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

<ul>
<li>Nearly US$20bn has flowed into mainland China listed ETFs since 18 July and could be driven by the National Team supporting the market.</li>
<li>Most of the inflows have been focused on large cap indices including <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a>, <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext</a> and other sectoral and thematic ETFs.</li>
<li>The largest impact has been on the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> constituents, but that has not stopped the slide in the stocks.</li>
</ul>


Nearly US$20bn has flowed into mainland China listed ETFs since 18 July and could be driven by the National Team supporting the market.
Most of the inflows have been focused on large cap indices including CSI 300, STAR50, CSI 500, SSE50, ChiNext and other sectoral and thematic ETFs.
The largest impact has been on the SSE STAR50 (STAR50 INDEX) constituents, but that has not stopped the slide in the stocks.


China: Huge ETF Inflows & Impact on Stocks

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Luoyang Xinqianglian Slewing B / Event-Driven

<ul>
<li>CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.</li>
<li>During the periodic index rebalance events, a large number of stocks move into or out of these indices giving rise to significant flow events and attractive trading opportunities.</li>
<li>In this insight, we take a brief look at the index selection methodology and the historical price and volume performance of the CSI 300/500 index rebalance baskets.</li>
</ul>


CSI 300 represents the 300 largest stocks by market capitalization and liquidity from the entire universe of Shanghai and Shenzhen Stock Exchanges. CSI 500 represents the next largest 500 names.
During the periodic index rebalance events, a large number of stocks move into or out of these indices giving rise to significant flow events and attractive trading opportunities.
In this insight, we take a brief look at the index selection methodology and the historical price and volume performance of the CSI 300/500 index rebalance baskets.


Quiddity Primer for CSI 300/500 Index Rebalance Events

Founder of Antler Capital

Stanley Tsai, CFA

Macroeconomics

<ul>
<li>In the absence of an outright LPR cut later this month, the latest RRR move's impact on the real economy may be rather modest. </li>
<li>Assuming CNY500bn of MLFs will be withdrawn in the coming months, the net injection this time around is CNY700bn, about 40% of an average month's new loans.</li>
<li>We would watch out for a potential bubble in the onshore credit market before incremental liquidity benefits the broader economy.</li>
</ul>


In the absence of an outright LPR cut later this month, the latest RRR move's impact on the real economy may be rather modest. 
Assuming CNY500bn of MLFs will be withdrawn in the coming months, the net injection this time around is CNY700bn, about 40% of an average month's new loans.
We would watch out for a potential bubble in the onshore credit market before incremental liquidity benefits the broader economy.


China Macro: RRR Cuts' Diminishing Impact

Derivatives and Quantitative Strategist

Gaudenz Schneider

TSE Tokyo Price Index TOPIX / Event-Driven

<ul>
<li>Observing implied volatility across 16 markets plus gold provides a picture of falling implied volatility, despite dispersion in market performance.</li>
<li>Several, but not all, markets display moderation from unusual volatility levels to a more balanced implied volatility structure.</li>
<li>The realignment of implied volatility across markets presents potential relative value opportunities.</li>
</ul>


Observing implied volatility across 16 markets plus gold provides a picture of falling implied volatility, despite dispersion in market performance.
Several, but not all, markets display moderation from unusual volatility levels to a more balanced implied volatility structure.
The realignment of implied volatility across markets presents potential relative value opportunities.


EQD | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

<ul>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> continues to exhibit high volatility. In addition, upside implied volatility trades higher than downside implied volatility.</li>
<li>The unusual structure of the skew supports the implementation of contrarian strategies.</li>
<li>Strategies with a year-end horizon benefit from high liquidity in the listed options market. Several variations of contrarian trades are presented.</li>
</ul>


The Hang Seng Index (HSI INDEX) continues to exhibit high volatility. In addition, upside implied volatility trades higher than downside implied volatility.
The unusual structure of the skew supports the implementation of contrarian strategies.
Strategies with a year-end horizon benefit from high liquidity in the listed options market. Several variations of contrarian trades are presented.


EQD | Hang Seng Index Option Strategy - A Contrarian View on the Skew

China

The CSI 300 Index is a free-float weighted index that consists of 300 A-share stocks listed on the Shanghai or Shenzhen Stock Exchanges. Index has a base level of 1000 on 12/31/2004. * Due to our agreement with CSI, shares in the index is restricted, please visit SSIS<go> for more information and access. This ticker holds prices fed from Shenzhen Stock Exchange.

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

China: Huge ETF Inflows & Impact on Stocks

Nearly US$20bn has flowed into mainland China ETFs and could be driven by National Team supporting the market. There are many stocks where the ETFs...

Brian Freitas

Quiddity Primer for CSI 300/500 Index Rebalance Events

We evaluated the performance of 1205+ unique past Index rebalance cases (ADDs and DELs) involving the CSI 300 index and CSI 500 index from December...

Janaghan Jeyakumar, CFA

China Macro: RRR Cuts' Diminishing Impact

In the absence of an LPR cut, the impact of the latest RRR move may be limited. We estimate that net of MLF maturities, the liquidity boost is...

Stanley Tsai, CFA

EQD | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...

Gaudenz Schneider

EQD | Hang Seng Index Option Strategy - A Contrarian View on the Skew

The Hang Seng Index shows high volatility with upside implied volatility trading higher than downside, supporting contrarian strategies for year-end.

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

China: Huge ETF Inflows & Impact on Stocks

Nearly US$20bn has flowed into mainland China ETFs and could be driven by National Team supporting the market. There are many stocks where the ETFs...

Brian Freitas

Quiddity Primer for CSI 300/500 Index Rebalance Events

We evaluated the performance of 1205+ unique past Index rebalance cases (ADDs and DELs) involving the CSI 300 index and CSI 500 index from December...

Janaghan Jeyakumar, CFA

China Macro: RRR Cuts' Diminishing Impact

In the absence of an LPR cut, the impact of the latest RRR move may be limited. We estimate that net of MLF maturities, the liquidity boost is...

Stanley Tsai, CFA

EQD | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

​Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...

Gaudenz Schneider

EQD | Hang Seng Index Option Strategy - A Contrarian View on the Skew

​The Hang Seng Index shows high volatility with upside implied volatility trading higher than downside, supporting contrarian strategies for year-end.

Gaudenz Schneider

Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...

The Hang Seng Index shows high volatility with upside implied volatility trading higher than downside, supporting contrarian strategies for year-end.