Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

<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

<ul>
<li>A rare cross asset relative value opportunity; time horizon two months, market neutral, near zero-cost premium.</li>
<li>The strategy exploits the historically low difference between implied volatilities for the <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 Stock Index (NDX INDEX)</a> and the <a href="https://www.smartkarma.com/entities/spdr-gold-shares" target="_blank" data-smartkarma-citation="entities:8632:1" rel="noopener">SPDR Gold Shares (GLD US)</a>.</li>
<li>This insight lays out trade rationale, historical context, fundamental drivers, and trade implementation. Nasdaq-100 Vega exposure provides the strategy with an extra edge and tailwind for success.</li>
</ul>


A rare cross asset relative value opportunity; time horizon two months, market neutral, near zero-cost premium.
The strategy exploits the historically low difference between implied volatilities for the Nasdaq-100 Stock Index (NDX INDEX) and the SPDR Gold Shares (GLD US).
This insight lays out trade rationale, historical context, fundamental drivers, and trade implementation. Nasdaq-100 Vega exposure provides the strategy with an extra edge and tailwind for success.


EQD | Nasdaq-100 Vs. Gold - A Relative Value Volatility Strategy with an Edge

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

Nasdaq-100 Stock Index / Technical Analysis

<ul>
<li>$SPX remains below 5783, the upper-end of important target/resistance area we've discussed for a month+ (5670-5783). 5670 was prior all-time high set in July, while 5783 is 2% above 5670.</li>
<li>It's hard to call it a "decisive" breakout if SPX isn't even 2% above its prior high.  In 2007, SPX made a top after climbing 1-2% above its prior high.</li>
<li>The 2007 topping analog has tracked the current market almost perfectly, with similar backdrops to today including new Fed cutting cycle, recession indicators going off, yield curve un-inverting, defensives outperforming</li>
</ul>


$SPX remains below 5783, the upper-end of important target/resistance area we've discussed for a month+ (5670-5783). 5670 was prior all-time high set in July, while 5783 is 2% above 5670.
It's hard to call it a "decisive" breakout if SPX isn't even 2% above its prior high.  In 2007, SPX made a top after climbing 1-2% above its prior high.
The 2007 topping analog has tracked the current market almost perfectly, with similar backdrops to today including new Fed cutting cycle, recession indicators going off, yield curve un-inverting, defensives outperforming


Still No Decisive Breakout as SPX Tests 5783 Resistance; Ideal Time to Shift to Defensives

<ul>
<li>Despite some more mixed signals, a majority of market dynamics still suggests a risk-on environment. Our bullish outlook since early November 2023 remains intact with SPX and QQQ uptrends intact.</li>
<li>Near-Term we continue to expect to see support at the 20-day MA and 21-day EMA on the SPX (currently 5325-5330) and QQQ (currently $460-462).</li>
<li>Longer-Term, we're bullish as long as the SPX is above 5191 and QQQ is above $449. We'd need to see breakdowns below these levels in order to shift to neutral.</li>
</ul>


Despite some more mixed signals, a majority of market dynamics still suggests a risk-on environment. Our bullish outlook since early November 2023 remains intact with SPX and QQQ uptrends intact.
Near-Term we continue to expect to see support at the 20-day MA and 21-day EMA on the SPX (currently 5325-5330) and QQQ (currently $460-462).
Longer-Term, we're bullish as long as the SPX is above 5191 and QQQ is above $449. We'd need to see breakdowns below these levels in order to shift to neutral.


Bullish Outlook Intact; Downgrading Industrials and Transportation to Underweight

United States

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.

Nasdaq-100 Stock Index (NDX INDEX)

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

EQD | Nasdaq-100 Vs. Gold - A Relative Value Volatility Strategy with an Edge

Rare cross asset relative value opportunity exploiting low spread between implied volatilities of Nasdaq-100 and Gold. Tailwind for success...

Gaudenz Schneider

Still No Decisive Breakout as SPX Tests 5783 Resistance; Ideal Time to Shift to Defensives

Still No Decisive Breakout as $SPX Tests 5783 Resistance; On watch for SPX bull trap/failed breakout, confirmed only on a break below 5670. 2007...

Vermilion Research

Bullish Outlook Intact; Downgrading Industrials and Transportation to Underweight

Bullish Outlook Intact; Downgrading Industrials $XLI and Transports to Underweight; We still expect support at the 20-day MA/21-day EMA on $SPX...

Vermilion Research

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

EQD | Nasdaq-100 Vs. Gold - A Relative Value Volatility Strategy with an Edge

​Rare cross asset relative value opportunity exploiting low spread between implied volatilities of Nasdaq-100 and Gold. Tailwind for success...

Gaudenz Schneider

Still No Decisive Breakout as SPX Tests 5783 Resistance; Ideal Time to Shift to Defensives

Still No Decisive Breakout as $SPX Tests 5783 Resistance; On watch for SPX bull trap/failed breakout, confirmed only on a break below 5670. 2007...

Vermilion Research

Bullish Outlook Intact; Downgrading Industrials and Transportation to Underweight

Bullish Outlook Intact; Downgrading Industrials $XLI and Transports to Underweight; We still expect support at the 20-day MA/21-day EMA on $SPX...

Vermilion Research

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...

Rare cross asset relative value opportunity exploiting low spread between implied volatilities of Nasdaq-100 and Gold. Tailwind for success...