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

<ul>
<li>The implied move for January is less than what has been historically experienced. Sixteen of the last 26 years have had price movement &gt; current implied move.</li>
<li>January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.</li>
<li>Trades at the current implied move historically would have been winners 61.5% of the time with the average winner being more than double the average loser. </li>
</ul>


The implied move for January is less than what has been historically experienced. Sixteen of the last 26 years have had price movement &gt; current implied move.
January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.
Trades at the current implied move historically would have been winners 61.5% of the time with the average winner being more than double the average loser. 


EQD | KOSPI 200 Index – Buy January Straddle

<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

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>
As the year comes to its end, the trading calendar is impacted by two shortened weeks, with the Christmas holiday and New Year’s Day both falling midweek.</li>
<li>Holidays market trends can be affected by various non-market factors but it's always good to check the indexes probability of trend reversals, to avoid surprises.
</li>
<li>In this insight, we’ll take a quick look at the major Asia-Pacific market indices—a 'Christmas Carousel of Odds' for Asian markets, if you will.</li>
</ul>



As the year comes to its end, the trading calendar is impacted by two shortened weeks, with the Christmas holiday and New Year’s Day both falling midweek.
Holidays market trends can be affected by various non-market factors but it's always good to check the indexes probability of trend reversals, to avoid surprises.

In this insight, we’ll take a quick look at the major Asia-Pacific market indices—a 'Christmas Carousel of Odds' for Asian markets, if you will.


HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

<ul>
<li>Risk reward for owning implied vol has shifted to the long side here given spot/vol dynamics and limited vol upside since market peaked 17% higher.</li>
<li>Strong price action after a soggy start to the week sees a significant portion of open interest cleared out.</li>
<li>Largest open interest is at the 300 strike with ~ 42k Put contracts outstanding.</li>
</ul>


Risk reward for owning implied vol has shifted to the long side here given spot/vol dynamics and limited vol upside since market peaked 17% higher.
Strong price action after a soggy start to the week sees a significant portion of open interest cleared out.
Largest open interest is at the 300 strike with ~ 42k Put contracts outstanding.


EQD | Kospi Index Options Weekly – December 09 - 13

Derivatives and Quantitative Strategist

Gaudenz Schneider

<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.


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

South Korea

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)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

EQD | KOSPI 200 Index – Buy January Straddle

January historically has high volatility and price movement. Trades at the current implied move would have been winners 61.5% of the time.

John Ley

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

HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...

Nico Rosti

EQD | Kospi Index Options Weekly – December 09 - 13

Implied volatility positioning favors long side due to spot/vol dynamics and limited upside since market peak. Strong price action sees...

John Ley

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

South Korea's political turmoil has limited impact on KOSPI 200 and implied volatility. The current volatility skew, index dynamics, combined with...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD | KOSPI 200 Index – Buy January Straddle

​January historically has high volatility and price movement. Trades at the current implied move would have been winners 61.5% of the time.

John Ley

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

HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

​Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...

Nico Rosti

EQD | Kospi Index Options Weekly – December 09 - 13

​Implied volatility positioning favors long side due to spot/vol dynamics and limited upside since market peak. Strong price action sees...

John Ley

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

​South Korea's political turmoil has limited impact on KOSPI 200 and implied volatility. The current volatility skew, index dynamics, combined with...

Gaudenz Schneider

January historically has high volatility and price movement. Trades at the current implied move would have been winners 61.5% of the time.

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...

Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...

Implied volatility positioning favors long side due to spot/vol dynamics and limited upside since market peak. Strong price action sees...

South Korea's political turmoil has limited impact on KOSPI 200 and implied volatility. The current volatility skew, index dynamics, combined with...