Senior Equity Derivatives Trader

Simon Harris

Equity Derivatives

<ul>
<li>Weekly summary of vol changes and moves across Global Markets</li>
<li>Analysing ATM volatility and skew changes over the last 5 days</li>
<li>We suggest a few trades to take advantage of the implied vol surfaces</li>
</ul>


Weekly summary of vol changes and moves across Global Markets
Analysing ATM volatility and skew changes over the last 5 days
We suggest a few trades to take advantage of the implied vol surfaces


EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Taking a Breather

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Shanghai Shenzhen CSI 300 Index / Equity Derivatives

<ul>
<li>A tactical snapshot of the Asian indices and stocks we cover.</li>
<li>Many Asian stocks we track are flashing very oversold signals—creating tactical long setups worth considering.</li>
<li>We find no overbought stocks or indices in Asia at present. US equities are aligned with this view, this is a global market pullback, probably about to end.</li>
</ul>


A tactical snapshot of the Asian indices and stocks we cover.
Many Asian stocks we track are flashing very oversold signals—creating tactical long setups worth considering.
We find no overbought stocks or indices in Asia at present. US equities are aligned with this view, this is a global market pullback, probably about to end.


Asian Stocks Tactical Outlook (Week Nov 24 – Nov 28)

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

Index Rebalance

<ul>
<li>There could be 2 changes each for the ASX50 and ASX100 indices and 7 changes for 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> in December.</li>
<li>Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the changes to 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>. </li>
<li>The forecast adds have outperformed (and continue to outperform) the forecast deletes to the S&amp;P/ASX 100 Index and 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>. </li>
</ul>


There could be 2 changes each for the ASX50 and ASX100 indices and 7 changes for the S&amp;P/ASX 200 (AS51 INDEX) in December.
Passive trackers will need to trade a lot of stock in the forecast changes, with the impact being especially large for the changes to the S&amp;P/ASX 200 (AS51 INDEX). 
The forecast adds have outperformed (and continue to outperform) the forecast deletes to the S&amp;P/ASX 100 Index and the S&amp;P/ASX 200 (AS51 INDEX). 


S&P/​​​​​​​​​ASX Index Rebalance Preview (Dec 25): Changes Across Indices as Positioning Picks Up

<ul>
<li>A tactical snapshot of the Asian indices and stocks we cover.</li>
<li>
Multiple Asian stocks we track are flashing oversold signals—creating tactical long setups worth considerin.</li>
<li>We find no overbought stocks or indices in Asia at present. US equities show the same pattern, indicating a synchronized global market pullback</li>
</ul>


A tactical snapshot of the Asian indices and stocks we cover.

Multiple Asian stocks we track are flashing oversold signals—creating tactical long setups worth considerin.
We find no overbought stocks or indices in Asia at present. US equities show the same pattern, indicating a synchronized global market pullback


Asian Stocks Tactical Outlook (Week Nov 17 – Nov 21)

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>November’s seasonal strength extends into the U.S. Thanksgiving period, where macro markets have tended to post positive returns.</li>
<li>Despite the positive averages, dispersion in returns remains wide, reminding traders that seasonality is no guarantee.</li>
<li>Positive seasonals can align with favorable trading setups, but timing and risk management remain key.</li>
</ul>


November’s seasonal strength extends into the U.S. Thanksgiving period, where macro markets have tended to post positive returns.
Despite the positive averages, dispersion in returns remains wide, reminding traders that seasonality is no guarantee.
Positive seasonals can align with favorable trading setups, but timing and risk management remain key.


Macro Markets and the U.S. Thanksgiving Effect: Shedding Light on Historical Patterns

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 | Volatility Update: Weekly Review of Vol Changes and Best Trades-Taking a Breather

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

Asian Stocks Tactical Outlook (Week Nov 24 – Nov 28)

Most Asian stocks are showing very oversold signals in our models, creating potential long setups. US equities are in line with this trend,...

Nico Rosti

S&P/ASX Index Rebalance Preview (Dec 25): Changes Across Indices as Positioning Picks Up

There could be 22 changes across the ASX family in Dec. Plus passive buying in LNW due to a sole listing on the ASX. The adds have outperformed and...

Brian Freitas

Asian Stocks Tactical Outlook (Week Nov 17 – Nov 21)

Several Asian stocks are showing oversold conditions according to our models, creating tactical long setups worth considering, there are no...

Nico Rosti

Macro Markets and the U.S. Thanksgiving Effect: Shedding Light on Historical Patterns

Examining 25 years of macro market behavior around U.S. Thanksgiving to uncover recurring seasonal patterns and what they may reveal about risk and...

John Ley

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Taking a Breather

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

Asian Stocks Tactical Outlook (Week Nov 24 – Nov 28)

​Most Asian stocks are showing very oversold signals in our models, creating potential long setups. US equities are in line with this trend,...

Nico Rosti

S&P/​​​​​​​​​ASX Index Rebalance Preview (Dec 25): Changes Across Indices as Positioning Picks Up

There could be 22 changes across the ASX family in Dec. Plus passive buying in LNW due to a sole listing on the ASX. The adds have outperformed and...

Brian Freitas

Asian Stocks Tactical Outlook (Week Nov 17 – Nov 21)

​Several Asian stocks are showing oversold conditions according to our models, creating tactical long setups worth considering, there are no...

Nico Rosti

Macro Markets and the U.S. Thanksgiving Effect: Shedding Light on Historical Patterns

Examining 25 years of macro market behavior around U.S. Thanksgiving to uncover recurring seasonal patterns and what they may reveal about risk and...

John Ley

Most Asian stocks are showing very oversold signals in our models, creating potential long setups. US equities are in line with this trend,...

S&P/ASX Index Rebalance Preview (Dec 25): Changes Across Indices as Positioning Picks Up

Several Asian stocks are showing oversold conditions according to our models, creating tactical long setups worth considering, there are no...