In today’s briefing:
- Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (22 Dec)
- Australia Single Stock Options (Dec 15 – 19): Rejected Rally and Rising Volatility Dispersion
Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (22 Dec)
- 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 eleven pair trade opportunities across three markets and six 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.
Australia Single Stock Options (Dec 15 – 19): Rejected Rally and Rising Volatility Dispersion
- Last week’s upside break failed quickly pulling AS51 back into the narrow range that it had been confined to.
- Market participation weakened meaningfully, with fewer stocks advancing and losses outweighing gains beneath the surface.
- We introduce new analysis comparing average single stock implied vol with AS51 index vol, highlighting a significant disconnect.
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