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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899" rel="noopener">Hang Seng Index (HSI INDEX)</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)</a> and <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909" rel="noopener">Nikkei 225 (NKY INDEX)</a> all have elevated implied vols vs their peers and vs historical observations for October.</li>
<li>
<a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617" rel="noopener">NIFTY Index (NIFTY INDEX)</a> , <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a> and <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>  implied vols are on the low end of what is typically realized in October.</li>
<li>Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.</li>
</ul>



Hang Seng Index (HSI INDEX), Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) all have elevated implied vols vs their peers and vs historical observations for October.

NIFTY Index (NIFTY INDEX) , S&amp;P 500 INDEX (SPX INDEX) and S&amp;P/ASX 200 (AS51 INDEX)  implied vols are on the low end of what is typically realized in October.
Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.


EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

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>Nine companies disclosed value-up plans, with four official and five pending disclosures. Initially, these announcements boosted stock prices, but long-term correlations were inconclusive. Yet, shareholder returns notably rose in H1.</li>
<li>NPS increased stakes in three of the nine recently announced value-up companies. They share traits in value-up trading (large caps &amp; low PBR), potentially guiding our strategy as NPS enters.</li>
<li>BlackRock's Hong Kong branch has recently engaged with six Korean asset management firms for potential entrustment of its Asian fund's Korean investment portion, focusing on the value-up policy.</li>
</ul>


Nine companies disclosed value-up plans, with four official and five pending disclosures. Initially, these announcements boosted stock prices, but long-term correlations were inconclusive. Yet, shareholder returns notably rose in H1.
NPS increased stakes in three of the nine recently announced value-up companies. They share traits in value-up trading (large caps &amp; low PBR), potentially guiding our strategy as NPS enters.
BlackRock's Hong Kong branch has recently engaged with six Korean asset management firms for potential entrustment of its Asian fund's Korean investment portion, focusing on the value-up policy.


Recently Observed Market Flow Movements Related to Korea's Value-Up Initiatives

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> started a modest pullback and is entering a BUY area, but it could fall further this coming week, caution is advised.</li>
<li>The support levels to buy are between 383-371, this coming week.</li>
<li>Alternatively buy the Close, if the WEEKLY Close is negative, next Friday.</li>
</ul>


The KOSPI 200 INDEX started a modest pullback and is entering a BUY area, but it could fall further this coming week, caution is advised.
The support levels to buy are between 383-371, this coming week.
Alternatively buy the Close, if the WEEKLY Close is negative, next Friday.


EQD | KOSPI 200 Sell-Off Could Accelerate This Week, But It's A BUY

<ul>
<li>Predicting KOSPI 200 rebalancing is straightforward, focusing on quantitative screening rather than qualitative factors, unlike other indices.</li>
<li>Accurate simulation of KOSPI 200 requires daily data on shares, volume, and prices for six months, typically sourced from KOSCOM due to limitations in free data access.</li>
<li>I plan to share a practical KOSPI 200 simulation file with Smartkarma readers, leveraging freely available data from Google Finance.</li>
</ul>


Predicting KOSPI 200 rebalancing is straightforward, focusing on quantitative screening rather than qualitative factors, unlike other indices.
Accurate simulation of KOSPI 200 requires daily data on shares, volume, and prices for six months, typically sourced from KOSCOM due to limitations in free data access.
I plan to share a practical KOSPI 200 simulation file with Smartkarma readers, leveraging freely available data from Google Finance.


A Practical Guide to Create A Workable Electronic File for KOSPI 200 Rebalancing Simulation

Equity Capital Markets

Korea Stock Exchange KOSPI 200 / Equity Capital Markets

<ul>
<li>The new pre-disclosure rule starting July 24th will reshape business practices. Local institutions are now preparing by launching dedicated block deal funds, targeting 40 to 80 deals annually.</li>
<li>No rule bars short-sellers from block deals post-pre-disclosure. Local institutions are planning to exploit this, anticipating sellers favoring club deals under new July rules, potentially stabilizing prices for hedge strategies.</li>
<li>Access to club deals will be crucial post-July in Korea's block deal market. Effective short-selling instruments are also vital with the ban extended until March next year.</li>
</ul>


The new pre-disclosure rule starting July 24th will reshape business practices. Local institutions are now preparing by launching dedicated block deal funds, targeting 40 to 80 deals annually.
No rule bars short-sellers from block deals post-pre-disclosure. Local institutions are planning to exploit this, anticipating sellers favoring club deals under new July rules, potentially stabilizing prices for hedge strategies.
Access to club deals will be crucial post-July in Korea's block deal market. Effective short-selling instruments are also vital with the ban extended until March next year.


Local Capital Market Movements Targeting July Implementation of Block Deal Pre-Disclosure Rule

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 | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

EQD | KOSPI 200 Sell-Off Could Accelerate This Week, But It's A BUY

The KOSPI 200 Index performed a modest pullback last week, entering the BUY area but caution is advised as further pullback is possible this...

Nico Rosti

A Practical Guide to Create A Workable Electronic File for KOSPI 200 Rebalancing Simulation

This post intends to share with Smartkarma readers a workable electronic file for the KOSPI 200 simulation that uses freely available data.

Sanghyun Park

Local Capital Market Movements Targeting July Implementation of Block Deal Pre-Disclosure Rule

This post explores how Korea's local institutions are preparing for the implementation of the block deal pre-disclosure rule in July.

Sanghyun Park

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

​Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

Recently Observed Market Flow Movements Related to Korea's Value-Up Initiatives

Value-up remains pivotal in the Korean market's second half for market flow. This post investigates the recently observed movements related to the...

Sanghyun Park

EQD | KOSPI 200 Sell-Off Could Accelerate This Week, But It's A BUY

​The KOSPI 200 Index performed a modest pullback last week, entering the BUY area but caution is advised as further pullback is possible this...

Nico Rosti

A Practical Guide to Create A Workable Electronic File for KOSPI 200 Rebalancing Simulation

This post intends to share with Smartkarma readers a workable electronic file for the KOSPI 200 simulation that uses freely available data.

Sanghyun Park

Local Capital Market Movements Targeting July Implementation of Block Deal Pre-Disclosure Rule

This post explores how Korea's local institutions are preparing for the implementation of the block deal pre-disclosure rule in July.

Sanghyun Park

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

The KOSPI 200 Index performed a modest pullback last week, entering the BUY area but caution is advised as further pullback is possible this...