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

Event-Driven

<ul>
<li>Full circulation implementation at the beginning of April derailed <a href="https://www.smartkarma.com/entities/laopu-gold-co-ltd" target="_blank" data-smartkarma-citation="entities:44036:1" rel="noopener">Laopu Gold (6181 HK)</a>'s chances of global index inclusion in May. </li>
<li>The company has now launched a US$300m primary placement that will significantly improve chances of inclusion in the same global index in August.</li>
<li>
<a href="https://www.smartkarma.com/entities/laopu-gold-co-ltd" target="_blank" data-smartkarma-citation="entities:44036:1" rel="noopener">Laopu Gold (6181 HK)</a> will also be added to another global index in September, so there are a few index inclusions likely for the stock this year. </li>
</ul>


Full circulation implementation at the beginning of April derailed Laopu Gold (6181 HK)'s chances of global index inclusion in May. 
The company has now launched a US$300m primary placement that will significantly improve chances of inclusion in the same global index in August.

Laopu Gold (6181 HK) will also be added to another global index in September, so there are a few index inclusions likely for the stock this year. 


Laopu Gold (6181 HK): US$300m Primary Placement & Index Inclusion Green Light

Index Rebalance

<ul>
<li>Most Secondary-listed companies have announced the number of shares that underlie ADRs and are held by the ADR depositaries as of end-March (or around that time).</li>
<li>There are some significant increases in the number of shares held by the ADR depositaries. That changes the free float for the stocks and consequently the estimated flows.</li>
<li>
<a href="https://www.smartkarma.com/entities/netease-inc" target="_blank" data-smartkarma-citation="entities:29030:1" rel="noopener">NetEase (9999 HK)</a>, <a href="https://www.smartkarma.com/entities/trip-com-group-ltd-23a341d0-4f63-4175-a8c5-ee990906cacd" target="_blank" data-smartkarma-citation="entities:36424:1" rel="noopener">Trip.com Group (9961 HK)</a>, <a href="https://www.smartkarma.com/entities/baidu-inc-a55ca720-5968-48f0-8194-ac94390d065c" target="_blank" data-smartkarma-citation="entities:32212:1" rel="noopener">Baidu (9888 HK)</a> and <a href="https://www.smartkarma.com/entities/weibo-corp" target="_blank" data-smartkarma-citation="entities:35280:1" rel="noopener">Weibo (9898 HK)</a> will have passives buying, while <a href="https://www.smartkarma.com/entities/nio-inc-2d526675-c878-4104-840f-87fed1735e85" target="_blank" data-smartkarma-citation="entities:35652:1" rel="noopener">NIO (9866 HK)</a> switches to a sell.</li>
</ul>


Most Secondary-listed companies have announced the number of shares that underlie ADRs and are held by the ADR depositaries as of end-March (or around that time).
There are some significant increases in the number of shares held by the ADR depositaries. That changes the free float for the stocks and consequently the estimated flows.

NetEase (9999 HK), Trip.com Group (9961 HK), Baidu (9888 HK) and Weibo (9898 HK) will have passives buying, while NIO (9866 HK) switches to a sell.


Hang Seng Indexes: ADR Depositary Holding Changes; Round-Trip Trade Is US$5.1bn; NetEase Outperforms

Derivatives and Quantitative Strategist

Gaudenz Schneider

Macroeconomics

<ul>
<li>
Central Bank Rate Decisions, including from the Bank of Japan, the Fed, the Reserve Bank of Australia, and the Bank of Korea.</li>
<li>
Elections: Australia is holding national elections on 3 May while South Korea has presidential elections in early June.</li>
<li>
Various exchange holidays in several countries at the beginning of the month, and in the last week of May.</li>
</ul>



Central Bank Rate Decisions, including from the Bank of Japan, the Fed, the Reserve Bank of Australia, and the Bank of Korea.

Elections: Australia is holding national elections on 3 May while South Korea has presidential elections in early June.

Various exchange holidays in several countries at the beginning of the month, and in the last week of May.


Equity Derivatives

<ul>
<li>Over the past five trading days, <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a> multi-leg option strategies showcased a variety of approaches. Strategy highlights are provided.</li>
<li>
Popular Strategies: Call/Put Spreads account for 88% of all strategies, with a bias towards bearish views.</li>
<li>
Lottery Trades: a recent trend, observed in other stocks as well, manifests itself in <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a>. A lotter trade bets on a low probability event with a high payout. </li>
</ul>


Over the past five trading days, BYD (1211 HK) multi-leg option strategies showcased a variety of approaches. Strategy highlights are provided.

Popular Strategies: Call/Put Spreads account for 88% of all strategies, with a bias towards bearish views.

Lottery Trades: a recent trend, observed in other stocks as well, manifests itself in BYD (1211 HK). A lotter trade bets on a low probability event with a high payout. 


BYD (1211 HK): Top Trades Reflect Bearish Bias in HKEX Options Trading Strategies

<ul>
<li>
Implied Volatility Trends: One-month implied volatility for <a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a> has decreased but remains high at 48% (80th percentile), reflecting persistent market uncertainty.</li>
<li>
Skew and Term Structure Dynamics: The volatility term structure is slightly inverted, and a pronounced smile in the skew favors call and put spreads.</li>
<li>
Open Interest Distribution: Liquidity is concentrated in May, June, and December 2025 expiries, with a slight bias towards puts. Open interest peaking at out-of-the-money strikes for both calls and puts.</li>
</ul>



Implied Volatility Trends: One-month implied volatility for BYD (1211 HK) has decreased but remains high at 48% (80th percentile), reflecting persistent market uncertainty.

Skew and Term Structure Dynamics: The volatility term structure is slightly inverted, and a pronounced smile in the skew favors call and put spreads.

Open Interest Distribution: Liquidity is concentrated in May, June, and December 2025 expiries, with a slight bias towards puts. Open interest peaking at out-of-the-money strikes for both calls and puts.


BYD (1211 HK): Volatility Smile Signals Opportunity in Spreads

China

The Hang Seng China Enterprises Index is a free-float capitalization-weighted index comprised of H-Shares listed on the Hong Kong Stock Exchange and included in the Hang Seng Mainland Composite Index. The base value of this index is 2000 as of Jan 3, 2000. This index replaced the old HSCE index on Oct. 3, 2001.

Hang Seng China Enterprises Index (HSCEI INDEX)

Hang Seng China Enterprises Index (HSCEI INDEX)

Laopu Gold (6181 HK): US$300m Primary Placement & Index Inclusion Green Light

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Hang Seng Indexes: ADR Depositary Holding Changes; Round-Trip Trade Is US$5.1bn; NetEase Outperforms

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BYD (1211 HK) option strategies show focus on bearish views with Put Spreads dominating. Lottery Trades gain popularity for low probability, high...

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BYD (1211 HK): Volatility Smile Signals Opportunity in Spreads

Implied volatility for BYD (1211 HK) remains high at 48%, skew favors call and put spreads, and open interest is concentrated in specific expiries...

Gaudenz Schneider

Laopu Gold (6181 HK): US$300m Primary Placement & Index Inclusion Green Light

A US$300m primary placement significantly improves Laopu Gold's chances of global index inclusion in Aug/Sep. Worth buying on dips while keeping an...

Brian Freitas

Hang Seng Indexes: ADR Depositary Holding Changes; Round-Trip Trade Is US$5.1bn; NetEase Outperforms

ADR depositary holding changes alter FAFs and flows. Estimated round-trip trade is US$5.1bn now. NetEase has outperformed the HSCI by 15.5% since...

Brian Freitas

The Month Ahead: Key Events in May 2025

​May will be a busy month with central bank rate decisions, elections in Australia and South Korea. Dates of exchange holidays and monthly option...

Gaudenz Schneider

BYD (1211 HK): Top Trades Reflect Bearish Bias in HKEX Options Trading Strategies

​BYD (1211 HK) option strategies show focus on bearish views with Put Spreads dominating. Lottery Trades gain popularity for low probability, high...

Gaudenz Schneider

BYD (1211 HK): Volatility Smile Signals Opportunity in Spreads

​Implied volatility for BYD (1211 HK) remains high at 48%, skew favors call and put spreads, and open interest is concentrated in specific expiries...

Gaudenz Schneider

May will be a busy month with central bank rate decisions, elections in Australia and South Korea. Dates of exchange holidays and monthly option...

BYD (1211 HK) option strategies show focus on bearish views with Put Spreads dominating. Lottery Trades gain popularity for low probability, high...

Implied volatility for BYD (1211 HK) remains high at 48%, skew favors call and put spreads, and open interest is concentrated in specific expiries...