Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

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

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

Zhejiang Century Huatong A / Event-Driven

<ul>
<li>With the review period complete, there could be 50 changes for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a> and 100 changes for the CSI 1000 Index in December.</li>
<li>There are a lot of migrations expected between the two indices and the impacts for those stocks are lower with much of the flow cancelling out.</li>
<li>The forecast adds have drifted lower versus the forecast deletes over the last few months, driven partly by the huge inflows into mainland China ETFs tracking the indices. </li>
</ul>


With the review period complete, there could be 50 changes for the CSI Smallcap 500 Index and 100 changes for the CSI 1000 Index in December.
There are a lot of migrations expected between the two indices and the impacts for those stocks are lower with much of the flow cancelling out.
The forecast adds have drifted lower versus the forecast deletes over the last few months, driven partly by the huge inflows into mainland China ETFs tracking the indices. 


CSI 500/1000 Index Rebalance Preview: Migrations & Outright Changes

Gansu Huangtai Wine Mktg Ind Co., / Event-Driven

<ul>
<li>The review period ended on 31 October, the changes should be announced on 29 November and will be effective after the close of trading on 13 December.</li>
<li>There could be 2 adds for the CSI Liquor Index and 4 adds/ 2 deletes for the CSI Alcoholic Drink Index.</li>
<li>Some stocks could be added to both indices, increasing the flow and impact. Based on the passive assets tracking the indices, the estimated round-trip trade is CNY 3.4bn (US$477m).</li>
</ul>


The review period ended on 31 October, the changes should be announced on 29 November and will be effective after the close of trading on 13 December.
There could be 2 adds for the CSI Liquor Index and 4 adds/ 2 deletes for the CSI Alcoholic Drink Index.
Some stocks could be added to both indices, increasing the flow and impact. Based on the passive assets tracking the indices, the estimated round-trip trade is CNY 3.4bn (US$477m).


CSI Liquor/ Alcoholic Drink Index Rebalance Preview: Getting Tipsy with It

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Equity Bottom-Up

<ul>
<li>Recently released results show a similar trajectory as the first half</li>
<li>Operating Cash flow improved in the quarter but balance sheet deteriorating</li>
<li>The company is in the wrong sector for short-term outperformance</li>
</ul>


Recently released results show a similar trajectory as the first half
Operating Cash flow improved in the quarter but balance sheet deteriorating
The company is in the wrong sector for short-term outperformance


Sinotrans (598.HK)-Unlikely to Perform in the Short to Mid Term.

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)

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

CSI 500/1000 Index Rebalance Preview: Migrations & Outright Changes

We forecast 50 CSI500 and 100 CSI1000 changes. The net passive 1-way trade across both indices is CNY18.1bn (US$2.52bn). The adds have...

Brian Freitas

CSI Liquor/ Alcoholic Drink Index Rebalance Preview: Getting Tipsy with It

There could be 2 adds for the Liquor Index and 4 adds/2 deletes for the Alcoholic Drink Index. Estimated round-trip trade is CNY 3.4bn (US$477m)....

Brian Freitas

Sinotrans (598.HK)-Unlikely to Perform in the Short to Mid Term.

Quarterly results show a similar trajectory as the first half with revenue rising but margins being squeezed. The company is in wrong sector for...

Rikki Malik

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

CSI 500/1000 Index Rebalance Preview: Migrations & Outright Changes

We forecast 50 CSI500 and 100 CSI1000 changes. The net passive 1-way trade across both indices is CNY18.1bn (US$2.52bn). The adds have...

Brian Freitas

CSI Liquor/ Alcoholic Drink Index Rebalance Preview: Getting Tipsy with It

There could be 2 adds for the Liquor Index and 4 adds/2 deletes for the Alcoholic Drink Index. Estimated round-trip trade is CNY 3.4bn (US$477m)....

Brian Freitas

Sinotrans (598.HK)-Unlikely to Perform in the Short to Mid Term.

​Quarterly results show a similar trajectory as the first half with revenue rising but margins being squeezed. The company is in wrong sector for...

Rikki Malik

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.

Quarterly results show a similar trajectory as the first half with revenue rising but margins being squeezed. The company is in wrong sector for...