Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>This strategy exploits relative value in implied volatilities and combines it with a long Nifty 50 vs. short Nikkei 225 directional view over a period of two months.</li>
<li>The strategy performs well if the Nifty 50 rises and outperforms the Nikkei 225. If both indices decline, neither profit nor loss is incurred.</li>
<li>Leverage increases both the strategy's payoff and probability of success.</li>
</ul>


This strategy exploits relative value in implied volatilities and combines it with a long Nifty 50 vs. short Nikkei 225 directional view over a period of two months.
The strategy performs well if the Nifty 50 rises and outperforms the Nikkei 225. If both indices decline, neither profit nor loss is incurred.
Leverage increases both the strategy's payoff and probability of success.


EQD | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> has been falling for 5 straight weeks: it is extremely oversold, according to our model.
</li>
<li>The index should rebound this week, or the next, in any case the downside should be limited at this point.
</li>
<li>A rally could bring the index back to 25398, but we are witnessing a BEARISH pattern at the moment, so any rebound rally will be short-lived.</li>
</ul>


The NIFTY Index has been falling for 5 straight weeks: it is extremely oversold, according to our model.

The index should rebound this week, or the next, in any case the downside should be limited at this point.

A rally could bring the index back to 25398, but we are witnessing a BEARISH pattern at the moment, so any rebound rally will be short-lived.


NIFTY 50 Index Outlook: Rebound Rally in Sight? (Profit Targets)

<ul>
<li>A quick synoptic look at the tactical models for the key indices, stocks, commodities and bonds we cover, for the week August 4 - August 8.</li>
<li>
OVERSOLD: <a href="https://www.smartkarma.com/entities/china-mobile-ltd" target="_blank" data-smartkarma-citation="entities:27:1" rel="noopener">China Mobile (941 HK)</a> , <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> , <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 INDEX</a> </li>
<li>
OVERBOUGHT: <a href="https://www.smartkarma.com/entities/nvidia-corp" target="_blank" data-smartkarma-citation="entities:5891:1" rel="noopener">NVIDIA Corp (NVDA US)</a> is the only stock clearly overbought. </li>
</ul>


A quick synoptic look at the tactical models for the key indices, stocks, commodities and bonds we cover, for the week August 4 - August 8.

OVERSOLD: China Mobile (941 HK) , NIFTY Index , KOSPI 200 INDEX 

OVERBOUGHT: NVIDIA Corp (NVDA US) is the only stock clearly overbought. 


Global Markets Tactical Outlook: Week of August 4 – August 8

Event-Driven

<ul>
<li>
Event Preview: The Reserve Bank of India will announce its next policy decision on Wednesday, August 6, 2025. After June's larger-than-expected 0.5% rate cut, consensus expects no change.</li>
<li>
Market Reaction History: The NIFTY 50 has historically moved more when the RBI surprises markets - a 27% occurrence rate over the past decade. </li>
<li>
Options Perspective: This Insight investigates past market behavior during comparable RBI policy announcements and contrasts it with what current option pricing implies for this week’s move.</li>
</ul>



Event Preview: The Reserve Bank of India will announce its next policy decision on Wednesday, August 6, 2025. After June's larger-than-expected 0.5% rate cut, consensus expects no change.

Market Reaction History: The NIFTY 50 has historically moved more when the RBI surprises markets - a 27% occurrence rate over the past decade. 

Options Perspective: This Insight investigates past market behavior during comparable RBI policy announcements and contrasts it with what current option pricing implies for this week’s move.


RBI Rate Decision on 6 Aug: Nifty 50’s Historic Moves Matched by Options Market

<ul>
<li>Cross-Market volatility snapshot highlighting option opportunities. Today's opportunities are in the Nifty 50 and in Bitcoin</li>
<li>Nifty 50: The index crossed the 50-day moving average, signaling a bullish trend. Hedging gains is recommended due to expected macroeconomic uncertainty in Q1 2025.</li>
<li>Bitcoin: Surpassed $100,000, driven by positive sentiment towards the incoming US President's crypto-friendly stance. Options strategies are suggested, plus how a synthetic Bitcoin bond compares to a corporate bond.</li>
</ul>


Cross-Market volatility snapshot highlighting option opportunities. Today's opportunities are in the Nifty 50 and in Bitcoin
Nifty 50: The index crossed the 50-day moving average, signaling a bullish trend. Hedging gains is recommended due to expected macroeconomic uncertainty in Q1 2025.
Bitcoin: Surpassed $100,000, driven by positive sentiment towards the incoming US President's crypto-friendly stance. Options strategies are suggested, plus how a synthetic Bitcoin bond compares to a corporate bond.


EQD | Global Option Implied Volatility - From Nifty 50 to Bitcoin, Plus BTC-Bond Special

India

The NIFTY 50 index is National Stock Exchange of India's benchmark stock market index for Indian equity market. Nifty is owned and managed by India Index Services and Products (IISL), which is a wholly owned subsidiary of the NSE Strategic Investment Corporation Limited.

NIFTY Index (NIFTY INDEX)

EQD | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

Option strategy: exploit relative value in implied volatilities combined with directional positioning for a leveraged payoff in a long Nifty 50 vs....

Gaudenz Schneider

NIFTY 50 Index Outlook: Rebound Rally in Sight? (Profit Targets)

The NIFTY Index is extremely oversold and expected to rebound soon, but any rally will be short-lived due to a bearish pattern. Profit targets and...

Nico Rosti

Global Markets Tactical Outlook: Week of August 4 – August 8

Our WEEKLY tactical models show oversold conditions for China Mobile, NIFTY Index, and KOSPI 200 Index, while NVIDIA Corp is the only stock...

Nico Rosti

RBI Rate Decision on 6 Aug: Nifty 50’s Historic Moves Matched by Options Market

A data-driven look at how the Nifty 50 has historically reacted to RBI policy decisions - and what current options pricing signals for August 6.

Gaudenz Schneider

EQD | Global Option Implied Volatility - From Nifty 50 to Bitcoin, Plus BTC-Bond Special

Opportunities in Nifty 50 and Bitcoin options due to bullish trends and positive sentiment. Global volatility overview of 15+ markets and...

Gaudenz Schneider

EQD | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

Option strategy: exploit relative value in implied volatilities combined with directional positioning for a leveraged payoff in a long Nifty 50 vs....

Gaudenz Schneider

NIFTY 50 Index Outlook: Rebound Rally in Sight? (Profit Targets)

​The NIFTY Index is extremely oversold and expected to rebound soon, but any rally will be short-lived due to a bearish pattern. Profit targets and...

Nico Rosti

Global Markets Tactical Outlook: Week of August 4 – August 8

​Our WEEKLY tactical models show oversold conditions for China Mobile, NIFTY Index, and KOSPI 200 Index, while NVIDIA Corp is the only stock...

Nico Rosti

RBI Rate Decision on 6 Aug: Nifty 50’s Historic Moves Matched by Options Market

A data-driven look at how the Nifty 50 has historically reacted to RBI policy decisions - and what current options pricing signals for August 6.

Gaudenz Schneider

EQD | Global Option Implied Volatility - From Nifty 50 to Bitcoin, Plus BTC-Bond Special

​Opportunities in Nifty 50 and Bitcoin options due to bullish trends and positive sentiment. Global volatility overview of 15+ markets and...

Gaudenz Schneider

The NIFTY Index is extremely oversold and expected to rebound soon, but any rally will be short-lived due to a bearish pattern. Profit targets and...

Our WEEKLY tactical models show oversold conditions for China Mobile, NIFTY Index, and KOSPI 200 Index, while NVIDIA Corp is the only stock...

Opportunities in Nifty 50 and Bitcoin options due to bullish trends and positive sentiment. Global volatility overview of 15+ markets and...