Derivatives and Quantitative Strategist

Gaudenz Schneider

Financial Economist with over 20 years of investment experience across all asset classes. He has worked as a sell-side derivatives researcher and trader on one of London’s largest trading floors, and as a structurer and portfolio manager for the buy-side in Switzerland. As head of Quantitative Strategy at an Asian WealthTech company, Gaudi and his team designed over 50 distinct investment strategies for institutional clients in Australasia.

Gaudi’s analysis follows a scientific approach based on empirical research and quantitative evidence.

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

Four New Statistical Arbitrage Opportunities in Asia-Pac

Punjab National Bank (PNB IN) Vs. Bank of India (BOI IN): Quant-Driven Pair Trade in Indian Banks

Long Bank Of Queensland (BOQ AU) Vs. Short CBA (CBA AU): Proven Stat Arb Pair Trade Returns

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

ANZ (ANZ AU) Has Outrun the Sector — Time to Underweight

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.


VanEck Vectors Australian Banks ETF (MVB AU)

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