Derivatives and Quantitative Strategist

Gaudenz Schneider

Financial Economist with over 20 years of investment experience across all asset classes. He has worked as a sell-side derivatives researcher and trader on one of London’s largest trading floors, and as a structurer and portfolio manager for the buy-side in Switzerland. As head of Quantitative Strategy at an Asian WealthTech company, Gaudi and his team designed over 50 distinct investment strategies for institutional clients in Australasia.

Gaudi’s analysis follows a scientific approach based on empirical research and quantitative evidence.

Alibaba (9988 HK): Trends in CALL Strikes and Open Interest Visualized in Animation and Charts

Hang Seng Index (HSI): Trends in PUT Strikes and Open Interest Visualized in Animation and Charts

HSI, HSCEI, HSTECH, HSIII Index Rebalance: US$5.3bn of Flows Post Capping (Mar 2025)

HSI Index Options Weekly (Feb 24-28): Volatility Increases as Rally Reverses

Equity Derivatives

Alibaba Group Holding  / Equity Derivatives

<ul>
<li>As <a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba Group Holding (9988 HK)</a> rallied, put strike distribution remained largely unchanged with median strikes only rising from 80 to 85, pushing protection increasingly deep out-of-the-money.</li>
<li>With most puts now deep out-of-the-money, active trading is expected in the 120-140 strike range.</li>
<li>The deep out-of-the-money put strikes trade at a significant premium to at the money implied volatility. The 130 strikes trade below, offering an opportunity for an effective hedge.</li>
</ul>


As Alibaba Group Holding (9988 HK) rallied, put strike distribution remained largely unchanged with median strikes only rising from 80 to 85, pushing protection increasingly deep out-of-the-money.
With most puts now deep out-of-the-money, active trading is expected in the 120-140 strike range.
The deep out-of-the-money put strikes trade at a significant premium to at the money implied volatility. The 130 strikes trade below, offering an opportunity for an effective hedge.


Hang Seng China Enterprises Index (HSCEI INDEX)

Alibaba (9988 HK): Trends in PUT Strikes and Open Interest Visualized in Animation and Charts