Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>A quick look at the tactical forecast models for some key markets impacted by the Israeli attack to Iran on June 13th.</li>
<li>We analyze: <a href="https://www.smartkarma.com/entities/crude-oil" target="_blank" data-smartkarma-citation="entities:22869:1" rel="noopener">Crude Oil Futures (CL1 COM COMDTY)</a> , <a href="https://www.smartkarma.com/entities/gold" target="_blank" data-smartkarma-citation="entities:22870:1" rel="noopener">Gold Futures (GOLD COMDTY)</a> , <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 Index (NDX)</a> , <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 Index</a>, <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</a> and <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> </li>
<li>Keep in mind that high volatility can push easily a market into the model's tails, and forecasts in tails area rely on less data (i.e. less accurate). </li>
</ul>


A quick look at the tactical forecast models for some key markets impacted by the Israeli attack to Iran on June 13th.
We analyze: Crude Oil Futures (CL1 COM COMDTY) , Gold Futures (GOLD COMDTY) , Nasdaq-100 Index (NDX) , Nikkei 225 Index, Hang Seng Index and NIFTY Index 
Keep in mind that high volatility can push easily a market into the model's tails, and forecasts in tails area rely on less data (i.e. less accurate). 


Key Markets Tactical Outlooks After Israel Strike on Iran

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

Event-Driven

<ul>
<li>For each share of <a href="https://www.smartkarma.com/entities/sony-corp" target="_blank" data-smartkarma-citation="entities:563:1" rel="noopener">Sony Corp (6758 JP)</a>, shareholders will receive 1 share of Sony Financial Group. Ex-date for the dividend in-kind is 29 September.</li>
<li>The Nikkei has started a market consultation on treatment of the spinoff in the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei225</a> and that means the dividend in-kind will not be included in the Dividend Point Index.</li>
<li>There will be some selling in SFGI from passive trackers and the company will buy back some stock following listing. Details of the buyback have not been announced yet.</li>
</ul>


For each share of Sony Corp (6758 JP), shareholders will receive 1 share of Sony Financial Group. Ex-date for the dividend in-kind is 29 September.
The Nikkei has started a market consultation on treatment of the spinoff in the Nikkei225 and that means the dividend in-kind will not be included in the Dividend Point Index.
There will be some selling in SFGI from passive trackers and the company will buy back some stock following listing. Details of the buyback have not been announced yet.


Index Treatment of Sony (6758 JP)'s Spinoff of the Financial Services Business

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>Most major indices extended their April rally through May, but seasonal patterns suggest caution from here.</li>
<li>Implied volatility declined across most markets, but remains above historical medians in several key regions.</li>
<li>Vol premium analysis highlights a few standouts where short vol has historically outperformed.</li>
</ul>


Most major indices extended their April rally through May, but seasonal patterns suggest caution from here.
Implied volatility declined across most markets, but remains above historical medians in several key regions.
Vol premium analysis highlights a few standouts where short vol has historically outperformed.


Global Macro Outlook (June): From Rally to Reversal? Macro Trends Shift as June Unfolds

Derivatives and Quantitative Strategist

Gaudenz Schneider

Macroeconomics

<ul>
<li>
Central Bank Rate Decisions, including from the Reserve Bank of India (RBI), the Bank of Japan, and the Fed.</li>
<li>
Index Rebalancings for the Australian, Indian, Hong Kong, and US benchmark indices. </li>
<li>
Elections: South Korea Presidential Elections on 3 June; potential for the opposition party to win the presidency.</li>
</ul>



Central Bank Rate Decisions, including from the Reserve Bank of India (RBI), the Bank of Japan, and the Fed.

Index Rebalancings for the Australian, Indian, Hong Kong, and US benchmark indices. 

Elections: South Korea Presidential Elections on 3 June; potential for the opposition party to win the presidency.


<ul>
<li>
Central Bank Rate Decisions, including from the Bank of Japan, the Fed, the Reserve Bank of Australia, and the Bank of Korea.</li>
<li>
Elections: Australia is holding national elections on 3 May while South Korea has presidential elections in early June.</li>
<li>
Various exchange holidays in several countries at the beginning of the month, and in the last week of May.</li>
</ul>



Central Bank Rate Decisions, including from the Bank of Japan, the Fed, the Reserve Bank of Australia, and the Bank of Korea.

Elections: Australia is holding national elections on 3 May while South Korea has presidential elections in early June.

Various exchange holidays in several countries at the beginning of the month, and in the last week of May.


Japan

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

Nikkei 225 (NKY INDEX)

Key Markets Tactical Outlooks After Israel Strike on Iran

Analysis of tactical forecast models for key markets impacted by Israeli attack on Iran. We analyze: Crude Oil, Gold, Nasdsaq100 Index, Nikkei...

Nico Rosti

Index Treatment of Sony (6758 JP)'s Spinoff of the Financial Services Business

Sony will distribute SFGI shares with an ex-date of 29 Sep. There will be selling from NKY trackers on listing day and possibly from global index...

Brian Freitas

Global Macro Outlook (June): From Rally to Reversal? Macro Trends Shift as June Unfolds

Major indices continued their rally in May, but caution is advised due to seasonal patterns. Implied volatility has decreased but remains high in...

John Ley

The Month Ahead: Key Events in June 2025

Central bank rate decisions, index rebalancings, and upcoming South Korea presidential elections are key events to watch for in Asia-Pacific in June.

Gaudenz Schneider

The Month Ahead: Key Events in May 2025

May will be a busy month with central bank rate decisions, elections in Australia and South Korea. Dates of exchange holidays and monthly option...

Gaudenz Schneider

Key Markets Tactical Outlooks After Israel Strike on Iran

​Analysis of tactical forecast models for key markets impacted by Israeli attack on Iran. We analyze: Crude Oil, Gold, Nasdsaq100 Index, Nikkei...

Nico Rosti

Index Treatment of Sony (6758 JP)'s Spinoff of the Financial Services Business

Sony will distribute SFGI shares with an ex-date of 29 Sep. There will be selling from NKY trackers on listing day and possibly from global index...

Brian Freitas

Global Macro Outlook (June): From Rally to Reversal? Macro Trends Shift as June Unfolds

​Major indices continued their rally in May, but caution is advised due to seasonal patterns. Implied volatility has decreased but remains high in...

John Ley

The Month Ahead: Key Events in June 2025

​Central bank rate decisions, index rebalancings, and upcoming South Korea presidential elections are key events to watch for in Asia-Pacific in June.

Gaudenz Schneider

The Month Ahead: Key Events in May 2025

​May will be a busy month with central bank rate decisions, elections in Australia and South Korea. Dates of exchange holidays and monthly option...

Gaudenz Schneider

Analysis of tactical forecast models for key markets impacted by Israeli attack on Iran. We analyze: Crude Oil, Gold, Nasdsaq100 Index, Nikkei...

Major indices continued their rally in May, but caution is advised due to seasonal patterns. Implied volatility has decreased but remains high in...

Central bank rate decisions, index rebalancings, and upcoming South Korea presidential elections are key events to watch for in Asia-Pacific in June.

May will be a busy month with central bank rate decisions, elections in Australia and South Korea. Dates of exchange holidays and monthly option...