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

Event-Driven

Power Grid Corporation Of India / Event-Driven

<ul>
<li>The rebalance of the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank</a>, <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF (CPSEBE IN)</a> and a bunch of other indices will be implemented at the close of trading today.</li>
<li>Depending on the index, there are constituent changes, changes to the number of shares and free float, plus capping changes. Put together, there is a lot of flow and impact.</li>
<li>The round-trip trade will be in excess of US$1bn. Add in the futures &amp; options expiry and volumes will be extremely high in the last 30 minutes of trading.</li>
</ul>


The rebalance of the NIFTY, Nifty Next 50, NSE Nifty Bank, CPSE ETF (CPSEBE IN) and a bunch of other indices will be implemented at the close of trading today.
Depending on the index, there are constituent changes, changes to the number of shares and free float, plus capping changes. Put together, there is a lot of flow and impact.
The round-trip trade will be in excess of US$1bn. Add in the futures &amp; options expiry and volumes will be extremely high in the last 30 minutes of trading.


NIFTY Family Index Rebalance: Flows at the Close Today + F&O Expiry

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> closed up 3 weeks in a row, then fell on Monday, but current pattern looks bullish according to MRM models, we expect a modest correction (if any).</li>
<li>Usually (69% of the times) this pattern brings a pullback that does not last for more than 1 week, then the following week the index closes up.</li>
<li>Broadly speaking buy-the-dips support for this week is found between 20050 and 19900. If the correction becomes multi-week, it can go much lower, we will re-assess in that case. </li>
</ul>


The NIFTY Index closed up 3 weeks in a row, then fell on Monday, but current pattern looks bullish according to MRM models, we expect a modest correction (if any).
Usually (69% of the times) this pattern brings a pullback that does not last for more than 1 week, then the following week the index closes up.
Broadly speaking buy-the-dips support for this week is found between 20050 and 19900. If the correction becomes multi-week, it can go much lower, we will re-assess in that case. 


EQD | NIFTY Index New WEEKLY Supports Analysis for LONG Trades

<ul>
<li>
<a href="https://www.smartkarma.com/entities/tata-motors-ltd-a-dvr" target="_blank" data-smartkarma-citation="entities:349:1" rel="noopener">Tata Motors DVR (TTMT/A IN)</a> now trades at a 32.9% discount to <a href="https://www.smartkarma.com/entities/tata-motors-ltd" target="_blank" data-smartkarma-citation="entities:216:1" rel="noopener">Tata Motors Ltd (TTMT IN)</a> and there is another 4.4% in the trade following the scheme of arrangement.</li>
<li>
<a href="https://www.smartkarma.com/entities/tata-motors-ltd-a-dvr" target="_blank" data-smartkarma-citation="entities:349:1" rel="noopener">Tata Motors DVR (TTMT/A IN)</a> could be added to global indices in November and that will bring significant inflows to the stock.</li>
<li>The pre-positioning and passive buying could lead to the DVR discount narrowing further and provide trading opportunities for the next few weeks.</li>
</ul>



Tata Motors DVR (TTMT/A IN) now trades at a 32.9% discount to Tata Motors Ltd (TTMT IN) and there is another 4.4% in the trade following the scheme of arrangement.

Tata Motors DVR (TTMT/A IN) could be added to global indices in November and that will bring significant inflows to the stock.
The pre-positioning and passive buying could lead to the DVR discount narrowing further and provide trading opportunities for the next few weeks.


Tata Motors (TTMT/A IN) - Index Inclusion & The DVR Arb

Senior Equity Derivatives Trader

Simon Harris

<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-Central Banks Decide

<ul>
<li>After a -5 weeks correction in August, the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> has restarted its Bull run, ongoing from mid-March 2020. Let's have a look to where MRM WEEKLY resistance levels are.</li>
<li>The current pattern is BULLISH, the index could rise easily another 2-3 weeks from here.</li>
<li>Target prices for a reversal (or pullback within the uptrend) are between 19846 -20294</li>
</ul>


After a -5 weeks correction in August, the NIFTY Index has restarted its Bull run, ongoing from mid-March 2020. Let's have a look to where MRM WEEKLY resistance levels are.
The current pattern is BULLISH, the index could rise easily another 2-3 weeks from here.
Target prices for a reversal (or pullback within the uptrend) are between 19846 -20294


EQD | NIFTY Index WEEKLY Resistance Analysis

India

The NIFTY 50 index is National Stock Exchange of India's benchmark stock market index for Indian equity market. Nifty is owned and managed by India Index Services and Products (IISL), which is a wholly owned subsidiary of the NSE Strategic Investment Corporation Limited.

NIFTY Index (NIFTY INDEX)

NIFTY Family Index Rebalance: Flows at the Close Today + F&O Expiry

The rebalance of the NIFTY family of indices will be implemented at the close today. The round-trip trade is around US$1bn and volumes at the close...

Brian Freitas

EQD | NIFTY Index New WEEKLY Supports Analysis for LONG Trades

The NIFTY Index fell on Monday, after 3 weeks up, but MRM models indicates the current pattern is bullish: expect a modest, 1-week correction (if...

Nico Rosti

Tata Motors (TTMT/A IN) - Index Inclusion & The DVR Arb

The Tata Motors DVR trades at a 32.9% discount to the common shares and at a 4.4% discount to the scheme terms. The DVR's inclusion in global...

Brian Freitas

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Central Banks Decide

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 | NIFTY Index WEEKLY Resistance Analysis

The NIFTY50 Index has resumed its bullish trend after the August correction, with potential for further rallying in the coming 2-3 weeks. MRM...

Nico Rosti

NIFTY Family Index Rebalance: Flows at the Close Today + F&O Expiry

The rebalance of the NIFTY family of indices will be implemented at the close today. The round-trip trade is around US$1bn and volumes at the close...

Brian Freitas

EQD | NIFTY Index New WEEKLY Supports Analysis for LONG Trades

​The NIFTY Index fell on Monday, after 3 weeks up, but MRM models indicates the current pattern is bullish: expect a modest, 1-week correction (if...

Nico Rosti

Tata Motors (TTMT/A IN) - Index Inclusion & The DVR Arb

The Tata Motors DVR trades at a 32.9% discount to the common shares and at a 4.4% discount to the scheme terms. The DVR's inclusion in global...

Brian Freitas

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades-Central Banks Decide

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 | NIFTY Index WEEKLY Resistance Analysis

​The NIFTY50 Index has resumed its bullish trend after the August correction, with potential for further rallying in the coming 2-3 weeks. MRM...

Nico Rosti

The NIFTY Index fell on Monday, after 3 weeks up, but MRM models indicates the current pattern is bullish: expect a modest, 1-week correction (if...

The NIFTY50 Index has resumed its bullish trend after the August correction, with potential for further rallying in the coming 2-3 weeks. MRM...