In today’s briefing:
- EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades
- LQ45 Index Rebalance Preview (Jan): Few Weeks to Implementation
- KOSPI200 Index Rebalance Preview (June): Changes from Now to June
- KOSDAQ150 Index Rebalance Preview (June): Changes Keep Rolling In
- Hong Kong CEO & Director Dealings (1 Jan): APAC Resources, Ausnutria, Pharmaron, Joinn Laboratories
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
LQ45 Index Rebalance Preview (Jan): Few Weeks to Implementation
- The review period for the LQ45 Index ended on 30 December. The changes should be announced in the last week of January, becoming effective after the close on 31 January.
- Potential adds are Bumi Resources Minerals Tbk (BRMS IJ), Surya Esa Perkasa (ESSA IJ), Saratoga Investama Sedaya (SRTG IJ), Adaro Minerals (ADMR IJ) and Mitratel (MTEL IJ).
- Potential deletions are PT Wijaya Karya (Persero) Tbk (WIKA IJ), Erajaya Swasembada (ERAA IJ), Media Nusantara Citra (MNCN IJ), Chandra Asri Petrochemical (TPIA IJ) and HM Sampoerna (HMSP IJ).
KOSPI200 Index Rebalance Preview (June): Changes from Now to June
- A third of the way through the review period, we see three potential changes. There are a few stocks that are close to inclusion and could lead to more changes.
- There should be a couple of index changes prior to the June review due to the merger of Meritz Financial Group, Meritz Securities and Meritz Fire & Marine Insurance.
- Passive trackers need to trade between KRW 5-23bn on the stocks and short interest is quite low on the potential inclusions and exclusions.
KOSDAQ150 Index Rebalance Preview (June): Changes Keep Rolling In
- One third of the way through the review period for the June rebalance, we see 9 potential changes to the KOSDAQ 150 Index (KOSDQ150 INDEX).
- One way turnover is estimated at 3.3% and the impact on the expected deletions is a lot higher than the impact on the expected inclusions.
- The potential adds have massively outperformed the potential deletes over the last year. We’d wait for a reversal before entering a trade here – worth monitoring.
Hong Kong CEO & Director Dealings (1 Jan): APAC Resources, Ausnutria, Pharmaron, Joinn Laboratories
- The data in this insight is collated from the “shareholding disclosure” link on the HKEx website.
- Often there is a corresponding HKEx announcement on the increase – or decrease – in the shareholding by directors. However, such disclosures are by no means an absolute.
- These insights may flag those companies where shares have been pledged. Stocks mentioned include Apac Resources (1104 HK), Ausnutria (1717 HK), Pharmaron Beijing (3759 HK), and Joinn Laboratories (6127 HK).
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