Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

Chicago Board Options Exchange Volatility Index / Event-Driven

Chicago Board Options Exchange Volatility Index

<ul>
<li>The <a href="https://www.smartkarma.com/entities/chicago-board-options-exchange-volatility-index" target="_blank" data-smartkarma-citation="entities:31501:1" rel="noopener">VIX INDEX</a> is currently OVERSOLD from a <em>time</em> perspective, but not yet from a <em>price</em> perspective: if it falls &lt;13, there is a high probability it will reverse up.</li>
<li>A spike in the VIX will correspond to a drawdown in equities, globally. The MRM model indicates a 1-2 weeks duration for the event, price targets between 16 and 18.</li>
<li>After the spike, the VIX could start to fall again, so this upcoming volatility spike should be a brief, short-lived event.</li>
</ul>


The VIX INDEX is currently OVERSOLD from a time perspective, but not yet from a price perspective: if it falls &lt;13, there is a high probability it will reverse up.
A spike in the VIX will correspond to a drawdown in equities, globally. The MRM model indicates a 1-2 weeks duration for the event, price targets between 16 and 18.
After the spike, the VIX could start to fall again, so this upcoming volatility spike should be a brief, short-lived event.


EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

Senior Equity Derivatives Trader

Simon Harris

<ul>
<li>Weekly summary of vol changes and moves across Global Markets</li>
<li>Analysing ATM volatility and skew changes over the last 5 days</li>
<li>We suggest a few trades to take advantage of the implied vol surfaces</li>
</ul>


Weekly summary of vol changes and moves across Global Markets
Analysing ATM volatility and skew changes over the last 5 days
We suggest a few trades to take advantage of the implied vol surfaces


EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Slowing Growth

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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/tata-motors-ltd" target="_blank" data-smartkarma-citation="entities:216:1" rel="noopener">Tata Motors Ltd (TTMT IN)</a> has announced a Scheme of Arrangement where all the <a href="https://www.smartkarma.com/entities/tata-motors-ltd-a-dvr" target="_blank" data-smartkarma-citation="entities:349:1" rel="noopener">Tata Motors DVR (TTMT/A IN)</a> shares will be cancelled.</li>
<li>For every 10 shares of <a href="https://www.smartkarma.com/entities/tata-motors-ltd-a-dvr" target="_blank" data-smartkarma-citation="entities:349:1" rel="noopener">Tata Motors DVR (TTMT/A IN)</a> held, shareholders will receive 7 shares of <a href="https://www.smartkarma.com/entities/tata-motors-ltd" target="_blank" data-smartkarma-citation="entities:216:1" rel="noopener">Tata Motors Ltd (TTMT IN)</a>. </li>
<li>The process is expected to take 12-15 months to complete and there will be passive buying in <a href="https://www.smartkarma.com/entities/tata-motors-ltd" target="_blank" data-smartkarma-citation="entities:216:1" rel="noopener">Tata Motors Ltd (TTMT IN)</a> at the end of it.</li>
</ul>



Tata Motors Ltd (TTMT IN) has announced a Scheme of Arrangement where all the Tata Motors DVR (TTMT/A IN) shares will be cancelled.
For every 10 shares of Tata Motors DVR (TTMT/A IN) held, shareholders will receive 7 shares of Tata Motors Ltd (TTMT IN). 
The process is expected to take 12-15 months to complete and there will be passive buying in Tata Motors Ltd (TTMT IN) at the end of it.


Tata Motors (TTMT IN) - Goodbye to the DVR Arb

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Taking a Breather

Equity Derivatives Trader and Strategist

Leon Gross

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> Implieds are at Records Low, Cheap to Historic, Buy Options.</li>
<li>Many Asian Indices have Tight Ranges, Flat Returns YTD,  Options Expensive to the Range.</li>
<li>
<a href="https://www.smartkarma.com/entities/hsbc-holdings-plc" target="_blank" data-smartkarma-citation="entities:516:1" rel="noopener">HSBC Holdings (5 HK)</a> and  <a href="https://www.smartkarma.com/entities/citic-ltd" target="_blank" data-smartkarma-citation="entities:20590:1" rel="noopener">Citic Ltd (267 HK)</a>  are up than 23% YTD, (with the Hang Sang flat), hedge them with cheap options</li>
</ul>



Hang Seng Index (HSI INDEX) Implieds are at Records Low, Cheap to Historic, Buy Options.
Many Asian Indices have Tight Ranges, Flat Returns YTD,  Options Expensive to the Range.

HSBC Holdings (5 HK) and  Citic Ltd (267 HK)  are up than 23% YTD, (with the Hang Sang flat), hedge them with cheap options


EQD | Asian Derivative YTD Range Trade Ideas

India

The NIFTY 50 index is National Stock Exchange of India's benchmark stock market index for Indian equity market. Nifty is owned and managed by India Index Services and Products (IISL), which is a wholly owned subsidiary of the NSE Strategic Investment Corporation Limited.

NIFTY Index (NIFTY INDEX)

EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

Sunday Reading: the VIX Index WEEKLY is becoming OVERSOLD, if it goes near 10 there is a high chance it will spike up, and equity volatility could...

Nico Rosti

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Slowing Growth

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

Tata Motors (TTMT IN) - Goodbye to the DVR Arb

The Tata Motors DVR arb will be a thing of the past in 12-15 months. The DVR line is trading at a 7% discount to scheme terms. There will be...

Brian Freitas

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Taking a Breather

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

EQD | Asian Derivative YTD Range Trade Ideas

Asian Equity markets and volatility markets YTD with long and short ideas for indices and individual options, focus on China.

Leon Gross