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.

Alibaba (9988 HK): Navigating Post-Earnings Volatility

Alibaba (9988 HK): Unpacking the Week's Savvy Top Options Trades

Tencent (700 HK): Strategic Insights and Top Trades from HKEX Options Trading

Alibaba (9988 HK): Volatility Surface Favoring Diagonal and Calendar Spreads

BYD (1211 HK): Volatility Smile Signals Opportunity in Spreads

Foshan Haitian Flavouring A/H Listing - Strong Brand but Sales Have Been Slowing Down

BYD (1211 HK): Top Trades Reflect Bearish Bias in HKEX Options Trading Strategies

Equity Derivatives

<ul>
<li>
Implied Volatility Trends: One-month implied volatility is currently cheap, trading in its 14th percentile, while <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a> approaches its twelve-months high.</li>
<li>
Skew and Term Structure Dynamics: A pronounced skew smile and a relatively flat term structure make spreads and calendar / diagonal spreads attractive strategies.</li>
<li>
Open Interest Distribution: Liquidity can be found in the monthly May expiry and the Quarterly expiries. The historically low implied volatility facilitates longer term positions.</li>
</ul>



Implied Volatility Trends: One-month implied volatility is currently cheap, trading in its 14th percentile, while Tencent (700 HK) approaches its twelve-months high.

Skew and Term Structure Dynamics: A pronounced skew smile and a relatively flat term structure make spreads and calendar / diagonal spreads attractive strategies.

Open Interest Distribution: Liquidity can be found in the monthly May expiry and the Quarterly expiries. The historically low implied volatility facilitates longer term positions.


Hang Seng China Enterprises Index (HSCEI INDEX)

Hang Seng TECH Index (HSTECH INDEX EQUITY)

Tencent (700 HK): Strategies to Navigate Low Volatility and A Flat Term Structure