In today’s briefing:
- EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades
- Last Week in Event SPACE: Oz Minerals, Warrego, JAFCO, Swire Pac’s A&Bs, Korean Mandatory Offers
- Index Rebalance & ETF Flow Recap: SET50, Stock Connect, Kanzhun, Futu, AMFI
- Estimating Fund Size Tracking KOSPI MID Cap Index
EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades
- 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
Last Week in Event SPACE: Oz Minerals, Warrego, JAFCO, Swire Pac’s A&Bs, Korean Mandatory Offers
- For OZ Minerals (OZL AU), look elsewhere unless you are VERY bullish copper. But if you are VERY bullish copper, buy copper options rather than the embedded option in OZL.
- Game on as Warrego Energy (WGO AU) shareholders weigh the pros and cons of Hancock’s all-cash Offer against Strike Energy (STX AU)‘s “superior” scrip proposal.
- Jafco Co Ltd (8595 JP) succumbed to greenmail and tried to boost the price to explain the exit they were going to give Murakami-san. It didn’t work.
Index Rebalance & ETF Flow Recap: SET50, Stock Connect, Kanzhun, Futu, AMFI
- The announcement of the changes to the Stock Exchange of Thailand SET 50 Index was made on 20 December and will be implemented at the close on 30 December.
- There are a lot of review cutoffs for different indices in the coming week with announcements in January and February.
- There were big inflows to Vanguard FTSE Emerging Markets ETF (VWO US) and big outflows from IShares Core MSCI Asia Ex Japan ETF (3010 HK) during the week.
Estimating Fund Size Tracking KOSPI MID Cap Index
- About ₩3T trillion is presumed to flow from NPS to KOSPI MID. Then, ₩0.8T from local publicly raised funds should be sitting in KOSPI MID. Adding these two alone amounts ₩4T.
- Of course, this is ACTIVE. In other words, they do not need to proceed with universe changes due to rebalancing at the same pace as ETFs.
- Nevertheless, we should note that the domestic fund industry does not allow a large gap with BM. Hence, at least ₩4T of funds follow KOSPI MID quite tightly.
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