Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

Commonwealth Bank of Australia / Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/commonwealth-bank-of-australia" target="_blank" data-smartkarma-citation="entities:14:1" rel="noopener">Commonwealth Bank of Australia (CBA AU)</a> is set to announce its 2025 Half Year Results on 12 February.</li>
<li>Option prices suggest a 2.4% move in either direction, which is less than the historic move of 3.4% over the past six announcements.</li>
<li>Traders can trade the event through 13 February 2025 listed options (weekly expiration).</li>
</ul>



Commonwealth Bank of Australia (CBA AU) is set to announce its 2025 Half Year Results on 12 February.
Option prices suggest a 2.4% move in either direction, which is less than the historic move of 3.4% over the past six announcements.
Traders can trade the event through 13 February 2025 listed options (weekly expiration).


EQD | Commonwealth Bank (CBA AU) - Expected Move on Profit Announcement and Option Insights

<ul>
<li>
<a href="https://www.smartkarma.com/entities/jb-hi-fi-ltd" target="_blank" data-smartkarma-citation="entities:555:1" rel="noopener">JB Hi-Fi Ltd (JBH AU)</a> announced HY 2025 results this morning. Price increases 5.5% in early trading but gains were lost by noon.</li>
<li>Sales Up 9.8% to A$ 5.67m; EPS up 8.0% to A$ 2.611; interim dividend up A$ 0.12 to A$ 1.70. Results are in-line/slight beat.</li>
<li>Volatile trading can make for opportunities. Investors can speculate on a positive Post Announcement Earnings Drift (PEAD) or consider option strategies, as implied volatility remains elevated.</li>
</ul>



JB Hi-Fi Ltd (JBH AU) announced HY 2025 results this morning. Price increases 5.5% in early trading but gains were lost by noon.
Sales Up 9.8% to A$ 5.67m; EPS up 8.0% to A$ 2.611; interim dividend up A$ 0.12 to A$ 1.70. Results are in-line/slight beat.
Volatile trading can make for opportunities. Investors can speculate on a positive Post Announcement Earnings Drift (PEAD) or consider option strategies, as implied volatility remains elevated.


EQD | JB Hi-Fi (JBH AU) Faces Volatile Trading After Earnings Announcement

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>There are 6 stocks in Australia that could be deleted from global passive portfolios later this month, though the probability of deletion varies across the stocks. </li>
<li>If deleted, passive trackers will need to sell between US$234m-330m in the stocks. Impact is high at between 7-23 days of ADV.</li>
<li>The potential deletions have underperformed the <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> over nearly every time period from 1 week to 3 months. Shorts have increased on all stocks recently.</li>
</ul>


There are 6 stocks in Australia that could be deleted from global passive portfolios later this month, though the probability of deletion varies across the stocks. 
If deleted, passive trackers will need to sell between US$234m-330m in the stocks. Impact is high at between 7-23 days of ADV.
The potential deletions have underperformed the S&amp;P/ASX 200 (AS51 INDEX) over nearly every time period from 1 week to 3 months. Shorts have increased on all stocks recently.


Australia: Last Look at Potential Passive Selling in February

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>All markets surveyed here tend to see price weakness along with increased volatility in the second half of February. </li>
<li>SP500 was the only market for which realized vol in January was greater than implied at the end of December.</li>
<li>Gold, SP500 and SPASX200 have all gone over 450 days without a 10% correction. Nifty moving in opposite direction, 127 days without a 10% rally.</li>
</ul>


All markets surveyed here tend to see price weakness along with increased volatility in the second half of February. 
SP500 was the only market for which realized vol in January was greater than implied at the end of December.
Gold, SP500 and SPASX200 have all gone over 450 days without a 10% correction. Nifty moving in opposite direction, 127 days without a 10% rally.


EQD | February Macro Vol Roadmap – Stay Alert to Trend Change in 2nd Half of Month

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Quantitative Analysis

<ul>
<li>The <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> last week closed up, reached an 8566.90 all time high peak on Jan 31st, then began a sharp pullback this Monday.</li>
<li>The pullback has just begun, but has already reached the WEEKLY OVERSOLD area (50% probability of reversal) according to out PRICE model</li>
<li>If the pullback continues this week or the next, we see it as a<strong> strong BUY opportunity, the index's uptrend can continue after the pullback.</strong>
</li>
</ul>


The S&amp;P/ASX 200 (AS51 INDEX) last week closed up, reached an 8566.90 all time high peak on Jan 31st, then began a sharp pullback this Monday.
The pullback has just begun, but has already reached the WEEKLY OVERSOLD area (50% probability of reversal) according to out PRICE model
If the pullback continues this week or the next, we see it as a strong BUY opportunity, the index's uptrend can continue after the pullback.



S&P/ASX 200 Flashes a Strong Tactical BUY Signal

Australia

The S&P/ASX 200 measures the performance of the 200 largest index-eligible stocks listed on the ASX by float-adjusted market capitalization. Representative liquid and tradable, it is widely considered Australia's preeminent benchmark index. The index is float-adjusted. The index was launched in April 2000.

S&P/ASX 200 (AS51 INDEX)

EQD | Commonwealth Bank (CBA AU) - Expected Move on Profit Announcement and Option Insights

Commonwealth Bank of Australia to announce 2025 HY Results on 12 February. The option implied move is smaller than recent historic average move.

Gaudenz Schneider

EQD | JB Hi-Fi (JBH AU) Faces Volatile Trading After Earnings Announcement

JB Hi-Fi Ltd announced HY 2025 results with price initially up 5.5% but gains lost by noon. Volatile trading presents opportunities for investors...

Gaudenz Schneider

Australia: Last Look at Potential Passive Selling in February

Six Aussie stocks could be sold from global passive portfolios in Feb. If deleted, passives will need to sell between US$234m-330m in the stocks....

Brian Freitas

EQD | February Macro Vol Roadmap – Stay Alert to Trend Change in 2nd Half of Month

Markets show price weakness and increased volatility in late February. Gold, SP500, and SPASX200 have gone > 450 days without 10% corrections,...

John Ley

S&P/ASX 200 Flashes a Strong Tactical BUY Signal

After hitting an all-time high, the S&P/ASX 200 pulled back sharply on Monday, entering oversold territory according to our models—potentially a...

Nico Rosti

EQD | Commonwealth Bank (CBA AU) - Expected Move on Profit Announcement and Option Insights

​Commonwealth Bank of Australia to announce 2025 HY Results on 12 February. The option implied move is smaller than recent historic average move.

Gaudenz Schneider

EQD | JB Hi-Fi (JBH AU) Faces Volatile Trading After Earnings Announcement

​JB Hi-Fi Ltd announced HY 2025 results with price initially up 5.5% but gains lost by noon. Volatile trading presents opportunities for investors...

Gaudenz Schneider

Australia: Last Look at Potential Passive Selling in February

Six Aussie stocks could be sold from global passive portfolios in Feb. If deleted, passives will need to sell between US$234m-330m in the stocks....

Brian Freitas

EQD | February Macro Vol Roadmap – Stay Alert to Trend Change in 2nd Half of Month

​Markets show price weakness and increased volatility in late February. Gold, SP500, and SPASX200 have gone > 450 days without 10% corrections,...

John Ley

S&P/ASX 200 Flashes a Strong Tactical BUY Signal

After hitting an all-time high, the S&P/ASX 200 pulled back sharply on Monday, entering oversold territory according to our models—potentially a...

Nico Rosti

Commonwealth Bank of Australia to announce 2025 HY Results on 12 February. The option implied move is smaller than recent historic average move.

JB Hi-Fi Ltd announced HY 2025 results with price initially up 5.5% but gains lost by noon. Volatile trading presents opportunities for investors...

Markets show price weakness and increased volatility in late February. Gold, SP500, and SPASX200 have gone > 450 days without 10% corrections,...