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-Taking a Breather

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>With the start of the review period around the corner, there could be two changes for the FnGuide Semiconductor Top10 Index at the October rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/wonik-ips-co-ltd-5d7417b7-5438-41d4-a6e4-8016d24d818a" target="_blank" data-smartkarma-citation="entities:26912:1" rel="noopener">Wonik Ips (240810 KS)</a> and <a href="https://www.smartkarma.com/entities/techwing-inc" target="_blank" data-smartkarma-citation="entities:5735:1" rel="noopener">Techwing Inc (089030 KS)</a> are potential adds while <a href="https://www.smartkarma.com/entities/isc-co-ltd" target="_blank" data-smartkarma-citation="entities:13560:1" rel="noopener">ISC Co Ltd (095340 KS)</a> and <a href="https://www.smartkarma.com/entities/dongjin-semichem-co-ltd" target="_blank" data-smartkarma-citation="entities:19607:1" rel="noopener">Dongjin Semichem (005290 KS)</a> are potential deletes.</li>
<li>Passives will need to trade more than 2x ADV on two potential changes and more than 1x ADV on another potential change.</li>
</ul>


With the start of the review period around the corner, there could be two changes for the FnGuide Semiconductor Top10 Index at the October rebalance.

Wonik Ips (240810 KS) and Techwing Inc (089030 KS) are potential adds while ISC Co Ltd (095340 KS) and Dongjin Semichem (005290 KS) are potential deletes.
Passives will need to trade more than 2x ADV on two potential changes and more than 1x ADV on another potential change.


FnGuide Semiconductor Top10 Index Rebalance Preview: Two Changes Likely in October

Topsports International Holdings / Event-Driven

<ul>
<li>The China equity markets have continued to trade lower with the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> outperforming other mainland indices as the National Team continues to pump money into ETFs tracking the index.</li>
<li>We currently estimate selling of around US$1.39bn across 74 stocks listed on the mainland and in Hong Kong. There could be fewer deletions depending on the review date chosen.</li>
<li>The potential deletes have dropped a lot since the start of the calendar year with big underperformance versus the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI Index</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> and <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a>.</li>
</ul>


The China equity markets have continued to trade lower with the CSI 300 Index outperforming other mainland indices as the National Team continues to pump money into ETFs tracking the index.
We currently estimate selling of around US$1.39bn across 74 stocks listed on the mainland and in Hong Kong. There could be fewer deletions depending on the review date chosen.
The potential deletes have dropped a lot since the start of the calendar year with big underperformance versus the HSCEI Index, CSI 300 Index and CSI Smallcap 500 Index.


China: Passive Selling Expected Later This Month

<ul>
<li>The review period for the September rebalance ends today, the changes will be announced in the first week of September and implemented at the close of trading on 12 September.</li>
<li>There is at least one change expected for each of the Secondary Battery, Bio, Internet, Game and BBIG indices. </li>
<li>The largest flows will be in <a href="https://www.smartkarma.com/entities/posco-future-m-co-ltd" target="_blank" data-smartkarma-citation="entities:12421:1" rel="noopener">Posco Future M</a>, <a href="https://www.smartkarma.com/entities/ecopro-bm-co-ltd" target="_blank" data-smartkarma-citation="entities:27873:1" rel="noopener">Ecopro BM</a>, <a href="https://www.smartkarma.com/entities/sk-biopharmaceuticals-co-ltd" target="_blank" data-smartkarma-citation="entities:28966:1" rel="noopener">SK Biopharmaceuticals</a>, <a href="https://www.smartkarma.com/entities/alteogen-inc" target="_blank" data-smartkarma-citation="entities:15886:1" rel="noopener">Alteogen</a>, <a href="https://www.smartkarma.com/entities/celltrion-inc-38a560c3-749f-4bd5-8671-c0df9cb659d7" target="_blank" data-smartkarma-citation="entities:26893:1" rel="noopener">Celltrion</a>, <a href="https://www.smartkarma.com/entities/skc-co-ltd" target="_blank" data-smartkarma-citation="entities:3970:1" rel="noopener">SKC Co</a>, <a href="https://www.smartkarma.com/entities/kakao-corp" target="_blank" data-smartkarma-citation="entities:15002:1" rel="noopener">Kakao Corp</a>, <a href="https://www.smartkarma.com/entities/douzone-bizon-co-ltd" target="_blank" data-smartkarma-citation="entities:20161:1" rel="noopener">Douzone Bizon</a>, <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener">Krafton</a> and <a href="https://www.smartkarma.com/entities/samsung-biologics-co-ltd" target="_blank" data-smartkarma-citation="entities:22932:1" rel="noopener">Samsung Biologics</a>.</li>
</ul>


The review period for the September rebalance ends today, the changes will be announced in the first week of September and implemented at the close of trading on 12 September.
There is at least one change expected for each of the Secondary Battery, Bio, Internet, Game and BBIG indices. 
The largest flows will be in Posco Future M, Ecopro BM, SK Biopharmaceuticals, Alteogen, Celltrion, SKC Co, Kakao Corp, Douzone Bizon, Krafton and Samsung Biologics.


KRX New Deal Index Rebalance Preview: Potential Changes as Review Period Ends Today

<ul>
<li>The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August.</li>
<li>We see 8 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 11 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.</li>
<li>There are a few stocks that are expected to have passive flows from global and local index trackers over the next few months and that will add to the impact.</li>
</ul>


The review period for the September rebalance of the KOSPI Size Indices commenced on 1 June and will end on 31 August.
We see 8 migrations from MidCap to LargeCap, 1 new addition to LargeCap, 11 stocks moving from SmallCap to MidCap and 3 new additions to MidCap.
There are a few stocks that are expected to have passive flows from global and local index trackers over the next few months and that will add to the impact.


KOSPI Size Indices: Outperformance Slows on Momentum Stalls

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)

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Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Taking a Breather

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

FnGuide Semiconductor Top10 Index Rebalance Preview: Two Changes Likely in October

There could be two changes for the FnGuide Semiconductor Top10 Index in October. Some stocks have similar market caps and will need to be...

Brian Freitas

China: Passive Selling Expected Later This Month

We currently estimate passive selling of around US$1.39bn across 74 stocks listed in China and HK. The potential deletes have underperformed...

Brian Freitas

KRX New Deal Index Rebalance Preview: Potential Changes as Review Period Ends Today

We expect at least 1 change for each of the Secondary Battery, Bio, Internet, Game and BBIG indices. Flows are pretty big on some of the stocks and...

Brian Freitas

KOSPI Size Indices: Outperformance Slows on Momentum Stalls

There could be 41 stocks migrating between size segments in September. The upward migrations have outperformed the downward migrations but the...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)