Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ. No security can have more than a 24% weighting. The index was developed with a base value of 125 as of February 1, 1985. Prior to December 21,1998 the Nasdaq 100 was a cap-weighted index.

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 Index (NDX INDEX) </a>dropped 3.6% following the FED’s communication of fewer than previously expected rate cuts in 2025. Quantitative analysis suggests that the Index is oversold.</li>
<li>Implied volatility spikes up from low levels to above median levels. The Skew steepens considerably as traders brace for more downside.</li>
<li>Risk Reversals are attractively priced right now in historic comparison. Parameters of a zero-cost risk reversal strategy are presented as an example.</li>
</ul>


The Nasdaq-100 Index (NDX INDEX) dropped 3.6% following the FED’s communication of fewer than previously expected rate cuts in 2025. Quantitative analysis suggests that the Index is oversold.
Implied volatility spikes up from low levels to above median levels. The Skew steepens considerably as traders brace for more downside.
Risk Reversals are attractively priced right now in historic comparison. Parameters of a zero-cost risk reversal strategy are presented as an example.


EQD | Nasdaq-100 Index Option Opportunity - Tactical Play on an Oversold Market and Volatility Skew

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.

<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

Equity Bottom-Up

HDFC Bank Ltd. offers a wide range of services to the global corporate sector. The Bank provides corporate banking and custodial services and is active in the treasury and capital markets. HDFC also markets project advisory services and capital market products such as Global Deposit Receipts, Euro currency loans, and Euro currency bonds.

<ul>
<li>A long-short strategy with <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank</a>, <a href="https://www.smartkarma.com/entities/icici-bank-ltd" target="_blank" data-smartkarma-citation="entities:547:1" rel="noopener">ICICI Bank</a>, and <a href="https://www.smartkarma.com/entities/state-bank-of-india" target="_blank" data-smartkarma-citation="entities:160:1" rel="noopener">State Bank Of India</a> outperformed the <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index</a> by 2.1% from 21 November to present.</li>
<li>The trade is supported by strong fundamentals, institutional and systemic aspects, and favorable technical factors.</li>
<li>The strategy is market-neutral with zero correlation to the Nifty Bank Index, enhanced by the yield pick-up from shorting the futures in a contango market.</li>
</ul>


A long-short strategy with HDFC Bank, ICICI Bank, and State Bank Of India outperformed the NSE Nifty Bank Index by 2.1% from 21 November to present.
The trade is supported by strong fundamentals, institutional and systemic aspects, and favorable technical factors.
The strategy is market-neutral with zero correlation to the Nifty Bank Index, enhanced by the yield pick-up from shorting the futures in a contango market.


Banking on Success: A Long-Short Strategy for Nifty Banks

The Hang Seng Index is a free-float capitalization-weighted index of a selection of companies from the Stock Exchange of Hong Kong. The components of the index are divided into four subindices: Commerce and Industry, Finance, Utilities, and Properties. The index was developed with a base level of 100 as of July 31, 1964.

<ul>
<li>This Insight analyzes <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> tailor-made option strategies traded between December 9-13, covering strategy analysis, trends, highlights, and volatility context.</li>
<li>Last week saw high activity with over 5,000 option contracts traded as combinations; the Iron Condor was notably popular, particularly on Monday and Tuesday.</li>
<li>The highest premium earned was for a January '25 Iron Condor. The largest trade was a December '24 Bull Call Spread, reflecting the popularity of bullish and long volatility strategies.</li>
</ul>


This Insight analyzes Hang Seng Index (HSI INDEX) tailor-made option strategies traded between December 9-13, covering strategy analysis, trends, highlights, and volatility context.
Last week saw high activity with over 5,000 option contracts traded as combinations; the Iron Condor was notably popular, particularly on Monday and Tuesday.
The highest premium earned was for a January '25 Iron Condor. The largest trade was a December '24 Bull Call Spread, reflecting the popularity of bullish and long volatility strategies.


EQD | Hang Seng (HSI Index) - Popular Option Strategies and Top Trades, Soaring with the Iron Condor

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.

<ul>
<li>Cross-Market volatility snapshot highlighting option opportunities. Today's opportunities are in the Nifty 50 and in Bitcoin</li>
<li>Nifty 50: The index crossed the 50-day moving average, signaling a bullish trend. Hedging gains is recommended due to expected macroeconomic uncertainty in Q1 2025.</li>
<li>Bitcoin: Surpassed $100,000, driven by positive sentiment towards the incoming US President's crypto-friendly stance. Options strategies are suggested, plus how a synthetic Bitcoin bond compares to a corporate bond.</li>
</ul>


Cross-Market volatility snapshot highlighting option opportunities. Today's opportunities are in the Nifty 50 and in Bitcoin
Nifty 50: The index crossed the 50-day moving average, signaling a bullish trend. Hedging gains is recommended due to expected macroeconomic uncertainty in Q1 2025.
Bitcoin: Surpassed $100,000, driven by positive sentiment towards the incoming US President's crypto-friendly stance. Options strategies are suggested, plus how a synthetic Bitcoin bond compares to a corporate bond.


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

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.

Gaudenz Schneider
Derivatives and Quantitative Strategist

EQD | Nasdaq-100 Index Option Opportunity - Tactical Play on an Oversold Market and Volatility Skew

The Nasdaq-100 Index dropped 3.6% after the FED's rate cut news, with quantitative analysis suggesting oversold conditions. Historically cheap...

Gaudenz Schneider

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

Banking on Success: A Long-Short Strategy for Nifty Banks

Long-short strategy with zero correlation to the NSE Nifty Bank Index with yield pick-up. Trade rationale supported by strong fundamentals,...

Gaudenz Schneider

EQD | Hang Seng (HSI Index) - Popular Option Strategies and Top Trades, Soaring with the Iron Condor

Hang Seng Index option strategies traded Dec 9-13, highlighting top trades and providing volatility context. Iron Condor proving to be popular.

Gaudenz Schneider

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

Opportunities in Nifty 50 and Bitcoin options due to bullish trends and positive sentiment. Global volatility overview of 15+ markets and...

Gaudenz Schneider

EQD | Nasdaq-100 Index Option Opportunity - Tactical Play on an Oversold Market and Volatility Skew

​The Nasdaq-100 Index dropped 3.6% after the FED's rate cut news, with quantitative analysis suggesting oversold conditions. Historically cheap...

Gaudenz Schneider

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

Banking on Success: A Long-Short Strategy for Nifty Banks

​Long-short strategy with zero correlation to the NSE Nifty Bank Index with yield pick-up. Trade rationale supported by strong fundamentals,...

Gaudenz Schneider

EQD | Hang Seng (HSI Index) - Popular Option Strategies and Top Trades, Soaring with the Iron Condor

Hang Seng Index option strategies traded Dec 9-13, highlighting top trades and providing volatility context. Iron Condor proving to be popular.

Gaudenz Schneider

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

​Opportunities in Nifty 50 and Bitcoin options due to bullish trends and positive sentiment. Global volatility overview of 15+ markets and...

Gaudenz Schneider

The Nasdaq-100 Index dropped 3.6% after the FED's rate cut news, with quantitative analysis suggesting oversold conditions. Historically cheap...

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...

Long-short strategy with zero correlation to the NSE Nifty Bank Index with yield pick-up. Trade rationale supported by strong fundamentals,...

Opportunities in Nifty 50 and Bitcoin options due to bullish trends and positive sentiment. Global volatility overview of 15+ markets and...