower Research is a leading equity research firm that provides research on micro, small and mid cap companies.

Water Tower Research was founded by Wall Street veterans after witnessing a fundamental shift in the investment research industry with the result being a declining knowledge base among investors, a lack of awareness and a shrinking pool of fundamental research being conducted on companies across the small-cap and micro-cap spectrum. The same issues are now increasingly occurring in the mid-cap space. This sea change within the investment community is impacting not only the companies themselves but also current shareholders and potential investors. With significantly less active sell-side sponsorship by Wall Street, a substantial information gap has developed between companies and various constituents in the financial community. The net result is fewer channels for insight and information to flow between companies and investors.

Equity Research Firm

Thematic (Sector/Industry)

<ul><li>The WTR Sustainable Index was down 4.5% W/W versus the S&amp;P 500 Index (down 2.1%), the cex (down 4.0%) and the Nasdaq Index (up 5.7%).</li><li>Energy Technology (13.5% of the index) was down 1.6%, while Industrial Climate and Ag Technology (48.3% of the index) was down 3.8%, ClimateTech Mining was down 3.4%, and Advanced Transportation Solutions (20.6% of index) was down 5.5%.</li><li>Top 10 Performers: GRB, BE, WKHS, MULN, LILM, HLGN, FGPHF, AMPS, NEOV, NOVA</li></ul>

The WTR Sustainable Index was down 4.5% W/W versus the S&amp;P 500 Index (down 2.1%), the cex (down 4.0%) and the Nasdaq Index (up 5.7%).Energy Technology (13.5% of the index) was down 1.6%, while Industrial Climate and Ag Technology (48.3% of the index) was down 3.8%, ClimateTech Mining was down 3.4%, and Advanced Transportation Solutions (20.6% of index) was down 5.5%.Top 10 Performers: GRB, BE, WKHS, MULN, LILM, HLGN, FGPHF, AMPS, NEOV, NOVA

Sustainable Investing Surveyor Focus on REX American Resources Corp. (REX)

TSE Tokyo Price Index TOPIX / Equity Derivatives

<ul>
<li>Observing implied volatility across 16 markets plus gold provides a picture of falling implied volatility, despite dispersion in market performance.</li>
<li>Several, but not all, markets display moderation from unusual volatility levels to a more balanced implied volatility structure.</li>
<li>The realignment of implied volatility across markets presents potential relative value opportunities.</li>
</ul>


Observing implied volatility across 16 markets plus gold provides a picture of falling implied volatility, despite dispersion in market performance.
Several, but not all, markets display moderation from unusual volatility levels to a more balanced implied volatility structure.
The realignment of implied volatility across markets presents potential relative value opportunities.


EQD | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

<ul><li>The WTR Sustainable Index was up 3.6% W/W versus the S&amp;P 500 Index (up 4.7%), the Russell 2000 Index (up 8.6%) and the Nasdaq Index (down 3.7%).</li><li>Energy Technology (13.8% of the index) was down 0.3%, while Industrial Climate and Ag Technology (48.0% of the index) was up 5.3%, ClimateTech Mining was down 3%, and Advanced Transportation Solutions (20.8% of index) was up 3.2%.</li><li>Top 10 Performers: EXROF, FREY, GWTI-US, ZEV, BE, PSIX, NEOV, LICY, SMR-US</li></ul>

The WTR Sustainable Index was up 3.6% W/W versus the S&amp;P 500 Index (up 4.7%), the Russell 2000 Index (up 8.6%) and the Nasdaq Index (down 3.7%).Energy Technology (13.8% of the index) was down 0.3%, while Industrial Climate and Ag Technology (48.0% of the index) was up 5.3%, ClimateTech Mining was down 3%, and Advanced Transportation Solutions (20.8% of index) was up 3.2%.Top 10 Performers: EXROF, FREY, GWTI-US, ZEV, BE, PSIX, NEOV, LICY, SMR-US

Sustainable Investing Surveyor - November 11, 2024

United States

The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ. No security can have more than a 24% weighting. The index was developed with a base value of 125 as of February 1, 1985. Prior to December 21,1998 the Nasdaq 100 was a cap-weighted index.

Nasdaq-100 Stock Index (NDX INDEX)

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

EQD | Nasdaq-100 Vs. Gold - A Relative Value Volatility Strategy with an Edge

Rare cross asset relative value opportunity exploiting low spread between implied volatilities of Nasdaq-100 and Gold. Tailwind for success...

Gaudenz Schneider

Sustainable Investing Surveyor Focus on REX American Resources Corp. (REX)

The WTR Sustainable Index was down 4.5% W/W versus the S&P 500 Index (down 2.1%), the Russell 2000 Index (down 4.0%) and the Nasdaq Index (up 5.7%).

Water Tower Research

EQD | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...

Gaudenz Schneider

Sustainable Investing Surveyor - November 11, 2024

The WTR Sustainable Index was up 3.6% W/W versus the S&P 500 Index (up 4.7%), the Russell 2000 Index (up 8.6%) and the Nasdaq Index (down 3.7%).

Water Tower Research

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

EQD | Nasdaq-100 Vs. Gold - A Relative Value Volatility Strategy with an Edge

​Rare cross asset relative value opportunity exploiting low spread between implied volatilities of Nasdaq-100 and Gold. Tailwind for success...

Gaudenz Schneider

Sustainable Investing Surveyor Focus on REX American Resources Corp. (REX)

The WTR Sustainable Index was down 4.5% W/W versus the S&P 500 Index (down 2.1%), the Russell 2000 Index (down 4.0%) and the Nasdaq Index (up 5.7%).

Water Tower Research

EQD | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

​Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...

Gaudenz Schneider

Sustainable Investing Surveyor - November 11, 2024

The WTR Sustainable Index was up 3.6% W/W versus the S&P 500 Index (up 4.7%), the Russell 2000 Index (up 8.6%) and the Nasdaq Index (down 3.7%).

Water Tower Research

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....

Rare cross asset relative value opportunity exploiting low spread between implied volatilities of Nasdaq-100 and Gold. Tailwind for success...

Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...