Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>Global option markets present a diverse picture, offering a broad opportunity set.</li>
<li>Several markets make for good hedging-candidates after a strong January and amid cheap options.</li>
<li>Although several Indian indices show high implied volatility, contextual analysis indicates volatility may be fairly priced relative to their bear trends.</li>
</ul>


Global option markets present a diverse picture, offering a broad opportunity set.
Several markets make for good hedging-candidates after a strong January and amid cheap options.
Although several Indian indices show high implied volatility, contextual analysis indicates volatility may be fairly priced relative to their bear trends.


EQD | Global Option Implied Volatility - Option Opportunities Across the Regions

<ul>
<li>Today, 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> reached a new all-time high while implied volatility is near record low levels. The combination makes for a good opportunity to hedge.</li>
<li>Volatility assessment trough conventional volatility metrics and one new chart not seen anywhere else.</li>
<li>An actionable example of a put option hedge is presented, striking a balance between protection and cost.</li>
</ul>


Today, the S&amp;P/ASX 200 (AS51 INDEX) reached a new all-time high while implied volatility is near record low levels. The combination makes for a good opportunity to hedge.
Volatility assessment trough conventional volatility metrics and one new chart not seen anywhere else.
An actionable example of a put option hedge is presented, striking a balance between protection and cost.


EQD | S&P/ASX 200 Option Strategy -  Today's All-Time-High Calls for Proactive Hedging

<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> has declined two weeks in a row. Quantitative analysis suggests that a trend reversal could occur soon.</li>
<li>This Insight provides an option strategy based on the resistance and support levels identified in the quantitative Insight <a href="https://www.smartkarma.com/insights/eqd-asx-200-presents-a-high-probability-buy-the-dip-opportunity" target="_blank" data-smartkarma-citation="insights:170243" rel="noopener">EQD | ASX 200 Presents a High-Probability Buy-The-Dip Opportunity</a> </li>
<li>Option liquidity and volatility analysis, including skew, term structure and put/call ratios are provided and used in strategy design.</li>
</ul>


The S&amp;P/ASX 200 (AS51 INDEX) has declined two weeks in a row. Quantitative analysis suggests that a trend reversal could occur soon.
This Insight provides an option strategy based on the resistance and support levels identified in the quantitative Insight EQD | ASX 200 Presents a High-Probability Buy-The-Dip Opportunity 
Option liquidity and volatility analysis, including skew, term structure and put/call ratios are provided and used in strategy design.


EQD | S&P/ASX 200 Index Option Strategy -Combining Record Low Volatility with Buy-The-Dip

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<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 INDEX</a> it's currently trending up quite well, since October 2023. The current rally picked up some steam from July 2024 and is quite steady. </li>
<li>The index started to pull back 2 weeks ago and has closed 2 consecutive weeks down and this week started with a Monday down Close.</li>
<li>Our models show a clear opportunity to buy this dip and ride the index uptrend back to &gt;3% profit target, roughly a 3-weeks movement according to our forecast.</li>
</ul>


The S&amp;P/ASX 200 INDEX it's currently trending up quite well, since October 2023. The current rally picked up some steam from July 2024 and is quite steady. 
The index started to pull back 2 weeks ago and has closed 2 consecutive weeks down and this week started with a Monday down Close.
Our models show a clear opportunity to buy this dip and ride the index uptrend back to &gt;3% profit target, roughly a 3-weeks movement according to our forecast.


EQD | ASX 200 Presents a High-Probability Buy-The-Dip Opportunity

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>Monthly deep-dive into price and vol metrics across Global indexes and macro assets.</li>
<li>In-Depth look at the current state of the markets as well as how volatility and price may unfold.</li>
<li>We highlight strong seasonal trends in April, with all markets typically rising and realized vol typically coming in below implied.</li>
</ul>


Monthly deep-dive into price and vol metrics across Global indexes and macro assets.
In-Depth look at the current state of the markets as well as how volatility and price may unfold.
We highlight strong seasonal trends in April, with all markets typically rising and realized vol typically coming in below implied.


April Global Macro Volatility: Strong Price and Vol Seasonals

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 | Global Option Implied Volatility - Option Opportunities Across the Regions

Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...

Gaudenz Schneider

EQD | S&P/ASX 200 Option Strategy - Today's All-Time-High Calls for Proactive Hedging

See an innovative and novel chart. Today's S&P/ASX 200 new all-time high in combination with record low volatility presents a good opportunity to...

Gaudenz Schneider

EQD | S&P/ASX 200 Index Option Strategy -Combining Record Low Volatility with Buy-The-Dip

The S&P/ASX 200 has declined for two weeks, but a trend reversal could be imminent. This Insight presents an option strategy based on resistance...

Gaudenz Schneider

EQD | ASX 200 Presents a High-Probability Buy-The-Dip Opportunity

The ASX 200 Index has been trending up steadily. A recent pullback offers a buying opportunity: potential uptrend continuation for another 3 weeks...

Nico Rosti

April Global Macro Volatility: Strong Price and Vol Seasonals

Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...

John Ley

EQD | Global Option Implied Volatility - Option Opportunities Across the Regions

​Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...

Gaudenz Schneider

EQD | S&P/ASX 200 Option Strategy - Today's All-Time-High Calls for Proactive Hedging

See an innovative and novel chart. Today's ​S&P/ASX 200 new all-time high in combination with record low volatility presents a good opportunity to...

Gaudenz Schneider

EQD | S&P/ASX 200 Index Option Strategy -Combining Record Low Volatility with Buy-The-Dip

The ​S&P/ASX 200 has declined for two weeks, but a trend reversal could be imminent. This Insight presents an option strategy based on resistance...

Gaudenz Schneider

EQD | ASX 200 Presents a High-Probability Buy-The-Dip Opportunity

​The ASX 200 Index has been trending up steadily. A recent pullback offers a buying opportunity: potential uptrend continuation for another 3 weeks...

Nico Rosti

April Global Macro Volatility: Strong Price and Vol Seasonals

​Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...

John Ley

Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...

See an innovative and novel chart. Today's S&P/ASX 200 new all-time high in combination with record low volatility presents a good opportunity to...

The S&P/ASX 200 has declined for two weeks, but a trend reversal could be imminent. This Insight presents an option strategy based on resistance...

The ASX 200 Index has been trending up steadily. A recent pullback offers a buying opportunity: potential uptrend continuation for another 3 weeks...

Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...