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.

EQD | Global Option Implied Volatility - From Nifty 50 to Bitcoin, Plus BTC-Bond Special

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

EQD | NIFTY at a Fork: Is the Rally Over? or Can It Stretch for 3 More Weeks?

EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

EQD | The KOSPI 200 Forecast (After The Attempted Coup)

EQD | Hang Seng (HSI Index) - Most Popular Option Strategies, Long Vola with Bearish Bias

Event-Driven

Korea Stock Exchange KOSPI 200 / Event-Driven

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>The impact of South Korea's political turmoil on the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and implied volatility has been limited. Implied volatility has risen, and the skew steepened but not to extreme levels.</li>
<li>The shape of the skew, in combination with the interplay between index and skew change, open up an opportunity for opportunistic option trades, in particular short otm calls and/or puts.</li>
<li>
<a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 (KOSPI2 INDEX)</a> risk is probably skewed to the downside favoring short calls. Choice of strike and expiry is guided by quantitative analysis, option liquidity, and risk-return potential.</li>
</ul>


The impact of South Korea's political turmoil on the KOSPI 200 and implied volatility has been limited. Implied volatility has risen, and the skew steepened but not to extreme levels.
The shape of the skew, in combination with the interplay between index and skew change, open up an opportunity for opportunistic option trades, in particular short otm calls and/or puts.

KOSPI 200 (KOSPI2 INDEX) risk is probably skewed to the downside favoring short calls. Choice of strike and expiry is guided by quantitative analysis, option liquidity, and risk-return potential.


Korea Stock Exchange Kospi Index (KOSPI INDEX)

EQD | Kospi 200 (KOSPI2) - Identifying Option Opportunities Amid Political Turmoil