Derivatives and Quantitative Strategist

Gaudenz Schneider

Quantitative Analysis

<ul>
<li>This Insight presents intraday data to illustrate regional volatility moves over the past one and a half trading days. </li>
<li>Sunday’s US tariff announcement led to a global decline in equities and a spike in volatility on Monday. Asian indices began to recover today with a slight decrease in volatility.</li>
<li>Market reaction to Sunday's announcement was short-lived, so far, and the impact on implied volatility muted. The risk of a renewed volatility spike to or above Monday's intraday high's remains.</li>
</ul>


This Insight presents intraday data to illustrate regional volatility moves over the past one and a half trading days. 
Sunday’s US tariff announcement led to a global decline in equities and a spike in volatility on Monday. Asian indices began to recover today with a slight decrease in volatility.
Market reaction to Sunday's announcement was short-lived, so far, and the impact on implied volatility muted. The risk of a renewed volatility spike to or above Monday's intraday high's remains.


EQD Intraday | Tariff Tantrum Impact on Intraday Volatility

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

Korea Stock Exchange KOSPI 200 / Equity Derivatives

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> is in a steady bear market with political turmoil further depressing the outlook. Volatility increased in the near term, leading to an inverted term structure.</li>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">Nifty 50</a> is approaching its 50-day average from below. Call options profit from low implied volatility and present an attractive opportunity to profit on the upside.</li>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng</a> continues to stand out as the index with positive correlation between implied volatility and index performance. Interestingly, the relationship is not symmetric between up- and down moves.</li>
</ul>


The KOSPI 200 is in a steady bear market with political turmoil further depressing the outlook. Volatility increased in the near term, leading to an inverted term structure.
The Nifty 50 is approaching its 50-day average from below. Call options profit from low implied volatility and present an attractive opportunity to profit on the upside.
The Hang Seng continues to stand out as the index with positive correlation between implied volatility and index performance. Interestingly, the relationship is not symmetric between up- and down moves.


EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Nasdaq-100 Stock Index / Equity Derivatives

<ul>
<li>A rare cross asset relative value opportunity; time horizon two months, market neutral, near zero-cost premium.</li>
<li>The strategy exploits the historically low difference between implied volatilities for the <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 Stock Index (NDX INDEX)</a> and the <a href="https://www.smartkarma.com/entities/spdr-gold-shares" target="_blank" data-smartkarma-citation="entities:8632:1" rel="noopener">SPDR Gold Shares (GLD US)</a>.</li>
<li>This insight lays out trade rationale, historical context, fundamental drivers, and trade implementation. Nasdaq-100 Vega exposure provides the strategy with an extra edge and tailwind for success.</li>
</ul>


A rare cross asset relative value opportunity; time horizon two months, market neutral, near zero-cost premium.
The strategy exploits the historically low difference between implied volatilities for the Nasdaq-100 Stock Index (NDX INDEX) and the SPDR Gold Shares (GLD US).
This insight lays out trade rationale, historical context, fundamental drivers, and trade implementation. Nasdaq-100 Vega exposure provides the strategy with an extra edge and tailwind for success.


EQD | Nasdaq-100 Vs. Gold - A Relative Value Volatility Strategy with an Edge

TSE Tokyo Price Index TOPIX / Equity Derivatives

<ul>
<li>Observing implied volatility across 16 markets plus gold provides a picture of falling implied volatility, despite dispersion in market performance.</li>
<li>Several, but not all, markets display moderation from unusual volatility levels to a more balanced implied volatility structure.</li>
<li>The realignment of implied volatility across markets presents potential relative value opportunities.</li>
</ul>


Observing implied volatility across 16 markets plus gold provides a picture of falling implied volatility, despite dispersion in market performance.
Several, but not all, markets display moderation from unusual volatility levels to a more balanced implied volatility structure.
The realignment of implied volatility across markets presents potential relative value opportunities.


EQD | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

United States

SPDR Gold Shares is an investment fund incorporated in the USA.  The investment objective of the Trust is for the Shares to reflect the performance of the price of gold bullion, less the Trust's expenses. The Trust holds gold and is expected from time to time to issue Baskets in exchange for deposits of gold and to distribute gold in connection with redemptions of Baskets.

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SPDR Gold Shares (GLD US)

EQD Intraday | Tariff Tantrum Impact on Intraday Volatility

The Tariff Tantrum triggered a universal equity decline and spike in volatility. Intra-day data shows that market reaction was short-lived, but...

Gaudenz Schneider

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 | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Option strategies with a focus on Asia. The Kospi 200 in a bear market amid political turmoil. Nifty 50 approaching its 50-day average in a bullish...

Gaudenz Schneider

EQD | Nasdaq-100 Vs. Gold - A Relative Value Volatility Strategy with an Edge

Rare cross asset relative value opportunity exploiting low spread between implied volatilities of Nasdaq-100 and Gold. Tailwind for success...

Gaudenz Schneider

EQD | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD Intraday | Tariff Tantrum Impact on Intraday Volatility

The Tariff Tantrum ​triggered a universal equity decline and spike in volatility. Intra-day data shows that market reaction was short-lived, but...

Gaudenz Schneider

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 | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Option strategies with a focus on Asia. The Kospi 200 in a bear market amid political turmoil. Nifty 50 approaching its 50-day average in a bullish...

Gaudenz Schneider

EQD | Nasdaq-100 Vs. Gold - A Relative Value Volatility Strategy with an Edge

​Rare cross asset relative value opportunity exploiting low spread between implied volatilities of Nasdaq-100 and Gold. Tailwind for success...

Gaudenz Schneider

EQD | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

​Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...

Gaudenz Schneider

The Tariff Tantrum triggered a universal equity decline and spike in volatility. Intra-day data shows that market reaction was short-lived, but...

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

Rare cross asset relative value opportunity exploiting low spread between implied volatilities of Nasdaq-100 and Gold. Tailwind for success...

Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...