Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

<ul>
<li>The <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> has declined two weeks in a row. Quantitative analysis suggests that a trend reversal could occur soon.</li>
<li>This Insight provides an option strategy based on the resistance and support levels identified in the quantitative Insight <a href="https://www.smartkarma.com/insights/eqd-asx-200-presents-a-high-probability-buy-the-dip-opportunity" target="_blank" data-smartkarma-citation="insights:170243" rel="noopener">EQD | ASX 200 Presents a High-Probability Buy-The-Dip Opportunity</a> </li>
<li>Option liquidity and volatility analysis, including skew, term structure and put/call ratios are provided and used in strategy design.</li>
</ul>


The S&amp;P/ASX 200 (AS51 INDEX) has declined two weeks in a row. Quantitative analysis suggests that a trend reversal could occur soon.
This Insight provides an option strategy based on the resistance and support levels identified in the quantitative Insight EQD | ASX 200 Presents a High-Probability Buy-The-Dip Opportunity 
Option liquidity and volatility analysis, including skew, term structure and put/call ratios are provided and used in strategy design.


EQD | S&P/ASX 200 Index Option Strategy -Combining Record Low Volatility with Buy-The-Dip

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>The <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 INDEX</a> it's currently trending up quite well, since October 2023. The current rally picked up some steam from July 2024 and is quite steady. </li>
<li>The index started to pull back 2 weeks ago and has closed 2 consecutive weeks down and this week started with a Monday down Close.</li>
<li>Our models show a clear opportunity to buy this dip and ride the index uptrend back to &gt;3% profit target, roughly a 3-weeks movement according to our forecast.</li>
</ul>


The S&amp;P/ASX 200 INDEX it's currently trending up quite well, since October 2023. The current rally picked up some steam from July 2024 and is quite steady. 
The index started to pull back 2 weeks ago and has closed 2 consecutive weeks down and this week started with a Monday down Close.
Our models show a clear opportunity to buy this dip and ride the index uptrend back to &gt;3% profit target, roughly a 3-weeks movement according to our forecast.


EQD | ASX 200 Presents a High-Probability Buy-The-Dip Opportunity

<ul>
<li>US equity indices led global markets in a post-election sharp decline in implied volatility.</li>
<li>With only 34 trading days left in 2024, investors might want to hedge the gains from a profitable year with tactical long puts.</li>
<li>Several markets make good candidates for long put positions due to a combination of cheap options and potentially bearish factors. One example being the <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> </li>
</ul>


US equity indices led global markets in a post-election sharp decline in implied volatility.
With only 34 trading days left in 2024, investors might want to hedge the gains from a profitable year with tactical long puts.
Several markets make good candidates for long put positions due to a combination of cheap options and potentially bearish factors. One example being the S&amp;P/ASX 200 (AS51 INDEX) 


EQD | Global Option Implied Volatility – 34 Trading Days Left in 2024, Year-End Positioning.

<ul>
<li>Global equity markets have experienced falling prices and increasing volatility over the past week. Some markets were affected more than others.</li>
<li>Hedging opportunities in the <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>, the <a href="https://www.smartkarma.com/entities/ftse-100-index-ukx" target="_blank" data-smartkarma-citation="entities:22904:1" rel="noopener">FTSE 100 Index (UKX INDEX)</a>, or the Swiss Market Index; all with sub-13% implied volatility.</li>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> experienced some of the largest market and volatility moves in international comparison, with more turbulence likely ahead following the Japanese elections.</li>
</ul>


Global equity markets have experienced falling prices and increasing volatility over the past week. Some markets were affected more than others.
Hedging opportunities in the S&amp;P/ASX 200 (AS51 INDEX), the FTSE 100 Index (UKX INDEX), or the Swiss Market Index; all with sub-13% implied volatility.
The Nikkei 225 (NKY INDEX) experienced some of the largest market and volatility moves in international comparison, with more turbulence likely ahead following the Japanese elections.


EQD | Global Option Implied Volatility - Nikkei 225, Nifty 50, S&P/ASX 200, S&P 500, SMI, FTSE 100

<ul>
<li>This week the <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 INDEX</a> entered WEEKLY OVERBOUGHT status intra-week, peaking at 8384.50, then pulling back to 8283.20 at Close.</li>
<li>In this insight we will examine resistance levels the index will have a hard time to clear, without pulling back first at least 1 week.</li>
<li>According to our quantitative models, a pullback is highly likely to happen this week, or the next.</li>
</ul>


This week the S&amp;P/ASX 200 INDEX entered WEEKLY OVERBOUGHT status intra-week, peaking at 8384.50, then pulling back to 8283.20 at Close.
In this insight we will examine resistance levels the index will have a hard time to clear, without pulling back first at least 1 week.
According to our quantitative models, a pullback is highly likely to happen this week, or the next.


EQD | Upcoming ASX200 Pullback in 1-2 Weeks

Australia

The S&P/ASX 200 measures the performance of the 200 largest index-eligible stocks listed on the ASX by float-adjusted market capitalization. Representative liquid and tradable, it is widely considered Australia's preeminent benchmark index. The index is float-adjusted. The index was launched in April 2000.

S&P/ASX 200 (AS51 INDEX)

EQD | S&P/ASX 200 Index Option Strategy -Combining Record Low Volatility with Buy-The-Dip

The S&P/ASX 200 has declined for two weeks, but a trend reversal could be imminent. This Insight presents an option strategy based on resistance...

Gaudenz Schneider

EQD | ASX 200 Presents a High-Probability Buy-The-Dip Opportunity

The ASX 200 Index has been trending up steadily. A recent pullback offers a buying opportunity: potential uptrend continuation for another 3 weeks...

Nico Rosti

EQD | Global Option Implied Volatility – 34 Trading Days Left in 2024, Year-End Positioning.

Global equity indices saw a post-election volatility drop, making options cheap in several, but not all, markets. Consider hedging gains with...

Gaudenz Schneider

EQD | Global Option Implied Volatility - Nikkei 225, Nifty 50, S&P/ASX 200, S&P 500, SMI, FTSE 100

Global equity markets have seen falling prices and rising volatility. Hedging opportunities exist in the FTSE 100, SMI, and S&P/ASX 200. The...

Gaudenz Schneider

EQD | Upcoming ASX200 Pullback in 1-2 Weeks

The ASX 200 INDEX has entered WEEKLY-overbought status, it is going to pull back in the next 1-2 weeks, but the overall trend appears healthy....

Nico Rosti

EQD | S&P/ASX 200 Index Option Strategy -Combining Record Low Volatility with Buy-The-Dip

The ​S&P/ASX 200 has declined for two weeks, but a trend reversal could be imminent. This Insight presents an option strategy based on resistance...

Gaudenz Schneider

EQD | ASX 200 Presents a High-Probability Buy-The-Dip Opportunity

​The ASX 200 Index has been trending up steadily. A recent pullback offers a buying opportunity: potential uptrend continuation for another 3 weeks...

Nico Rosti

EQD | Global Option Implied Volatility – 34 Trading Days Left in 2024, Year-End Positioning.

​Global equity indices saw a post-election volatility drop, making options cheap in several, but not all, markets. Consider hedging gains with...

Gaudenz Schneider

EQD | Global Option Implied Volatility - Nikkei 225, Nifty 50, S&P/ASX 200, S&P 500, SMI, FTSE 100

​Global equity markets have seen falling prices and rising volatility. Hedging opportunities exist in the FTSE 100, SMI, and S&P/ASX 200. The...

Gaudenz Schneider

EQD | Upcoming ASX200 Pullback in 1-2 Weeks

​The ASX 200 INDEX has entered WEEKLY-overbought status, it is going to pull back in the next 1-2 weeks, but the overall trend appears healthy....

Nico Rosti

The S&P/ASX 200 has declined for two weeks, but a trend reversal could be imminent. This Insight presents an option strategy based on resistance...

The ASX 200 Index has been trending up steadily. A recent pullback offers a buying opportunity: potential uptrend continuation for another 3 weeks...

Global equity indices saw a post-election volatility drop, making options cheap in several, but not all, markets. Consider hedging gains with...

Global equity markets have seen falling prices and rising volatility. Hedging opportunities exist in the FTSE 100, SMI, and S&P/ASX 200. The...

The ASX 200 INDEX has entered WEEKLY-overbought status, it is going to pull back in the next 1-2 weeks, but the overall trend appears healthy....