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-Soft Landing

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>There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.</li>
<li>There are a lot of implementations this week, with <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150</a> on Thursday and then others across a bunch of countries on Friday.</li>
<li>There were big inflows to <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a> during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.</li>
</ul>


There were a lot of rebalance implementations in China on Friday, plus a few upcoming index changes that were announced during the week.
There are a lot of implementations this week, with KOSPI 200 and KOSDAQ 150 on Thursday and then others across a bunch of countries on Friday.
There were big inflows to Tracker Fund of Hong Kong (2800 HK) during the week taking units outstanding to a new high. ETF inflows continue even as the market drops.


Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

<ul>
<li>On 21 November, <a href="https://www.smartkarma.com/entities/washington-h-soul-pattinson-and-co-ltd" target="_blank" data-smartkarma-citation="entities:6054:1" rel="noopener">Washington H. Soul Pattinson and Co. Ltd (SOL AU)</a> submitted a non-binding, indicative offer to acquire <a href="https://www.smartkarma.com/entities/perpetual-ltd" target="_blank" data-smartkarma-citation="entities:599:1" rel="noopener">Perpetual Ltd (PPT AU)</a> at ~A$27/share.</li>
<li>A few hours ago, that offer was rejected by <a href="https://www.smartkarma.com/entities/perpetual-ltd" target="_blank" data-smartkarma-citation="entities:599:1" rel="noopener">Perpetual Ltd (PPT AU)</a>'s Board citing a material undervaluation, conditional on demerger of the Asset Management business and execution risk.</li>
<li>If the deal goes through, there will be small passive buying in <a href="https://www.smartkarma.com/entities/washington-h-soul-pattinson-and-co-ltd" target="_blank" data-smartkarma-citation="entities:6054:1" rel="noopener">Washington H. Soul Pattinson and Co. Ltd (SOL AU)</a>. No major index changes expected. </li>
</ul>


On 21 November, Washington H. Soul Pattinson and Co. Ltd (SOL AU) submitted a non-binding, indicative offer to acquire Perpetual Ltd (PPT AU) at ~A$27/share.
A few hours ago, that offer was rejected by Perpetual Ltd (PPT AU)'s Board citing a material undervaluation, conditional on demerger of the Asset Management business and execution risk.
If the deal goes through, there will be small passive buying in Washington H. Soul Pattinson and Co. Ltd (SOL AU). No major index changes expected. 


WHSP's Non-Binding Indicative Offer for Perpetual Turned Down

<ul>
<li>There are 3 changes for the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> that will be implemented at the close on 15 December. One name is a relative surprise.</li>
<li>There will be 8-15 days of ADV to buy on the inclusions and there will be 12-18 days of ADV to sell on the deletions.</li>
<li>Cumulative excess volume and changes in short interest indicate there will be positioning in most stocks. But it may not yet be enough to cover the passive trade.</li>
</ul>


There are 3 changes for the S&amp;P/ASX 200 (AS51 INDEX) that will be implemented at the close on 15 December. One name is a relative surprise.
There will be 8-15 days of ADV to buy on the inclusions and there will be 12-18 days of ADV to sell on the deletions.
Cumulative excess volume and changes in short interest indicate there will be positioning in most stocks. But it may not yet be enough to cover the passive trade.


S&P/​​​​ASX 200 Index Rebalance (Dec 2023): There Is Positioning but Probably Not Enough

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 December 2023 review results for ASX indices were announced after the close on Friday 1st December 2023.</li>
<li>There will be three ADDs and thee DELs for the ASX 200 index. There are no changes for ASX 20, 50, and 100.</li>
<li>In this insight, we take a look at our index flow expectations, trends in short interest, and the recent trading performance of the names involved in the ASX 200 changes.</li>
</ul>


The December 2023 review results for ASX indices were announced after the close on Friday 1st December 2023.
There will be three ADDs and thee DELs for the ASX 200 index. There are no changes for ASX 20, 50, and 100.
In this insight, we take a look at our index flow expectations, trends in short interest, and the recent trading performance of the names involved in the ASX 200 changes.


Quiddity ASX Dec 23 Index Rebal: Beware of Pre-Positioning

Australia

The S&P/ASX 200 measures the performance of the 200 largest index-eligible stocks listed on the ASX by float-adjusted market capitalization. Representative liquid and tradable, it is widely considered Australia's preeminent benchmark index. The index is float-adjusted. The index was launched in April 2000.

S&P/ASX 200 (AS51 INDEX)

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

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

Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

WHSP's Non-Binding Indicative Offer for Perpetual Turned Down

Soul Patts offered to buy Perpetual for A$27/share. The Perpetual Board has turned that down. Could Regal/BPEA or other suitors return for a second...

Brian Freitas

S&P/ASX 200 Index Rebalance (Dec 2023): There Is Positioning but Probably Not Enough

As expected, 3 changes for the ASX200 in Dec. But one add is a relative 'surprise'. There is a lot to trade from passives. But there is positioning...

Brian Freitas

Quiddity ASX Dec 23 Index Rebal: Beware of Pre-Positioning

The DELs have seen their short interests rise steeply in the last few months. This could imply that there is some pre-positioning. However, the...

Janaghan Jeyakumar, CFA

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

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

Index Rebalance & ETF Flow Recap: NKY, TW Div+, ASX200, NZX50, Mom30, Top10EW, MVW, Rakuten Bank

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

WHSP's Non-Binding Indicative Offer for Perpetual Turned Down

Soul Patts offered to buy Perpetual for A$27/share. The Perpetual Board has turned that down. Could Regal/BPEA or other suitors return for a second...

Brian Freitas

S&P/​​​​ASX 200 Index Rebalance (Dec 2023): There Is Positioning but Probably Not Enough

As expected, 3 changes for the ASX200 in Dec. But one add is a relative 'surprise'. There is a lot to trade from passives. But there is positioning...

Brian Freitas

Quiddity ASX Dec 23 Index Rebal: Beware of Pre-Positioning

The DELs have seen their short interests rise steeply in the last few months. This could imply that there is some pre-positioning. However, the...

Janaghan Jeyakumar, CFA

S&P/ASX 200 Index Rebalance (Dec 2023): There Is Positioning but Probably Not Enough