Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ. No security can have more than a 24% weighting. The index was developed with a base value of 125 as of February 1, 1985. Prior to December 21,1998 the Nasdaq 100 was a cap-weighted index.

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 Index (NDX INDEX) </a>dropped 3.6% following the FED’s communication of fewer than previously expected rate cuts in 2025. Quantitative analysis suggests that the Index is oversold.</li>
<li>Implied volatility spikes up from low levels to above median levels. The Skew steepens considerably as traders brace for more downside.</li>
<li>Risk Reversals are attractively priced right now in historic comparison. Parameters of a zero-cost risk reversal strategy are presented as an example.</li>
</ul>


The Nasdaq-100 Index (NDX INDEX) dropped 3.6% following the FED’s communication of fewer than previously expected rate cuts in 2025. Quantitative analysis suggests that the Index is oversold.
Implied volatility spikes up from low levels to above median levels. The Skew steepens considerably as traders brace for more downside.
Risk Reversals are attractively priced right now in historic comparison. Parameters of a zero-cost risk reversal strategy are presented as an example.


EQD | Nasdaq-100 Index Option Opportunity - Tactical Play on an Oversold Market and Volatility Skew

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq 100 Index (NDX)</a> selling lead the index straight into OVERSOLD territory on December 18th. </li>
<li>The sell off is overdone, our DAILY NDX model suggests a high probability LONG trade for Thursday.
</li>
<li>High volatility may affect trades, triggering stops and making it difficult to hold without taking the risk of big losses, Vertical Spreads (Bull PUTs) are a better instrument choice.
</li>
</ul>


The Nasdaq 100 Index (NDX) selling lead the index straight into OVERSOLD territory on December 18th. 
The sell off is overdone, our DAILY NDX model suggests a high probability LONG trade for Thursday.

High volatility may affect trades, triggering stops and making it difficult to hold without taking the risk of big losses, Vertical Spreads (Bull PUTs) are a better instrument choice.



EQD | NDX OVERSOLD: A High Probability LONG Trade Idea

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Broadcom Inc. designs, develops, and supplies semiconductor and infrastructure software solutions. The Company offers storage adapters, controllers, networking processors, motion control encoders, and optical sensors, as well as infrastructure and security software to modernize, optimize, and secure the most complex hybrid environments. Broadcom serves customers worldwide.

<ul>
<li>Constituent changes to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> and capping changes will result in a round-trip trade of US$17.7bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.</li>
<li>There is over US$500m to trade in <a href="https://www.smartkarma.com/entities/broadcom-inc" target="_blank" data-smartkarma-citation="entities:998:1" rel="noopener">Broadcom (AVGO US)</a>, <a href="https://www.smartkarma.com/entities/tesla-inc" target="_blank" data-smartkarma-citation="entities:20279:1" rel="noopener">Tesla (TSLA US)</a>, <a href="https://www.smartkarma.com/entities/apollo-global-management-inc" target="_blank" data-smartkarma-citation="entities:28770:1" rel="noopener">Apollo Global Management (APO US)</a>, <a href="https://www.smartkarma.com/entities/amazon-com-inc" target="_blank" data-smartkarma-citation="entities:409:1" rel="noopener">Amazon.com Inc (AMZN US)</a> and <a href="https://www.smartkarma.com/entities/workday-inc-class-a" target="_blank" data-smartkarma-citation="entities:5660:1" rel="noopener">Workday Inc Class A (WDAY US)</a>. </li>
<li>
<a href="https://www.smartkarma.com/entities/broadcom-inc" target="_blank" data-smartkarma-citation="entities:998:1" rel="noopener">Broadcom (AVGO US)</a> swings from a small net buy to a large net sell following the rally in the stock last week.</li>
</ul>


Constituent changes to the S&amp;P 500 INDEX and capping changes will result in a round-trip trade of US$17.7bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.
There is over US$500m to trade in Broadcom (AVGO US), Tesla (TSLA US), Apollo Global Management (APO US), Amazon.com Inc (AMZN US) and Workday Inc Class A (WDAY US). 

Broadcom (AVGO US) swings from a small net buy to a large net sell following the rally in the stock last week.


Select Sector Indices and S&P Equal Weight Rebalance: US$17.7bn Round-Trip Trade Post Capping Cutoff

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Chemring Group PLC is a global group of companies that specializes in the manufacture of energetic material products and advanced expendable countermeasures. The Company operates in the pyrotechnics, explosive ordnance disposal (EOD), munitions, and countermeasures markets.  Chemring Group PLC provides solutions  in defense, security, and safety markets.

<ul>
<li>The MV Global Defense Industry Index represents the performance of companies in national defense industries.</li>
<li>
<a href="https://www.smartkarma.com/entities/amentum-holdings-inc" target="_blank" data-smartkarma-citation="entities:44105:1" rel="noopener">Amentum Holdings (AMTM US)</a> is an ADD and <a href="https://www.smartkarma.com/entities/chemring-group-plc" target="_blank" data-smartkarma-citation="entities:24801:1" rel="noopener">Chemring Group PLC (CHG LN)</a> is a DEL for the MV Global Defense Index in December 2024. </li>
<li>We expect a one-way flow of US$138mm for December 2024, which translates to a turnover of 8.6%.</li>
</ul>


The MV Global Defense Industry Index represents the performance of companies in national defense industries.

Amentum Holdings (AMTM US) is an ADD and Chemring Group PLC (CHG LN) is a DEL for the MV Global Defense Index in December 2024. 
We expect a one-way flow of US$138mm for December 2024, which translates to a turnover of 8.6%.


[Quiddity Index] MVIS Global Defense Index Dec24 Rebalance Results: Flow Expectations

Advanced Micro Devices, Inc. (AMD) produces semiconductor products and devices. The Company offers products such as microprocessors, embedded microprocessors, chipsets, graphics, video and multimedia products and supplies it to third-party foundries, as well as provides assembling, testing, and packaging services. AMD serves customers worldwide.

<ul>
<li>The MV US Listed Semiconductor 25 index represents the performance of the biggest US-listed companies in the semiconductor industry.</li>
<li>There will be no index changes for the December 2024 rebal event.</li>
<li>We expect a one-way flow of US$1.3bn for December 2024, which translates to a turnover of 5.4%.</li>
</ul>


The MV US Listed Semiconductor 25 index represents the performance of the biggest US-listed companies in the semiconductor industry.
There will be no index changes for the December 2024 rebal event.
We expect a one-way flow of US$1.3bn for December 2024, which translates to a turnover of 5.4%.


[Quiddity Index] MarketVector US Semiconductor Index Dec24 Rebal Results: Flow Expectations

US/EU Index Events
Index Rebalance and Events

EQD | Nasdaq-100 Index Option Opportunity - Tactical Play on an Oversold Market and Volatility Skew

The Nasdaq-100 Index dropped 3.6% after the FED's rate cut news, with quantitative analysis suggesting oversold conditions. Historically cheap...

Gaudenz Schneider

EQD | NDX OVERSOLD: A High Probability LONG Trade Idea

Nasdaq 100 Index hit oversold territory on Dec 18, our DAILY models suggest a high probability LONG trade for Thursday. Consider using ATM/OTM...

Nico Rosti

Select Sector Indices and S&P Equal Weight Rebalance: US$17.7bn Round-Trip Trade Post Capping Cutoff

Constituent changes to the SnP500 Index and capping changes result in a round-trip trade of US$17.7bn across the Select Sector and the SnP500 Equal...

Brian Freitas

[Quiddity Index] MVIS Global Defense Index Dec24 Rebalance Results: Flow Expectations

The MVIS Global Defense Index Rebalance was announced Friday. The rebal is set for next Friday (20 Dec 2024) at the close. AMTM US is a buy, which...

Travis Lundy

[Quiddity Index] MarketVector US Semiconductor Index Dec24 Rebal Results: Flow Expectations

The MarketVectors US Semiconductor Index rebal was announced last Friday. There are no changes but capping leads to US$1.3bn of one-way flow on 20...

Travis Lundy

EQD | Nasdaq-100 Index Option Opportunity - Tactical Play on an Oversold Market and Volatility Skew

​The Nasdaq-100 Index dropped 3.6% after the FED's rate cut news, with quantitative analysis suggesting oversold conditions. Historically cheap...

Gaudenz Schneider

EQD | NDX OVERSOLD: A High Probability LONG Trade Idea

​Nasdaq 100 Index hit oversold territory on Dec 18, our DAILY models suggest a high probability LONG trade for Thursday. Consider using ATM/OTM...

Nico Rosti

Select Sector Indices and S&P Equal Weight Rebalance: US$17.7bn Round-Trip Trade Post Capping Cutoff

Constituent changes to the SnP500 Index and capping changes result in a round-trip trade of US$17.7bn across the Select Sector and the SnP500 Equal...

Brian Freitas

[Quiddity Index] MVIS Global Defense Index Dec24 Rebalance Results: Flow Expectations

The MVIS Global Defense Index Rebalance was announced Friday. The rebal is set for next Friday (20 Dec 2024) at the close. AMTM US is a buy, which...

Travis Lundy

[Quiddity Index] MarketVector US Semiconductor Index Dec24 Rebal Results: Flow Expectations

The MarketVectors US Semiconductor Index rebal was announced last Friday. There are no changes but capping leads to US$1.3bn of one-way flow on 20...

Travis Lundy

The Nasdaq-100 Index dropped 3.6% after the FED's rate cut news, with quantitative analysis suggesting oversold conditions. Historically cheap...

Nasdaq 100 Index hit oversold territory on Dec 18, our DAILY models suggest a high probability LONG trade for Thursday. Consider using ATM/OTM...