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

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>The lock-up on nearly 9.4bn shares of <a href="https://www.smartkarma.com/entities/yes-bank-ltd" target="_blank" data-smartkarma-citation="entities:767:1" rel="noopener">Yes Bank (YES IN)</a> expires on 13 March. Most of that is from the banks that helped in the recapitalisation in March 2020.</li>
<li>There will be forced sellers as soon as the lock-up ends, and there will be other sellers that will want to sell.</li>
<li>The forced and discretionary selling will be offset to a very small extent by inflows from passive trackers in May/June as the free float for the stock increases.</li>
</ul>


The lock-up on nearly 9.4bn shares of Yes Bank (YES IN) expires on 13 March. Most of that is from the banks that helped in the recapitalisation in March 2020.
There will be forced sellers as soon as the lock-up ends, and there will be other sellers that will want to sell.
The forced and discretionary selling will be offset to a very small extent by inflows from passive trackers in May/June as the free float for the stock increases.


YES Bank Lock-Up Expiry: Forced Sellers, Overhang & Index Implications

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The March 2023 Rebalance results for the NIFTY broad market Indices were announced after the close on Friday 17th February 2023.</li>
<li>In my previous insights, I highlighted <a href="https://www.smartkarma.com/entities/pidilite-industries-ltd" target="_blank" data-smartkarma-citation="entities:20573:1" rel="noopener">Pidilite Industries (PIDI IN)</a> as a <em>potential</em> ADD for NIFTY 50 but it will not be added in March 2023. There are no changes.</li>
<li>However, for NIFTY 100 (&amp; NIFTY Next 50), 4/5 Expected ADDs and 5/5 Expected DELs were predicted correctly.</li>
</ul>


The March 2023 Rebalance results for the NIFTY broad market Indices were announced after the close on Friday 17th February 2023.
In my previous insights, I highlighted Pidilite Industries (PIDI IN) as a potential ADD for NIFTY 50 but it will not be added in March 2023. There are no changes.
However, for NIFTY 100 (&amp; NIFTY Next 50), 4/5 Expected ADDs and 5/5 Expected DELs were predicted correctly.


NIFTY Mar 23 Rebal: Quiddity Flow Expectations

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)

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades

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

YES Bank Lock-Up Expiry: Forced Sellers, Overhang & Index Implications

Over 9bn shares of YES Bank unlock next week. There will be forced selling from local passive trackers, overhang from the banks that helped recap...

Brian Freitas

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades

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 | Volatility Update: Weekly Review of Vol Changes and Best Trades

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

NIFTY Mar 23 Rebal: Quiddity Flow Expectations

Most of the index changes were flagged very early in the reference period and have been in Quiddity's radar since October 2022.

Janaghan Jeyakumar, CFA