Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

<ul>
<li>Six Australian stock pairs have triggered new mean-reversion trade signals, with price ratios deviating more than two standard deviations from their one-year averages.</li>
<li>Upcoming earnings announcements could add volatility and shape short-term trade outcomes.</li>
<li>Essential for quantitative traders seeking mean-reversion opportunities, outlining opportunities and key risk considerations.</li>
</ul>


Six Australian stock pairs have triggered new mean-reversion trade signals, with price ratios deviating more than two standard deviations from their one-year averages.
Upcoming earnings announcements could add volatility and shape short-term trade outcomes.
Essential for quantitative traders seeking mean-reversion opportunities, outlining opportunities and key risk considerations.


Six Fresh Relative Value Opportunities in Australia Signal New Stat Arb Trades

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

<ul>
<li>
Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.</li>
<li>
Highlights: Currently ten pair trade opportunities across three markets and three sectors persist.</li>
<li>
Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.</li>
</ul>



Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.

Highlights: Currently ten pair trade opportunities across three markets and three sectors persist.

Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.


Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (3 Nov)

Equity Derivatives

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>
Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.</li>
<li>
Highlights: Currently nine pair trade opportunities across four markets and four sectors persist.</li>
<li>
Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.</li>
</ul>



Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.

Highlights: Currently nine pair trade opportunities across four markets and four sectors persist.

Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.


Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (27 Oct)

Australia

VanEck Vectors Australian Banks ETF is an exchange-traded fund incorporated in Australia. The Fund aims to provide investment returns (before fees and expenses) that closely track the returns of the MVIS Australia Banks Index.

VanEck Vectors Australian Banks ETF (MVB AU)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
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Dividend (Yield)	0.00

VanEck Vectors Australian Banks ETF (MVB AU)

Six Fresh Relative Value Opportunities in Australia Signal New Stat Arb Trades

Pair trade opportunities arise across top ASX names such as CBA, NAB, Westpac, JB Hi-Fi and Xero as price ratios deviate.

Gaudenz Schneider

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

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (3 Nov)

Statistical methodology identifies ten pair trade opportunities across three markets and three sectors, offering unique insights into relative value.

Gaudenz Schneider

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

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (27 Oct)

Statistical methodology identifies nine pair trade opportunities across four markets and four sectors, offering unique insights into relative...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Six Fresh Relative Value Opportunities in Australia Signal New Stat Arb Trades

Pair trade opportunities arise across top ASX names such as CBA, NAB, Westpac, JB Hi-Fi and Xero as price ratios deviate.

Gaudenz Schneider

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

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (3 Nov)

​Statistical methodology identifies ten pair trade opportunities across three markets and three sectors, offering unique insights into relative value.

Gaudenz Schneider

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

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (27 Oct)

​Statistical methodology identifies nine pair trade opportunities across four markets and four sectors, offering unique insights into relative...

Gaudenz Schneider

Statistical methodology identifies ten pair trade opportunities across three markets and three sectors, offering unique insights into relative value.

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

Statistical methodology identifies nine pair trade opportunities across four markets and four sectors, offering unique insights into relative...