Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>
As the year comes to its end, the trading calendar is impacted by two shortened weeks, with the Christmas holiday and New Year’s Day both falling midweek.</li>
<li>Holidays market trends can be affected by various non-market factors but it's always good to check the indexes probability of trend reversals, to avoid surprises.
</li>
<li>In this insight, we’ll take a quick look at the major Asia-Pacific market indices—a 'Christmas Carousel of Odds' for Asian markets, if you will.</li>
</ul>



As the year comes to its end, the trading calendar is impacted by two shortened weeks, with the Christmas holiday and New Year’s Day both falling midweek.
Holidays market trends can be affected by various non-market factors but it's always good to check the indexes probability of trend reversals, to avoid surprises.

In this insight, we’ll take a quick look at the major Asia-Pacific market indices—a 'Christmas Carousel of Odds' for Asian markets, if you will.


HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> is in a steady bear market with political turmoil further depressing the outlook. Volatility increased in the near term, leading to an inverted term structure.</li>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">Nifty 50</a> is approaching its 50-day average from below. Call options profit from low implied volatility and present an attractive opportunity to profit on the upside.</li>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng</a> continues to stand out as the index with positive correlation between implied volatility and index performance. Interestingly, the relationship is not symmetric between up- and down moves.</li>
</ul>


The KOSPI 200 is in a steady bear market with political turmoil further depressing the outlook. Volatility increased in the near term, leading to an inverted term structure.
The Nifty 50 is approaching its 50-day average from below. Call options profit from low implied volatility and present an attractive opportunity to profit on the upside.
The Hang Seng continues to stand out as the index with positive correlation between implied volatility and index performance. Interestingly, the relationship is not symmetric between up- and down moves.


EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Cross Asset Strategy

<ul>
<li>A monthly review of how the markets and our themes are currently performing</li>
<li>Analysing what went wrong and what went right in stocks and sectors</li>
<li>Highlighting positions added or removed from the thematic investment portfolio</li>
</ul>


A monthly review of how the markets and our themes are currently performing
Analysing what went wrong and what went right in stocks and sectors
Highlighting positions added or removed from the thematic investment portfolio


November Themes and Thematic Portfolio Review

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>We introduce a new section this month showing implied vol vs average absolute December price movement. A good way to screen for straddle candidates for the month ahead.</li>
<li>Implied vols came in hard in November with the US election and the FOMC in the rear-view mirror.</li>
<li>Price performance across markets especially strong in the final week of the month with SP500, Nifty and SPASX200 postive on the month ~ 70% of the time. </li>
</ul>


We introduce a new section this month showing implied vol vs average absolute December price movement. A good way to screen for straddle candidates for the month ahead.
Implied vols came in hard in November with the US election and the FOMC in the rear-view mirror.
Price performance across markets especially strong in the final week of the month with SP500, Nifty and SPASX200 postive on the month ~ 70% of the time. 


EQD | Asia December Vol Roadmap - The Big Exhale

<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

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)

HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...

Nico Rosti

EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Option strategies with a focus on Asia. The Kospi 200 in a bear market amid political turmoil. Nifty 50 approaching its 50-day average in a bullish...

Gaudenz Schneider

November Themes and Thematic Portfolio Review

We review overall market performance, our investment themes, highlighting additions and substractions in the thematic portfolio.

Rikki Malik

EQD | Asia December Vol Roadmap - The Big Exhale

New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

John Ley

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

HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

​Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...

Nico Rosti

EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Option strategies with a focus on Asia. The Kospi 200 in a bear market amid political turmoil. Nifty 50 approaching its 50-day average in a bullish...

Gaudenz Schneider

November Themes and Thematic Portfolio Review

We review overall market performance, our investment themes, highlighting additions and substractions in the thematic portfolio.

Rikki Malik

EQD | Asia December Vol Roadmap - The Big Exhale

​New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

John Ley

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

Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...

New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

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....