Derivatives and Quantitative Strategist

Gaudenz Schneider

Macroeconomics

<ul>
<li>
India: RBI rate decision on 9 April, 0.25% cut expected.</li>
<li>
CPI Release: Several economies release CPI data next week, while central banks update their forecasts and scenarios with the recently released US tariffs.</li>
<li>
Monthly Option Expiries: in India (BSE Stock options), Japan (Nikkei, Topix, Stocks), and South Korea (Kospi 200). The BSE moved the expiry one day forward due to a holiday.</li>
</ul>



India: RBI rate decision on 9 April, 0.25% cut expected.

CPI Release: Several economies release CPI data next week, while central banks update their forecasts and scenarios with the recently released US tariffs.

Monthly Option Expiries: in India (BSE Stock options), Japan (Nikkei, Topix, Stocks), and South Korea (Kospi 200). The BSE moved the expiry one day forward due to a holiday.


Market Movers: Key Dates at a Glance (7 - 13 April)

Equity Derivatives

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

<ul>
<li>
Asia-Pac Performance: The Indian market bucketed the down trend with the Nifty 50 declining only 0.35% with stable implied volatility. The Nikkei 225, on the other hand,dropped 2.8%. </li>
<li>
US and European Decline: The US market saw the largest decline, with implied volatility rising by 8%. European indices showed mixed results, with the EuroStoxx 50 reacting strongly.</li>
<li>
Gold vs. Bitcoin: Gold (GLD US ETF) proved to be a better store of value, while Bitcoin joined the US indices in higher volatility.</li>
</ul>



Asia-Pac Performance: The Indian market bucketed the down trend with the Nifty 50 declining only 0.35% with stable implied volatility. The Nikkei 225, on the other hand,dropped 2.8%. 

US and European Decline: The US market saw the largest decline, with implied volatility rising by 8%. European indices showed mixed results, with the EuroStoxx 50 reacting strongly.

Gold vs. Bitcoin: Gold (GLD US ETF) proved to be a better store of value, while Bitcoin joined the US indices in higher volatility.


Chart of the Day: Implied Volatility Soars Globally, US and Bitcoin Hit Hardest

Korea Stock Exchange KOSPI 200 / Equity Derivatives

The KOSPI 200 Index is a capitalization-weighted index of 200 Korean stocks which make up 93% of the total market value of the Korea Stock Exchange. The index was developed with a base value of 100 as of January 3, 1990.

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>
Market Reaction: The announcement of US reciprocal tariffs caused significant declines across Asia-Pacific markets. Although initial losses were partially recovered during the day, most markets closed substantially lower.</li>
<li>
Impact on South Korea: South Korea faces a 25% tariff. This led to a 1.5% drop in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 Index (KOSPI2 INDEX).</a> </li>
<li>
Volatility Increase: The Kospi 200 VIX index rose to a high of 28.64 before retreating to 26.05, indicating the 99th percentile of implied volatility.</li>
</ul>



Market Reaction: The announcement of US reciprocal tariffs caused significant declines across Asia-Pacific markets. Although initial losses were partially recovered during the day, most markets closed substantially lower.

Impact on South Korea: South Korea faces a 25% tariff. This led to a 1.5% drop in the Korea Stock Exchange KOSPI 200 Index (KOSPI2 INDEX). 

Volatility Increase: The Kospi 200 VIX index rose to a high of 28.64 before retreating to 26.05, indicating the 99th percentile of implied volatility.


KOSPI 200 (KOSPI2 Index) Hits 99th Percentile Implied Volatility Amid US Tariff Impact

<ul>
<li>
Market Reaction: The announcement of US reciprocal tariffs led to significantly lower market open throughout Asia-Pacific. In the US, <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500</a> futures dropped -3.5%, with the VIX spiking to 23.45.</li>
<li>
Impact on Japan: Japan faces a 24% tariff, with specific sectors like automobiles hit with 25%. This led to a 4.5% drop in the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>, stabilizing at 34,600 (-3.2%).</li>
<li>
Volatility Increase: The Nikkei 225 VIX index jumped from previous levels in the low 20's to rise above 38 before retreating to 32.8, indicating the 99th percentile of implied volatility.</li>
</ul>



Market Reaction: The announcement of US reciprocal tariffs led to significantly lower market open throughout Asia-Pacific. In the US, S&amp;P 500 futures dropped -3.5%, with the VIX spiking to 23.45.

Impact on Japan: Japan faces a 24% tariff, with specific sectors like automobiles hit with 25%. This led to a 4.5% drop in the Nikkei 225, stabilizing at 34,600 (-3.2%).

Volatility Increase: The Nikkei 225 VIX index jumped from previous levels in the low 20's to rise above 38 before retreating to 32.8, indicating the 99th percentile of implied volatility.


Nikkei 225 (NKY INDEX) Drops Amid US Tariffs: Implied Volatility Hits Extreme Levels

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>
Market Reaction: The announcement of US reciprocal tariffs led to significant declines in S&amp;P 500 (-3.5%) and Nasdaq-100 (-4.4%) futures, with the VIX spiking from 20.00 to 23.45.</li>
<li>
Impact on Australia: Australia faces a 10% tariff, with the overall economic impact expected to be limited.</li>
<li>
<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> Response: The S&amp;P/ASX 200 dropped 2.1% in early trading, with its VIX index rising from 13.20 to 15.43. These are historically high but not extreme levels.</li>
</ul>



Market Reaction: The announcement of US reciprocal tariffs led to significant declines in S&amp;P 500 (-3.5%) and Nasdaq-100 (-4.4%) futures, with the VIX spiking from 20.00 to 23.45.

Impact on Australia: Australia faces a 10% tariff, with the overall economic impact expected to be limited.

S&amp;P/ASX 200 (AS51 INDEX) Response: The S&amp;P/ASX 200 dropped 2.1% in early trading, with its VIX index rising from 13.20 to 15.43. These are historically high but not extreme levels.


S&P/ASX 200 Volatility Rises: Market Down Amid US Tariffs and S&P 500 Futures Plunge

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.