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.

Event-Driven

<ul>
<li>Ssangyong C&amp;E will be excluded in June pre-delisting due to the float rate rule. Replacement will be chosen from the highest market cap existing constituents excluded in the June review.</li>
<li>Likely owing to the recent expansion of macro variables in the local market, a clear correlation between results and price impact is not observed even at the screening period's conclusion.</li>
<li>There's a chance of price impact closer to the effective date, suggesting potentially more effective basket trading. However, short instrument absence necessitates using market indices as hedges.</li>
</ul>


Ssangyong C&amp;E will be excluded in June pre-delisting due to the float rate rule. Replacement will be chosen from the highest market cap existing constituents excluded in the June review.
Likely owing to the recent expansion of macro variables in the local market, a clear correlation between results and price impact is not observed even at the screening period's conclusion.
There's a chance of price impact closer to the effective date, suggesting potentially more effective basket trading. However, short instrument absence necessitates using market indices as hedges.


Addressing Areas of Confusion Surrounding the KOSPI 200 June Rebalancing

<ul>
<li>For March KOSPI 200 futures, expect a 0.95% to 1% yield for spot-futures arbitrage, with contango depending on year-end ex-div trends and passive inflows.</li>
<li>Passive inflows into the value-up index in January and spillover effects into K200 futures, potentially fueling year-end contango due to overlap with KOSPI 200.</li>
<li>Prop trader dynamics are cooling off: Tax-driven buying in December, selling in January likely to ease, reducing the past backwardation. Without it, expect higher volatility in K200 futures.</li>
</ul>


For March KOSPI 200 futures, expect a 0.95% to 1% yield for spot-futures arbitrage, with contango depending on year-end ex-div trends and passive inflows.
Passive inflows into the value-up index in January and spillover effects into K200 futures, potentially fueling year-end contango due to overlap with KOSPI 200.
Prop trader dynamics are cooling off: Tax-driven buying in December, selling in January likely to ease, reducing the past backwardation. Without it, expect higher volatility in K200 futures.


Digging into the Year-End Divvy Arbitrage Game in Korea's Market

Head of Research and Global Chief Strategist, Steno Research

Andreas Steno

Head of Research and Global Chief Strategist

Macro and Geopolitical Research House

Steno Research

Steno Research is a new macro and geopolitical research house. We are based out of Copenhagen, Denmark, but have an international team and a strong network of sources and partners around the world. The team is lead by Andreas Steno, previous global head of strategy at Nordea Bank, and Mikkel Rosenvold, former chief consultant in the Danish Ministry of Finance.

Cross Asset Strategy

<ul><li>The cyclical rotation is slowly but slowly rolling and if central banks add rate cuts to this mix, we are staring directly into the melt up.</li><li>Welcome to our weekly Portfolio Watch, where we assess the tradeable themes and discuss our portfolio composition.</li><li>In this revamped version of the series, we will touch upon the developments in our Macro Alpha Portfolio and our Digital Assets Portfolio.</li></ul>

The cyclical rotation is slowly but slowly rolling and if central banks add rate cuts to this mix, we are staring directly into the melt up.Welcome to our weekly Portfolio Watch, where we assess the tradeable themes and discuss our portfolio composition.In this revamped version of the series, we will touch upon the developments in our Macro Alpha Portfolio and our Digital Assets Portfolio.

Portfolio Watch: What if We Add a Rate Cut to This Fire..

<ul>
<li>It would be prudent to anticipate that a considerable portion of these 636 companies will indeed adjust their dividend record dates, effective from this year's year-end dividends.</li>
<li>One notable setup gaining attention is calendar spread trading for the KOSPI 200 futures in anticipation of an upward trend in the KOSPI 200 futures market towards the year's end.</li>
<li>This entails buying the near-month and selling the far-month, liquidating when the price difference reverts. Traders pay attention to potential far-month divergence due to the shift in dividend record dates.</li>
</ul>


It would be prudent to anticipate that a considerable portion of these 636 companies will indeed adjust their dividend record dates, effective from this year's year-end dividends.
One notable setup gaining attention is calendar spread trading for the KOSPI 200 futures in anticipation of an upward trend in the KOSPI 200 futures market towards the year's end.
This entails buying the near-month and selling the far-month, liquidating when the price difference reverts. Traders pay attention to potential far-month divergence due to the shift in dividend record dates.


KOSPI 200 Futures Calendar Spread Trading: Latest on Year-End Dividend Record Date Changes

<ul>
<li>The pivotal question now is the number of these companies that will effectively defer their year-end ex-dividend date to April next year.</li>
<li>The most reliable way to accurately confirm this would be to check how many of them will publicly announce the dividend reference date two weeks before the December year-end deadline.</li>
<li>This will serve as the most critical indicator in determining whether this year's year-end flow trading event, the most significant in Korea, will recur.</li>
</ul>


The pivotal question now is the number of these companies that will effectively defer their year-end ex-dividend date to April next year.
The most reliable way to accurately confirm this would be to check how many of them will publicly announce the dividend reference date two weeks before the December year-end deadline.
This will serve as the most critical indicator in determining whether this year's year-end flow trading event, the most significant in Korea, will recur.


Key Points to Consider at This Stage Regarding the Year-End Ex-Dividend Play

Mini Kospi 200 Futures (KMS1 INDEX)

Addressing Areas of Confusion Surrounding the KOSPI 200 June Rebalancing

This post aims to provide clarity on several aspects of confusion surrounding the KOSPI 200 regular rebalancing in June.

Sanghyun Park

Digging into the Year-End Divvy Arbitrage Game in Korea's Market

This post delves into the year-end dividend arbitrage landscape in the Korean stock market, shedding light on the shifting dynamics that are...

Sanghyun Park

Portfolio Watch: What if We Add a Rate Cut to This Fire..

The cyclical rotation is slowly but slowly rolling and if central banks add rate cuts to this mix, we are staring directly into the melt...

Steno Research

KOSPI 200 Futures Calendar Spread Trading: Latest on Year-End Dividend Record Date Changes

This post explores the potential for calendar spread trading on KOSPI 200 Futures, providing the latest updates on changes to year-end dividend...

Sanghyun Park

Key Points to Consider at This Stage Regarding the Year-End Ex-Dividend Play

This post discusses key points we should know at this point concerning the year-end ex-dividend play, a recurring phenomenon over the past decade.

Sanghyun Park