Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>As predicted in our <a href="https://www.smartkarma.com/insights/nikkei-225-index-outlook-bullish-possibly-directed-past-41k" target="_blank" rel="noopener">July 15th insight</a>, the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> rallied past 41k (reached near 44k) and now, as predicted by our latest <a href="https://qantrading.com/quantcharts/Heatmaps/rev_prob_heat_map_WEEKLY.html" target="_blank" rel="noopener">WEEKLY HEAT MAP</a>, went down.</li>
<li>The index reached a low of 42724 this week, it is only mildly oversold so far, probability of reversal is around 52% at the moment.</li>
<li>
Key support levels to watch are 42577 (Q2) and 41606 (Q3). A file with all our PRICE/TIME model dataset for the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> is attached at the end, for your reference. </li>
</ul>


As predicted in our July 15th insight, the Nikkei 225 (NKY INDEX) rallied past 41k (reached near 44k) and now, as predicted by our latest WEEKLY HEAT MAP, went down.
The index reached a low of 42724 this week, it is only mildly oversold so far, probability of reversal is around 52% at the moment.

Key support levels to watch are 42577 (Q2) and 41606 (Q3). A file with all our PRICE/TIME model dataset for the Nikkei 225 is attached at the end, for your reference. 


Nikkei 225 Index Outlook: Key Buy Targets To Watch

Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

<ul>
<li>Ahead of the Bank of Japan’s 31 July 2025 policy meeting, markets broadly expect rates to remain on hold at 0.5%.</li>
<li>The new US–Japan trade deal may influence the tone of the upcoming quarterly outlook—if not the rate decision itself.</li>
<li>With limited precedent for rate changes but a high rate of surprises when they do occur, this Insight combines historical data with option-implied volatility to help investors assess tail risks.</li>
</ul>


Ahead of the Bank of Japan’s 31 July 2025 policy meeting, markets broadly expect rates to remain on hold at 0.5%.
The new US–Japan trade deal may influence the tone of the upcoming quarterly outlook—if not the rate decision itself.
With limited precedent for rate changes but a high rate of surprises when they do occur, this Insight combines historical data with option-implied volatility to help investors assess tail risks.


Bank of Japan’s Rate Decision on 31 July: Market Calm, Watch for Tail Risk

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>
<a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899" rel="noopener">Hang Seng Index (HSI INDEX)</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)</a> and <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909" rel="noopener">Nikkei 225 (NKY INDEX)</a> all have elevated implied vols vs their peers and vs historical observations for October.</li>
<li>
<a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617" rel="noopener">NIFTY Index (NIFTY INDEX)</a> , <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a> and <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>  implied vols are on the low end of what is typically realized in October.</li>
<li>Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.</li>
</ul>



Hang Seng Index (HSI INDEX), Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) all have elevated implied vols vs their peers and vs historical observations for October.

NIFTY Index (NIFTY INDEX) , S&amp;P 500 INDEX (SPX INDEX) and S&amp;P/ASX 200 (AS51 INDEX)  implied vols are on the low end of what is typically realized in October.
Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.


EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

<ul>
<li>Upper House elections are drawing increased scrutiny due to heightened focus on fiscal finances.</li>
<li>We examine how risk is being priced across Japanese markets and in particular in Nikkei225 options.</li>
<li>Volatility risk appears asymmetric, and we outline ways to mitigate or potentially profit from it.</li>
</ul>


Upper House elections are drawing increased scrutiny due to heightened focus on fiscal finances.
We examine how risk is being priced across Japanese markets and in particular in Nikkei225 options.
Volatility risk appears asymmetric, and we outline ways to mitigate or potentially profit from it.


Nikkei225 and Election: Hedging Activity and Implieds Flag Opportunity

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> bounced this week, after 2 weeks down, after previously reaching a peak at 40852, the area above 41k has been a strong barrier since 2024.</li>
<li>Our model says the current Nikkei 225 trend could rise to 41k, or even above 41k.</li>
<li>The index's latest 2-week pullback was shallow and did not even reach our model's Q2 support level, this is a bullish behavior (buy the dip).</li>
</ul>


The Nikkei 225 (NKY INDEX) bounced this week, after 2 weeks down, after previously reaching a peak at 40852, the area above 41k has been a strong barrier since 2024.
Our model says the current Nikkei 225 trend could rise to 41k, or even above 41k.
The index's latest 2-week pullback was shallow and did not even reach our model's Q2 support level, this is a bullish behavior (buy the dip).


Nikkei 225 Index Outlook: Bullish, Possibly Directed Past 41k

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)

Nikkei 225 Index Outlook: Key Buy Targets To Watch

The Nikkei 225 index rallied past 41k, nearly reached 44k, now down to 42.7k, mildly oversold with 52% chance of reversal. Key support levels at...

Nico Rosti

Bank of Japan’s Rate Decision on 31 July: Market Calm, Watch for Tail Risk

Reminder: The Bank of Japan’s policy decision is due today around noon (31 July). Markets remain calm, with the Nikkei 225 and implied volatility...

Gaudenz Schneider

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

Nikkei225 and Election: Hedging Activity and Implieds Flag Opportunity

With election risk building, we examine how the Nikkei options market is pricing in uncertainty—and where opportunities may lie

John Ley

Nikkei 225 Index Outlook: Bullish, Possibly Directed Past 41k

The Nikkei 225 bounced after 2-week dip, it could rise above 41k according to scenarios designed by our model. The latest shallow pullback was...

Nico Rosti

Nikkei 225 Index Outlook: Key Buy Targets To Watch

The ​Nikkei 225 index rallied past 41k, nearly reached 44k, now down to 42.7k, mildly oversold with 52% chance of reversal. Key support levels at...

Nico Rosti

Bank of Japan’s Rate Decision on 31 July: Market Calm, Watch for Tail Risk

Reminder: The Bank of Japan’s policy decision is due today around noon (31 July). Markets remain calm, with the Nikkei 225 and implied volatility...

Gaudenz Schneider

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

​Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

Nikkei225 and Election: Hedging Activity and Implieds Flag Opportunity

With election risk building, we examine how the Nikkei options market is pricing in uncertainty—and where opportunities may lie

John Ley

Nikkei 225 Index Outlook: Bullish, Possibly Directed Past 41k

​The Nikkei 225 bounced after 2-week dip, it could rise above 41k according to scenarios designed by our model. The latest shallow pullback was...

Nico Rosti

The Nikkei 225 index rallied past 41k, nearly reached 44k, now down to 42.7k, mildly oversold with 52% chance of reversal. Key support levels at...

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

The Nikkei 225 bounced after 2-week dip, it could rise above 41k according to scenarios designed by our model. The latest shallow pullback was...