Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

Commonwealth Bank of Australia / Event-Driven

<ul>
<li>Australia's largest banks are due to report within the next four trading days. Collectively, they account for 23% of 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>A beat or miss of expectations can result in a strong move, up or down. This Insight analyzes options to provide an indication of how big a move to expect.</li>
<li>Option traders price in outsized moves for several but not all banks, with <a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ (ANZ AU)</a> as the largest outlier.</li>
</ul>


Australia's largest banks are due to report within the next four trading days. Collectively, they account for 23% of the S&amp;P/ASX 200 (AS51 INDEX).
A beat or miss of expectations can result in a strong move, up or down. This Insight analyzes options to provide an indication of how big a move to expect.
Option traders price in outsized moves for several but not all banks, with ANZ (ANZ AU) as the largest outlier.


Australia’s Big Banks: Options Flash Mixed Signals Ahead of Earnings

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.

Equity Derivatives

<ul>
<li>Implied volatility rose across most markets in October, and a continuing trend in vol premium warrants attention.  </li>
<li>November has historically produced strong price returns and positive volatility premiums across global markets.</li>
<li>Implied volatility displays clustering across markets, with two distinct groupings beginning to take shape.</li>
</ul>


Implied volatility rose across most markets in October, and a continuing trend in vol premium warrants attention.  
November has historically produced strong price returns and positive volatility premiums across global markets.
Implied volatility displays clustering across markets, with two distinct groupings beginning to take shape.


Macro Monthly (November): Rising Volatility, Positive Seasonals and a Concerning Trend

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>
<a href="https://www.smartkarma.com/entities/light-wonder-inc" target="_blank" data-smartkarma-citation="entities:36929:1" rel="noopener">Light &amp; Wonder (LNW US)</a> will stop trading on the NASDAQ after the close on 12 November and the sole primary listing will move to <a href="https://www.smartkarma.com/entities/light-wonder-inc-7e7d040f-e811-4fb9-9710-796a39af299e" target="_blank" data-smartkarma-citation="entities:40171:1" rel="noopener">Light &amp; Wonder (LNW AU)</a>. </li>
<li>Index trackers will need to sell a lot of <a href="https://www.smartkarma.com/entities/light-wonder-inc" target="_blank" data-smartkarma-citation="entities:36929:1" rel="noopener">Light&amp;Wonder (LNW US)</a> at the close on 12 November. The buying in <a href="https://www.smartkarma.com/entities/light-wonder-inc-7e7d040f-e811-4fb9-9710-796a39af299e" target="_blank" data-smartkarma-citation="entities:40171:1" rel="noopener">Light&amp;Wonder (LNW AU)</a> is a lot smaller.</li>
<li>
<a href="https://www.smartkarma.com/entities/light-wonder-inc-7e7d040f-e811-4fb9-9710-796a39af299e" target="_blank" data-smartkarma-citation="entities:40171:1" rel="noopener">Light &amp; Wonder (LNW AU)</a> trades at a much lower forward PE compared to <a href="https://www.smartkarma.com/entities/aristocrat-leisure-ltd" target="_blank" data-smartkarma-citation="entities:10303:1" rel="noopener">Aristocrat Leisure (ALL AU)</a> and there could be a re-rating over the medium-term.</li>
</ul>



Light &amp; Wonder (LNW US) will stop trading on the NASDAQ after the close on 12 November and the sole primary listing will move to Light &amp; Wonder (LNW AU). 
Index trackers will need to sell a lot of Light&amp;Wonder (LNW US) at the close on 12 November. The buying in Light&amp;Wonder (LNW AU) is a lot smaller.

Light &amp; Wonder (LNW AU) trades at a much lower forward PE compared to Aristocrat Leisure (ALL AU) and there could be a re-rating over the medium-term.


Light & Wonder (LNW AU): Index Implications of NASDAQ Delisting & ASX Primary Listing

Commonwealth Bank of Australia / Equity Derivatives

<ul>
<li>
Context: Volatility cones provide a straightforward framework to evaluate whether options are trading cheap or rich. This Insight provides volatility analysis for the S&amp;P/ASX 200 and ten prominent Australian stocks.</li>
<li>
Highlights: Implied volatility across Australia’s major banks remains rich ahead of earnings and the RBA decision.</li>
<li>
Why Read: Spot opportunities, assess regime shifts, and manage risk effectively — volatility cones turn complex data into actionable insights for traders and investors.</li>
</ul>



Context: Volatility cones provide a straightforward framework to evaluate whether options are trading cheap or rich. This Insight provides volatility analysis for the S&amp;P/ASX 200 and ten prominent Australian stocks.

Highlights: Implied volatility across Australia’s major banks remains rich ahead of earnings and the RBA decision.

Why Read: Spot opportunities, assess regime shifts, and manage risk effectively — volatility cones turn complex data into actionable insights for traders and investors.


CBA, ANZ, Westpac, NAB: Volatility Runs High Ahead of Imminent Catalysts

<ul>
<li>October seasonals, despite their reputation, show most markets with better than 60% odds of finishing higher albeit with meager returns. </li>
<li>Volatility trends have diverged, with implied vols climbing even as realized vols fell, raising questions about early signs of risk sensitivity.</li>
<li>Implied vols on most markets have been trending higher vs the SP500 despite the US being ground zero for policy uncertainty.</li>
</ul>


October seasonals, despite their reputation, show most markets with better than 60% odds of finishing higher albeit with meager returns. 
Volatility trends have diverged, with implied vols climbing even as realized vols fell, raising questions about early signs of risk sensitivity.
Implied vols on most markets have been trending higher vs the SP500 despite the US being ground zero for policy uncertainty.


Monthly Macro Markets (October): Diverging Volatility Trends Highlight Risk Sensitivity

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)

Australia’s Big Banks: Options Flash Mixed Signals Ahead of Earnings

Australia’s largest banks report within four trading days, and options pricing offers a snapshot of where volatility could strike — particularly in...

Gaudenz Schneider

Macro Monthly (November): Rising Volatility, Positive Seasonals and a Concerning Trend

Rising volatility and firm seasonal patterns define November’s setup, though shifts in vol premium suggest a more fragile market backdrop.

John Ley

Light & Wonder (LNW AU): Index Implications of NASDAQ Delisting & ASX Primary Listing

Light&Wonder stops trading on the NASDAQ after 12 Nov and becomes an ASX primary listing. Big passive selling in November followed by smaller...

Brian Freitas

CBA, ANZ, Westpac, NAB: Volatility Runs High Ahead of Imminent Catalysts

Implied volatility analysis reveals rich options trading in Australian banks, offering insights for traders and investors.

Gaudenz Schneider

Monthly Macro Markets (October): Diverging Volatility Trends Highlight Risk Sensitivity

Despite October’s reputation for turmoil, history points to gains, though volatility signals have begun to diverge underscoring possible increasing...

John Ley

Australia’s Big Banks: Options Flash Mixed Signals Ahead of Earnings

Australia’s largest banks report within four trading days, and options pricing offers a snapshot of where volatility could strike — particularly in...

Gaudenz Schneider

Macro Monthly (November): Rising Volatility, Positive Seasonals and a Concerning Trend

Rising volatility and firm seasonal patterns define November’s setup, though shifts in vol premium suggest a more fragile market backdrop.

John Ley

Light & Wonder (LNW AU): Index Implications of NASDAQ Delisting & ASX Primary Listing

Light&Wonder stops trading on the NASDAQ after 12 Nov and becomes an ASX primary listing. Big passive selling in November followed by smaller...

Brian Freitas

CBA, ANZ, Westpac, NAB: Volatility Runs High Ahead of Imminent Catalysts

​Implied volatility analysis reveals rich options trading in Australian banks, offering insights for traders and investors.

Gaudenz Schneider

Monthly Macro Markets (October): Diverging Volatility Trends Highlight Risk Sensitivity

Despite October’s reputation for turmoil, history points to gains, though volatility signals have begun to diverge underscoring possible increasing...

John Ley

Implied volatility analysis reveals rich options trading in Australian banks, offering insights for traders and investors.