Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

<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

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<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

<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</a> has been quietly rallying since its (modest) -11% correction in 2023, mostly unaffected by global turmoils, even the latest sell-off in US, Asia and Europe was "non-damaging".</li>
<li>The index has already recovered a large part of the losses suffered for only 1 week, very brief if we consider that the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">SPX INDEX</a> had corrected for 4 weeks.</li>
<li>Now that 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</a> has rallied strongly we want to analyze its pattern model, to identify the area where it could pull back again (or slow down).</li>
</ul>


The S&amp;P/ASX 200 has been quietly rallying since its (modest) -11% correction in 2023, mostly unaffected by global turmoils, even the latest sell-off in US, Asia and Europe was "non-damaging".
The index has already recovered a large part of the losses suffered for only 1 week, very brief if we consider that the SPX INDEX had corrected for 4 weeks.
Now that the S&amp;P/ASX 200 has rallied strongly we want to analyze its pattern model, to identify the area where it could pull back again (or slow down).


EQD | The ASX200 Can Rally Higher (If This Is A Rally...)

Senior Equity Derivatives Trader

Simon Harris

<ul>
<li>Australia's economy is robust and will benefit from long term Asian Growth</li>
<li>Short-Term risks are increasing and ASX200 will not be immune</li>
<li>Hedge longs using short term options to avoid any short-term turbulence</li>
</ul>


Australia's economy is robust and will benefit from long term Asian Growth
Short-Term risks are increasing and ASX200 will not be immune
Hedge longs using short term options to avoid any short-term turbulence


EQD | ASX200(AS51 Index): Fundamentals Strong but Hedge Long with Options Whilst Asian Risks Persist

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 | 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 | The ASX200 Can Rally Higher (If This Is A Rally...)

The ASX 200's uptrend has continued since the end of 2023, resilient to global turmoils, including the latest US/Asia/Europe sell-off. Where are...

Nico Rosti

EQD | ASX200(AS51 Index): Fundamentals Strong but Hedge Long with Options Whilst Asian Risks Persist

A look at the ASX200 and the potential risks around its Asian driving force. Use of index options to protect a portion of the downside.

Simon Harris

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 | The ASX200 Can Rally Higher (If This Is A Rally...)

​The ASX 200's uptrend has continued since the end of 2023, resilient to global turmoils, including the latest US/Asia/Europe sell-off. Where are...

Nico Rosti

EQD | ASX200(AS51 Index): Fundamentals Strong but Hedge Long with Options Whilst Asian Risks Persist

A look at the ASX200 and the potential risks around its Asian driving force. Use of index options to protect a portion of the downside.

Simon Harris

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....

The ASX 200's uptrend has continued since the end of 2023, resilient to global turmoils, including the latest US/Asia/Europe sell-off. Where are...