Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Event-Driven

Korea Stock Exchange KOSPI 200 / Event-Driven

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>Kospi is now off 20% from its 52-week highs. Historic vols are picking up and implieds looking like good value given market dynamics.</li>
<li>Hedging increased with broad based positioning in Puts across out-of-the-money strikes.</li>
<li>Heavier volume in Puts with 53.2% of added open interest being Puts.</li>
</ul>


Kospi is now off 20% from its 52-week highs. Historic vols are picking up and implieds looking like good value given market dynamics.
Hedging increased with broad based positioning in Puts across out-of-the-money strikes.
Heavier volume in Puts with 53.2% of added open interest being Puts.


EQD | Kospi Index Options Weekly - December 16 - 20

Market & Forensics Analyst, Beat the Street

Nimish Maheshwari

Market & Forensics Analyst

Beat the Street

Beat The Street was founded by Nimish Maheshwari and Sudarshan Bhandari, both of whom are Chartered Accountants by Profession, known for their expert analysis in the fields of Business, Sectoral analysis, and Corporate governance.

With a strong social media presence of 45,000+ Subscribers across various platforms, they are considered trusted voices in the industry. Their insights and analysis have been featured in some of India’s most prominent publications, including the Economic Times, Dalal Street Investment Journal, The Morning Context, and The Ken.

Their analysis on Bankrupt & Insolvent companies has been instrumental in saving investors from significant losses. They have a keen eye for identifying red flags and has identified exclusive redflags earlier in Vedanta, Nykaa, Dhani Services, Adani and many more.

Read Business Not Stock Prices

Thematic (Sector/Industry)

<ul>
<li>India's nuclear power capacity is projected to surge <strong>2.7 times by 2031</strong>, reaching 22.3 GW and creating a lucrative investment landscape. </li>
<li>This expansion will unlock opportunities for companies like <a href="https://www.smartkarma.com/entities/bharat-heavy-electricals" target="_blank" data-smartkarma-citation="entities:460:1" rel="noopener">Bharat Heavy Electricals (BHEL IN)</a>, <a href="https://www.smartkarma.com/entities/walchandnagar-industries" target="_blank" data-smartkarma-citation="entities:9114:1" rel="noopener">Walchandnagar Industries (WI IN)</a>, and <a href="https://www.smartkarma.com/entities/hindustan-construction-co" target="_blank" data-smartkarma-citation="entities:6446:1" rel="noopener">Hindustan Construction Co (HCC IN)</a> in manufacturing, construction, and auxiliary services. </li>
<li>The rollout of 50 Bharat Small Reactors (BSRs) presents a particularly enticing prospect with a projected investment of Rs. 2,00,000 Crore.</li>
</ul>


India's nuclear power capacity is projected to surge 2.7 times by 2031, reaching 22.3 GW and creating a lucrative investment landscape. 
This expansion will unlock opportunities for companies like Bharat Heavy Electricals (BHEL IN), Walchandnagar Industries (WI IN), and Hindustan Construction Co (HCC IN) in manufacturing, construction, and auxiliary services. 
The rollout of 50 Bharat Small Reactors (BSRs) presents a particularly enticing prospect with a projected investment of Rs. 2,00,000 Crore.


Thematic Report: India's Nuclear Power Boom: A 2.7x Growth Story

Cross-Asset Strategist & Quantitative Analyst, Pennock Idea Hub

Cam Hui

Cross-Asset Strategist & Quantitative Analyst

Pennock Idea Hub

We are creators of independent equity research. The Pennock Idea Hub team are veterans of the investment industry. Much of our team has spent their careers at Merrill Lynch, Deutsche Bank, RBC Capital Markets and Wood Gundy. We have taken every aspect of research back to the studs and returned to first principles. The Pennock Idea Hub marries the interests of the sell and buy side. 

We offer the best research for institutional investors by:

-Only publishing research from veteran analysts
-Eliminate the inherent conflicts of the traditional sell and buy side relationship
-Ensure our team is always accessible; collaboration with clients nurtures our collective success

Cross-Asset & Quantitative Research

Cross Asset Strategy

<ul>
<li>We are subscribers to Occam’s Razor, or the simplest explanation is the most satisfactory, and recent UFOs sightings are of terrestrial origin.</li>
<li>It’s nevertheless a worthwhile exercise to consider asset return expectations under the scenario of an extra-terrestrial alien invasion.</li>
<li>Our study of an alien invasion opens the door to discussing return studies. Standard assumptions about returns to bonds and equity risk premiums are useful only up to a point.</li>
</ul>


We are subscribers to Occam’s Razor, or the simplest explanation is the most satisfactory, and recent UFOs sightings are of terrestrial origin.
It’s nevertheless a worthwhile exercise to consider asset return expectations under the scenario of an extra-terrestrial alien invasion.
Our study of an alien invasion opens the door to discussing return studies. Standard assumptions about returns to bonds and equity risk premiums are useful only up to a point.


Equity Return Expectations Under An Alien Invasion

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the changes in foreign holdings of KRX stocks as of Dec 20th which has an aggregated holding worth USD449.4bn.</li>
<li>We estimate that foreign flows to be outflows of USD1,163mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.</li>
<li>We highlight changes of foreign holdings in Hyundai Glovis, SK Hynix, Samsung Electronics, Celltrion.</li>
</ul>


We analyzed the changes in foreign holdings of KRX stocks as of Dec 20th which has an aggregated holding worth USD449.4bn.
We estimate that foreign flows to be outflows of USD1,163mln. We tabulate the league table for top changes by value for 1W/4W/1Y and top stocks held by foreign institutions.
We highlight changes of foreign holdings in Hyundai Glovis, SK Hynix, Samsung Electronics, Celltrion.


KRX Foreign Holding Weekly (Dec 20th): Hyundai Glovis, SK Hynix, Samsung Electronics, Celltrion

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Posco DX Company Ltd. provides information and technology services. The Company provides computer systems design, computer and server merchant wholesale, computer and office machine repair and maintenance services. Posco DX also offers eic engineering, smart factory, wireless networking equipment, steel manufacturing, and digital video recorder manufacturing services.

<ul>
<li>The review period for the March rebalance of the KOSPI Size Indices commenced on 1 December and will end on 28 February.</li>
<li>A quarter of the way through the review period, we forecast 37 migrating stocks. Among new listings, 1 could be added to LargeCap, 3 to MidCap and 2 to SmallCap.</li>
<li>Four downward migrations were deleted from a global index in November. Now, three more downward migrations could be deleted from the same global index in February.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices commenced on 1 December and will end on 28 February.
A quarter of the way through the review period, we forecast 37 migrating stocks. Among new listings, 1 could be added to LargeCap, 3 to MidCap and 2 to SmallCap.
Four downward migrations were deleted from a global index in November. Now, three more downward migrations could be deleted from the same global index in February.


KOSPI Size Indices: Overlap Between Global Passive Selling & Downward Migrations

South Korea
Insights on South Korea

EQD | Kospi Index Options Weekly - December 16 - 20

Kospi's 20% drop from 52-week highs prompts increased hedging through out-of-the-money Puts, with implied volatility offering good value vs normal...

John Ley

Thematic Report: India's Nuclear Power Boom: A 2.7x Growth Story

India's nuclear power capacity set to surge 2.7 times by 2031, creating investment opportunities for companies like BHEL, Walchandnagar & HCC .

Nimish Maheshwari

Equity Return Expectations Under An Alien Invasion

Our study of an alien invasion opens the door to discussing return studies. Standard assumptions about returns to bonds and equity risk premiums...

Cam Hui

KRX Foreign Holding Weekly (Dec 20th): Hyundai Glovis, SK Hynix, Samsung Electronics, Celltrion

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in Hyundai Glovis, SK Hynix, Samsung Electronics,...

Ke Yan, CFA, FRM

KOSPI Size Indices: Overlap Between Global Passive Selling & Downward Migrations

There could be 37 migrations for the KOSPI Size indices in March, plus 1 LargeCap and 3 MidCap inclusions. The MidCap to LargeCap migrations have...

Brian Freitas

EQD | Kospi Index Options Weekly - December 16 - 20

​Kospi's 20% drop from 52-week highs prompts increased hedging through out-of-the-money Puts, with implied volatility offering good value vs normal...

John Ley

Thematic Report: India's Nuclear Power Boom: A 2.7x Growth Story

​India's nuclear power capacity set to surge 2.7 times by 2031, creating investment opportunities for companies like BHEL, Walchandnagar & HCC .

Nimish Maheshwari

Equity Return Expectations Under An Alien Invasion

Our study of an alien invasion opens the door to discussing return studies. Standard assumptions about returns to bonds and equity risk premiums...

Cam Hui

KRX Foreign Holding Weekly (Dec 20th): Hyundai Glovis, SK Hynix, Samsung Electronics, Celltrion

We analyzed KRX foreign holding data for the past week and highlighted foreign holding changes in Hyundai Glovis, SK Hynix, Samsung Electronics,...

Ke Yan, CFA, FRM

KOSPI Size Indices: Overlap Between Global Passive Selling & Downward Migrations

There could be 37 migrations for the KOSPI Size indices in March, plus 1 LargeCap and 3 MidCap inclusions. The MidCap to LargeCap migrations have...

Brian Freitas

Kospi's 20% drop from 52-week highs prompts increased hedging through out-of-the-money Puts, with implied volatility offering good value vs normal...

India's nuclear power capacity set to surge 2.7 times by 2031, creating investment opportunities for companies like BHEL, Walchandnagar & HCC .