Senior Equity Derivatives Trader

Simon Harris

Event-Driven

<ul>
<li>Weekly summary of vol changes and moves across Global Markets</li>
<li>Analysing ATM volatility and skew changes over the last 5 days</li>
<li>We suggest a few trades to take advantage of the implied vol surfaces</li>
</ul>


Weekly summary of vol changes and moves across Global Markets
Analysing ATM volatility and skew changes over the last 5 days
We suggest a few trades to take advantage of the implied vol surfaces


EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades

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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/samyang-foods-co-ltd" target="_blank" data-smartkarma-citation="entities:9100:1" rel="noopener">Samyang Foods (003230 KS)</a> will replace <a href="https://www.smartkarma.com/entities/hyundai-greenfood-co-ltd" target="_blank" data-smartkarma-citation="entities:19560:1" rel="noopener">Hyundai Greenfood (005440 KS)</a> in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> at the close on 12 April.</li>
<li>We expect <a href="https://www.smartkarma.com/entities/dgb-financial-group-inc" target="_blank" data-smartkarma-citation="entities:6138:1" rel="noopener">DGB Financial Group (139130 KS)</a> will replace <a href="https://www.smartkarma.com/entities/meritz-securities-co-ltd" target="_blank" data-smartkarma-citation="entities:19692:1" rel="noopener">Meritz Securities (008560 KS)</a> in early April.</li>
<li>Then we expect another 3 changes at the regular rebalance in June. The potential adds have moved sharply higher recently and there are flows from other index trackers too.</li>
</ul>



Samyang Foods (003230 KS) will replace Hyundai Greenfood (005440 KS) in the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the close on 12 April.
We expect DGB Financial Group (139130 KS) will replace Meritz Securities (008560 KS) in early April.
Then we expect another 3 changes at the regular rebalance in June. The potential adds have moved sharply higher recently and there are flows from other index trackers too.


KOSPI200 Index Rebalance Preview: Changes in April & June

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>KOSPI2 Index trading off the highs but supported by the 200-dma</li>
<li>Implied vols are trading cheap offering a good entry point</li>
<li>Options continue to be priced cheaply and we look at simple upside plays</li>
</ul>


KOSPI2 Index trading off the highs but supported by the 200-dma
Implied vols are trading cheap offering a good entry point
Options continue to be priced cheaply and we look at simple upside plays


EQD | KOSPI2 Index: Reloading on Upside Calls

<ul>
<li>The review period for the March rebalance of the KOSPI Size Indices ends 28 February. The results will be announced early March and implemented at the close on 9 March.</li>
<li>We see 5 migrations between MidCap and LargeCap, 8 migrations from SmallCap to MidCap, 3 new adds to MidCap, and 11 migrations from MidCap to SmallCap.</li>
<li>Stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.</li>
</ul>


The review period for the March rebalance of the KOSPI Size Indices ends 28 February. The results will be announced early March and implemented at the close on 9 March.
We see 5 migrations between MidCap and LargeCap, 8 migrations from SmallCap to MidCap, 3 new adds to MidCap, and 11 migrations from MidCap to SmallCap.
Stocks migrating from SmallCap to MidCap have outperformed stocks that are migrating between other categories.


KOSPI Size Indices - Potential Changes in March

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 | Volatility Update: Weekly Review of Vol Changes and Best Trades

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

KOSPI200 Index Rebalance Preview: Changes in April & June

There will be 2 changes to the index in April and then another 3 in June. Flows are significant on some stocks. The adds have all moved higher in...

Brian Freitas

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

EQD | KOSPI2 Index: Reloading on Upside Calls

We look to take advantage of a small pull back in the KOSPI2 Index and a good entry level for volatility to produce a long option strategy.

Simon Harris

KOSPI Size Indices - Potential Changes in March

The review period for the March rebal of the KOSPI Size Indices ends on 28 February. We see quite a lot of potential migrations. Some stocks could...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)