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): Unpacking the Week's Savvy Top Options Trades

BYD (1211 HK) Options: Unpacking the Top Trades of the Week

JD.com (9618 HK): Top Trades and Strategic Insights from HKEX Options Trading

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

BABA (9988.HK) Earnings: Volatility Setup, Post-Release Price Behavior and Hedge Recommendation

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

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

Equity Derivatives

<ul>
<li>
Implied Volatility Trends:<a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba Group Holding's (9988 HK)</a> one-month implied volatility has significantly receded to the 37th percentile after its 15 May earnings, reflecting a substantial implied vola crush.</li>
<li>
Skew and Term Structure Dynamics: The implied volatility term structure is now slightly upward-sloping with longer-dated options commanding a small premium. Skew dynamics indicate cheaper puts.</li>
<li>
Open Interest Distribution: Liquidity is greatest in the June and September expiries. Short term strikes are concentrated near or at the money.</li>
</ul>



Implied Volatility Trends:Alibaba Group Holding's (9988 HK) one-month implied volatility has significantly receded to the 37th percentile after its 15 May earnings, reflecting a substantial implied vola crush.

Skew and Term Structure Dynamics: The implied volatility term structure is now slightly upward-sloping with longer-dated options commanding a small premium. Skew dynamics indicate cheaper puts.

Open Interest Distribution: Liquidity is greatest in the June and September expiries. Short term strikes are concentrated near or at the money.


Hang Seng China Enterprises Index (HSCEI INDEX)

Hang Seng TECH Index (HSTECH INDEX EQUITY)

アリババ（9988 HK）：決算発表後のボラティリティを乗り切る