Macroeconomic and Investing, The Macro Compass

Alfonso Peccatiello (Alf)

Macroeconomic and Investing

The Macro Compass

Actionable investment ideas and unique global macro insights. From the desk of a former Head of $20 bn Investment Portfolio straight to your inbox.

Actionable Investment Ideas

Macroeconomics

<ul><li>The first 5 weeks of the year have seen international equities outperforming the S&amp;P 500: European and Chinese stocks have rallied harder than US stock indexes, and certain emerging markets like Chile or Poland are doing even better.</li><li>My main thesis for the first half of the year remains to be positioned with an ‘’International Risk Parity’’ portfolio: long US bonds, and long stocks around the world.</li><li>The chart above shows that the US growth exceptionalism might be over. The Aggregate Income Growth series is a great proxy for nominal growth in real time: it includes private sector job creation, workweek hours, and wage growth – effectively reflecting the growth rate of nominal income US workers are bringing home.</li></ul>

The first 5 weeks of the year have seen international equities outperforming the S&amp;P 500: European and Chinese stocks have rallied harder than US stock indexes, and certain emerging markets like Chile or Poland are doing even better.My main thesis for the first half of the year remains to be positioned with an ‘’International Risk Parity’’ portfolio: long US bonds, and long stocks around the world.The chart above shows that the US growth exceptionalism might be over. The Aggregate Income Growth series is a great proxy for nominal growth in real time: it includes private sector job creation, workweek hours, and wage growth – effectively reflecting the growth rate of nominal income US workers are bringing home.

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>The United States' tariff against Mexico and Canada, effective March 4, 2025, could disrupt global markets, with potential volatility spikes similar to early February's events.</li>
<li>
<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</a> and <a href="https://www.smartkarma.com/entities/ftse-100-index-ukx" target="_blank" data-smartkarma-citation="entities:22904:1" rel="noopener">FTSE 100</a>: low implied volatility offers opportunities for protective puts, </li>
<li>
<a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>: an volatility premium suggests a relative value volatility arbitrage play. </li>
</ul>


The United States' tariff against Mexico and Canada, effective March 4, 2025, could disrupt global markets, with potential volatility spikes similar to early February's events.

S&amp;P/ASX 200 and FTSE 100: low implied volatility offers opportunities for protective puts, 

KOSPI 200 and Nikkei 225: an volatility premium suggests a relative value volatility arbitrage play. 


Global Option Implied Volatility - Opportunities in S&P/ASX 200, KOSPI 200, Nikkei 225, FTSE 100.

<ul>
<li>Global option markets present a diverse picture, offering a broad opportunity set.</li>
<li>Several markets make for good hedging-candidates after a strong January and amid cheap options.</li>
<li>Although several Indian indices show high implied volatility, contextual analysis indicates volatility may be fairly priced relative to their bear trends.</li>
</ul>


Global option markets present a diverse picture, offering a broad opportunity set.
Several markets make for good hedging-candidates after a strong January and amid cheap options.
Although several Indian indices show high implied volatility, contextual analysis indicates volatility may be fairly priced relative to their bear trends.


EQD | Global Option Implied Volatility - Option Opportunities Across the Regions

<ul>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> is in a steady bear market with political turmoil further depressing the outlook. Volatility increased in the near term, leading to an inverted term structure.</li>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">Nifty 50</a> is approaching its 50-day average from below. Call options profit from low implied volatility and present an attractive opportunity to profit on the upside.</li>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng</a> continues to stand out as the index with positive correlation between implied volatility and index performance. Interestingly, the relationship is not symmetric between up- and down moves.</li>
</ul>


The KOSPI 200 is in a steady bear market with political turmoil further depressing the outlook. Volatility increased in the near term, leading to an inverted term structure.
The Nifty 50 is approaching its 50-day average from below. Call options profit from low implied volatility and present an attractive opportunity to profit on the upside.
The Hang Seng continues to stand out as the index with positive correlation between implied volatility and index performance. Interestingly, the relationship is not symmetric between up- and down moves.


EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

<ul>
<li>The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.</li>
<li>Market Specific commentary and option opportunities for <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a>, <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>, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a>, <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 (NDX INDEX)</a>, <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 (SPX INDEX),</a> and more.</li>
<li>Volatility analytics plus upcoming events and market holidays to the end of January as reference data.</li>
</ul>


The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.
Market Specific commentary and option opportunities for NIFTY Index (NIFTY INDEX), S&amp;P/ASX 200 (AS51 INDEX), Nikkei 225 (NKY INDEX), Nasdaq-100 (NDX INDEX), S&amp;P 500 (SPX INDEX), and more.
Volatility analytics plus upcoming events and market holidays to the end of January as reference data.


EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

United Kingdom

The FTSE 100 Index is a capitalization-weighted index of the 100 most highly capitalized companies traded on the London Stock Exchange. The equities use an investibility weighting in the index calculation. The index was developed with a base level of 1000 as of December 30, 1983. 

UKX Index (UKX INDEX)

Here Are My Top Macro Ideas

The first 5 weeks of the year have seen international equities outperforming the S&P 500: European and Chinese stocks have rallied harder than US...

Alfonso Peccatiello (Alf)

Global Option Implied Volatility - Opportunities in S&P/ASX 200, KOSPI 200, Nikkei 225, FTSE 100.

US tariffs on Mexico and Canada effective 4 March as a potentially adverse market event. S&P/ASX 200 and FTSE 100 offer protective put opportunities.

Gaudenz Schneider

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Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...

Gaudenz Schneider

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Option strategies with a focus on Asia. The Kospi 200 in a bear market amid political turmoil. Nifty 50 approaching its 50-day average in a bullish...

Gaudenz Schneider

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Gaudenz Schneider

Here Are My Top Macro Ideas

The first 5 weeks of the year have seen international equities outperforming the S&P 500: European and Chinese stocks have rallied harder than US...

Alfonso Peccatiello (Alf)

Global Option Implied Volatility - Opportunities in S&P/ASX 200, KOSPI 200, Nikkei 225, FTSE 100.

​US tariffs on Mexico and Canada effective 4 March as a potentially adverse market event. S&P/ASX 200 and FTSE 100 offer protective put opportunities.

Gaudenz Schneider

EQD | Global Option Implied Volatility - Option Opportunities Across the Regions

​Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...

Gaudenz Schneider

EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Option strategies with a focus on Asia. The Kospi 200 in a bear market amid political turmoil. Nifty 50 approaching its 50-day average in a bullish...

Gaudenz Schneider

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

​US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Gaudenz Schneider

US tariffs on Mexico and Canada effective 4 March as a potentially adverse market event. S&P/ASX 200 and FTSE 100 offer protective put opportunities.

Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...

US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....