Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> option implied volatility is stabilizing at an elevated level. This Insight analyses term structure, skew, open interest, and more.</li>
<li>We identify a tactical option opportunity that profits from the current volatility structure.</li>
<li>Are Consumer Price Index and Bank of Japan interest rate decision announcements systematically followed by unusually large market moves? We run the numbers. </li>
</ul>



Nikkei 225 (NKY INDEX) option implied volatility is stabilizing at an elevated level. This Insight analyses term structure, skew, open interest, and more.
We identify a tactical option opportunity that profits from the current volatility structure.
Are Consumer Price Index and Bank of Japan interest rate decision announcements systematically followed by unusually large market moves? We run the numbers. 


EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

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>Up to 9 stocks could be deleted from global passive portfolios in November. The deletion will lead to liquidity events where trackers will need to sell multiple days of ADV.</li>
<li>There has been a buildup of shorts on nearly all these stocks though the extent of the pre-positioning varies.</li>
<li>The increase in shorts is smaller than the estimated passive selling, though there is a fair amount of variability across the names.</li>
</ul>


Up to 9 stocks could be deleted from global passive portfolios in November. The deletion will lead to liquidity events where trackers will need to sell multiple days of ADV.
There has been a buildup of shorts on nearly all these stocks though the extent of the pre-positioning varies.
The increase in shorts is smaller than the estimated passive selling, though there is a fair amount of variability across the names.


Japan: Potential Passive Selling in November

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

Rikki Malik

Cross Asset Strategy

<ul>
<li>With US bonds oversold, we expect the Japanese Yen to  strengthen</li>
<li>Supplementary Budget from the LDP as new cabinet's approval rating drops</li>
<li>The broad Japanese indices will struggle here as this plays out</li>
</ul>


With US bonds oversold, we expect the Japanese Yen to  strengthen
Supplementary Budget from the LDP as new cabinet's approval rating drops
The broad Japanese indices will struggle here as this plays out


Tactical Trading - JPY Weakness Has Likely Run Its Course for Now

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> volatility is trading at historically high levels, and the skew is steep.</li>
<li>National, regional and global catalysts provide the potential for further near-term market turbulence. Downside risk persists.</li>
<li>The current vol environment lends itself to tactical option trades, such as put spreads or risk reversals.</li>
</ul>



Nikkei 225 (NKY INDEX) volatility is trading at historically high levels, and the skew is steep.
National, regional and global catalysts provide the potential for further near-term market turbulence. Downside risk persists.
The current vol environment lends itself to tactical option trades, such as put spreads or risk reversals.


EQD | Nikkei 225 - Persistent Volatility Amid Election Uncertainty: Tactical Opportunities Explored

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>In our last Nikkei 225 insight we predicted that the Nikkei 225 INDEX was overbought and about to pullback and that is exactly what happened the following week.</li>
<li>We also reiterated our view about the index's overall trend, not looking good, and the fact that our seasonal quantitative model point to a coin flip scenario (up/down) for October.</li>
<li>This week the index gapped up and the current SHORT pattern model is showing a good chance to rally from here. Let's check how high it can go.</li>
</ul>


In our last Nikkei 225 insight we predicted that the Nikkei 225 INDEX was overbought and about to pullback and that is exactly what happened the following week.
We also reiterated our view about the index's overall trend, not looking good, and the fact that our seasonal quantitative model point to a coin flip scenario (up/down) for October.
This week the index gapped up and the current SHORT pattern model is showing a good chance to rally from here. Let's check how high it can go.


EQD | The Nikkei Is At The Top But Could Rally A Bit More...

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)

EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...

Gaudenz Schneider

Japan: Potential Passive Selling in November

There are a bunch of stocks in Japan that could be sold by passive global investors in November. Shorts have increased on nearly all stocks and the...

Brian Freitas

Tactical Trading - JPY Weakness Has Likely Run Its Course for Now

With US government bonds oversold, the Japanese Yen is expected to strengthen causing the major Japanese indices to continue to tread water

Rikki Malik

EQD | Nikkei 225 - Persistent Volatility Amid Election Uncertainty: Tactical Opportunities Explored

Nikkei 225 volatility is high with steep skew. Potential for more turbulence due to various catalysts. Tactical option trades recommended.

Gaudenz Schneider

EQD | The Nikkei Is At The Top But Could Rally A Bit More...

The Nikkei 225 index trend for 2024 remains unstable, but right now is showing potential for a rally. Long term view remains negative, but the...

Nico Rosti

EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

​Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...

Gaudenz Schneider

Japan: Potential Passive Selling in November

There are a bunch of stocks in Japan that could be sold by passive global investors in November. Shorts have increased on nearly all stocks and the...

Brian Freitas

Tactical Trading - JPY Weakness Has Likely Run Its Course for Now

With ​US government bonds oversold, the Japanese Yen is expected to strengthen causing the major Japanese indices to continue to tread water

Rikki Malik

EQD | Nikkei 225 - Persistent Volatility Amid Election Uncertainty: Tactical Opportunities Explored

​Nikkei 225 volatility is high with steep skew. Potential for more turbulence due to various catalysts. Tactical option trades recommended.

Gaudenz Schneider

EQD | The Nikkei Is At The Top But Could Rally A Bit More...

The ​Nikkei 225 index trend for 2024 remains unstable, but right now is showing potential for a rally. Long term view remains negative, but the...

Nico Rosti

Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...

With US government bonds oversold, the Japanese Yen is expected to strengthen causing the major Japanese indices to continue to tread water

Nikkei 225 volatility is high with steep skew. Potential for more turbulence due to various catalysts. Tactical option trades recommended.

The Nikkei 225 index trend for 2024 remains unstable, but right now is showing potential for a rally. Long term view remains negative, but the...