Derivatives and Quantitative Strategist

Gaudenz Schneider

Quantitative Analysis

<ul>
<li>
Context: A recent market pullback alongside implied volatility at the 95th–98th percentile has created a fertile environment for cross-sectional analysis across TOPIX and Nikkei 225 constituents.</li>
<li>
 Highlights: A quantitative screen reveals dispersion in both returns and volatility, with distinct clusters supporting different option structures—from premium-selling strategies to asymmetric upside participation.</li>
<li>
 Why read: This note provides a practical framework and illustrative setups (put underwriting, risk reversals) to help investors translate volatility signals into tailored option strategies.</li>
</ul>



Context: A recent market pullback alongside implied volatility at the 95th–98th percentile has created a fertile environment for cross-sectional analysis across TOPIX and Nikkei 225 constituents.

 Highlights: A quantitative screen reveals dispersion in both returns and volatility, with distinct clusters supporting different option structures—from premium-selling strategies to asymmetric upside participation.

 Why read: This note provides a practical framework and illustrative setups (put underwriting, risk reversals) to help investors translate volatility signals into tailored option strategies.


Japan Equities: Volatility Spike and Dispersion Create Options Opportunities

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Equity Bottom-Up

<ul>
<li>A Strong JPY beneficiary as the company imports &gt;80% of its products</li>
<li>Profits have been rising despite the weakness  of the Japanese Yen </li>
<li>Redesigning product portfolio to be profitable at much weaker yen levels</li>
</ul>


A Strong JPY beneficiary as the company imports &gt;80% of its products
Profits have been rising despite the weakness  of the Japanese Yen 
Redesigning product portfolio to be profitable at much weaker yen levels


Nitori (9843.T) - Headwinds to Tailwinds -Cleaning House

Head of Research, IPOs & Placements, Aequitas Research

Sumeet Singh

Head of Research, IPOs & Placements

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Event-Driven

Mitsubishi UFJ Financial (MUFG) / Event-Driven

Mitsubishi UFJ Financial (MUFG) (8306 JP)

<ul>
<li>Following up on our earlier cross-shareholding notes, in this note we look at <a href="https://www.smartkarma.com/entities/mitsubishi-ufj-financial-group" target="_blank" data-smartkarma-citation="entities:218:1" rel="noopener">Mitsubishi UFJ Financial (MUFG) (8306 JP)</a>’s cross-shareholding.</li>
<li>MUFG had a stake over US$100m in at least 47 listed Japanese stocks, amounting to a total of around US$19bn.</li>
<li>In this note, we take a look at its stakes in various companies to see which ones could possibly be candidates for further selldowns.</li>
</ul>


Following up on our earlier cross-shareholding notes, in this note we look at Mitsubishi UFJ Financial (MUFG) (8306 JP)’s cross-shareholding.
MUFG had a stake over US$100m in at least 47 listed Japanese stocks, amounting to a total of around US$19bn.
In this note, we take a look at its stakes in various companies to see which ones could possibly be candidates for further selldowns.


MUFG Cross-Shareholding - At Least US$20bn of Cross-Shareholding to Sell, Taking It Slow

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/screen-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:5563:1" rel="noopener">SCREEN Holdings (7735 JP)</a> vs. <a href="https://www.smartkarma.com/entities/tokyo-electron-ltd" target="_blank" data-smartkarma-citation="entities:280:1" rel="noopener">Tokyo Electron (8035 JP)</a>price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
 Highlight: Going long <a href="https://www.smartkarma.com/entities/tokyo-electron-ltd" target="_blank" data-smartkarma-citation="entities:280:1" rel="noopener">Tokyo Electron (8035 JP)</a> and short <a href="https://www.smartkarma.com/entities/screen-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:5563:1" rel="noopener">SCREEN (7735 JP)</a> targets a 7% return.</li>
<li>
WhyRead: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.</li>
</ul>



Context: The SCREEN Holdings (7735 JP) vs. Tokyo Electron (8035 JP)price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

 Highlight: Going long Tokyo Electron (8035 JP) and short SCREEN (7735 JP) targets a 7% return.

WhyRead: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.


Tokyo Electron (8035 JP) Vs SCREEN (7735 JP): 7% Return Target Pair Trade Ahead of Same-Day Earnings

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/sojitz-corp" target="_blank" data-smartkarma-citation="entities:14437:1" rel="noopener">Sojitz (2768 JP)</a> vs. <a href="https://www.smartkarma.com/entities/eneos-holdings-inc" target="_blank" data-smartkarma-citation="entities:638:1" rel="noopener">ENEOS (5020 JP)</a> price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlight: Going long <a href="https://www.smartkarma.com/entities/sojitz-corp" target="_blank" data-smartkarma-citation="entities:14437:1" rel="noopener">Sojitz (2768 JP)</a> and short <a href="https://www.smartkarma.com/entities/eneos-holdings-inc" target="_blank" data-smartkarma-citation="entities:638:1" rel="noopener">ENEOS (5020 JP)</a> targets a 6% return.</li>
<li>
Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.</li>
</ul>



Context: The Sojitz (2768 JP) vs. ENEOS (5020 JP) price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlight: Going long Sojitz (2768 JP) and short ENEOS (5020 JP) targets a 6% return.

Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.


Sojitz (2768 JP) Vs ENEOS (5020 JP): Proven Cross-Sector Pair Hits Trade Trigger

Japan

TOPIX ETF is an Exchange-traded fund which holds a portfolio representing all stocks in the Tokyo Price Index (TOPIX).  The objective of the trust is to provide investment results that corresponds to the price and yield performance of the component securities of the Tokyo Price Index.

Price Gauge
52-week Range	0.00 - 0.00
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Nomura ETF Topix (1306 JP)

Japan Equities: Volatility Spike and Dispersion Create Options Opportunities

This note presents a cross-sectional approach to identifying options strategies in Japanese equities, set against a backdrop of market pullback and...

Gaudenz Schneider

Nitori (9843.T) - Headwinds to Tailwinds -Cleaning House

Company will benefit from strong JPY as importing majority of products, redesigning portfolio for profitability at weaker yen levels.

Rikki Malik

MUFG Cross-Shareholding - At Least US$20bn of Cross-Shareholding to Sell, Taking It Slow

Following up on our earlier cross-shareholding notes, in this note we look at MUFG (8306 JP)’s cross-shareholding. MUFG had a stake of over US$100m...

Sumeet Singh

Tokyo Electron (8035 JP) Vs SCREEN (7735 JP): 7% Return Target Pair Trade Ahead of Same-Day Earnings

7% target return in a pair trade between Japanese chip-equipment peers ahead of same-day earnings. Essential for quantitative traders seeking mean...

Gaudenz Schneider

Sojitz (2768 JP) Vs ENEOS (5020 JP): Proven Cross-Sector Pair Hits Trade Trigger

6% target return as a fresh pair trade signal follows two previously successful signals in this cross-sector pair. Essential for quantitative...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Japan Equities: Volatility Spike and Dispersion Create Options Opportunities

This note presents a cross-sectional approach to identifying options strategies in Japanese equities, set against a backdrop of market pullback and...

Gaudenz Schneider

Nitori (9843.T) - Headwinds to Tailwinds -Cleaning House

​Company will benefit from strong JPY as importing majority of products, redesigning portfolio for profitability at weaker yen levels.

Rikki Malik

MUFG Cross-Shareholding - At Least US$20bn of Cross-Shareholding to Sell, Taking It Slow

Following up on our earlier cross-shareholding notes, in this note we look at MUFG (8306 JP)’s cross-shareholding. MUFG had a stake of over US$100m...

Sumeet Singh

Tokyo Electron (8035 JP) Vs SCREEN (7735 JP): 7% Return Target Pair Trade Ahead of Same-Day Earnings

7% target return in a pair trade between Japanese chip-equipment peers ahead of same-day earnings. Essential for quantitative traders seeking mean...

Gaudenz Schneider

Sojitz (2768 JP) Vs ENEOS (5020 JP): Proven Cross-Sector Pair Hits Trade Trigger

6% target return as a fresh pair trade signal follows two previously successful signals in this cross-sector pair. Essential for quantitative...

Gaudenz Schneider

Company will benefit from strong JPY as importing majority of products, redesigning portfolio for profitability at weaker yen levels.