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-Shutdown or Meltdown?

Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>The official announcement from KRX regarding the KOSPI 200 rebalancing rule change is expected to be released shortly after the end of October.</li>
<li><strong>The rule change will take effect beginning with this year's December rebalancing. An official from KRX has communicated that we can confidently regard this as confirmed. </strong></li>
<li>It is essential to be aware that during this December review, there exists a significant potential for generating substantial price fluctuations within a narrow timeframe.</li>
</ul>


The official announcement from KRX regarding the KOSPI 200 rebalancing rule change is expected to be released shortly after the end of October.
The rule change will take effect beginning with this year's December rebalancing. An official from KRX has communicated that we can confidently regard this as confirmed. 
It is essential to be aware that during this December review, there exists a significant potential for generating substantial price fluctuations within a narrow timeframe.


Information Received Through KRX Officials Regarding Changes in the KOSPI 200 Methodology

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/ecopro-materials" target="_blank" data-smartkarma-citation="entities:36806:1" rel="noopener">EcoPro Materials (ECO123 KS)</a> was founded in 2017 and specializes in manufacturing cathode material precursors, a core material for lithium secondary cells.</li>
<li>
<a href="https://www.smartkarma.com/entities/ecopro-materials" target="_blank" data-smartkarma-citation="entities:36806:1" rel="noopener">EcoPro Materials (ECO123 KS)</a> could raise between US$387m-US$492m, valuing the company between US$1.9bn-US$2.42bn. Float will depend on voluntary lock-ups and allocation to strategic investors.</li>
<li>Inclusion in global indices is likely to take place between February to June, while the highest probability of <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> inclusion is in December 2024.</li>
</ul>



EcoPro Materials (ECO123 KS) was founded in 2017 and specializes in manufacturing cathode material precursors, a core material for lithium secondary cells.

EcoPro Materials (ECO123 KS) could raise between US$387m-US$492m, valuing the company between US$1.9bn-US$2.42bn. Float will depend on voluntary lock-ups and allocation to strategic investors.
Inclusion in global indices is likely to take place between February to June, while the highest probability of Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) inclusion is in December 2024.


Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>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 INDEX</a> closed down last week (CC=-1) and is currently down this week as well (CC=-2 to be confirmed on Friday), currently approaching Q3 support at 324.</li>
<li>Based on Market Reversal Matrix time/price models, if this week the KOSPI closes down at &lt;=324, the index will have a &gt;75% probability to close the next week up.</li>
<li>Going LONG is not without risk at this stage: this pattern is not bullish, the correction could reach &lt;300, based on the models, but the index <em>is</em> getting OVERSOLD.</li>
</ul>


The KOSPI 200 INDEX closed down last week (CC=-1) and is currently down this week as well (CC=-2 to be confirmed on Friday), currently approaching Q3 support at 324.
Based on Market Reversal Matrix time/price models, if this week the KOSPI closes down at &lt;=324, the index will have a &gt;75% probability to close the next week up.
Going LONG is not without risk at this stage: this pattern is not bullish, the correction could reach &lt;300, based on the models, but the index is getting OVERSOLD.


<ul>
<li>The proposal to increase NPS's annual target investment return rate by 1%p by 2028. A rough mathematical estimate suggests the necessity of an additional investment of nearly ₩60T until 2028.</li>
<li>It augments the overall investment volume in local stocks to ₩200T. This projection implies an annual net purchase of approximately ₩12T from the forthcoming year through 2028.</li>
<li>Consequently, this matter is currently among the most captivating topics in the Korean local market, and efforts are underway to identify the sectors and stocks that stand to benefit.</li>
</ul>


The proposal to increase NPS's annual target investment return rate by 1%p by 2028. A rough mathematical estimate suggests the necessity of an additional investment of nearly ₩60T until 2028.
It augments the overall investment volume in local stocks to ₩200T. This projection implies an annual net purchase of approximately ₩12T from the forthcoming year through 2028.
Consequently, this matter is currently among the most captivating topics in the Korean local market, and efforts are underway to identify the sectors and stocks that stand to benefit.


Korea NPS's Funds Influx into Local Stock Market Starting Next Year: What to Know

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-Shutdown or Meltdown?

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

Information Received Through KRX Officials Regarding Changes in the KOSPI 200 Methodology

I had a conversation with KRX officials regarding KOSPI 200 screening rule changes, and this post provides the responses I received from them.

Sanghyun Park

EcoPro Materials: IPO & Index Inclusion

Extremely high multiples used to come up with the IPO price band. Possible inclusion in global indices from Feb to June while the highest...

Brian Freitas

EQD | KOSPI 200 Index Getting OVERSOLD

The KOSPI 200 Index is down 2 weeks and approaching Q3 support. The index is OVERSOLD. If it closes <=324 this week, the probability of closing up...

Nico Rosti

Korea NPS's Funds Influx into Local Stock Market Starting Next Year: What to Know

This post explores one of the most captivating topics in Korea at this point from a market-wide flow perspective: funds influx into the local stock...

Sanghyun Park

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Shutdown or Meltdown?

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

Information Received Through KRX Officials Regarding Changes in the KOSPI 200 Methodology

I had a conversation with KRX officials regarding KOSPI 200 screening rule changes, and this post provides the responses I received from them.

Sanghyun Park

EcoPro Materials: IPO & Index Inclusion

Extremely high multiples used to come up with the IPO price band. Possible inclusion in global indices from Feb to June while the highest...

Brian Freitas

EQD | KOSPI 200 Index Getting OVERSOLD

​The KOSPI 200 Index is down 2 weeks and approaching Q3 support. The index is OVERSOLD. If it closes <=324 this week, the probability of closing up...

Nico Rosti

Korea NPS's Funds Influx into Local Stock Market Starting Next Year: What to Know

This post explores one of the most captivating topics in Korea at this point from a market-wide flow perspective: funds influx into the local stock...

Sanghyun Park

The KOSPI 200 Index is down 2 weeks and approaching Q3 support. The index is OVERSOLD. If it closes <=324 this week, the probability of closing up...