In today’s briefing:
- HK Connect SOUTHBOUND Flows (To 22 Mar 2024); Strong Net Buying on Tencent and ETFs
- Mar24 Nikkei 225 Rebal: Zozo (3092) And Other ADDs Update
- A/H Premium Tracker (To 22 Mar 2024): Liquid AH Premia Still At Wides
- Merger Arb Mondays (25 Mar) – APM, Genex, C&F Logistics, Roland DG, IntelliCentrics, China TCM
- EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24
- Mainland Connect NORTHBOUND Flows (To 22 Mar 2024): NB Turns Net Seller, CATL the Big Buy
HK Connect SOUTHBOUND Flows (To 22 Mar 2024); Strong Net Buying on Tencent and ETFs
- A shares were down small on the week. Larger caps down more. H-shares down more after a hard Friday.
- Net SOUTHBOUND buying was +HK35.8bn after $21.4bn the week before. SOUTHBOUND has net bought every day since the end of Chinese New Year.
- The flavour of SOUTHBOUND buying has been high-div SOEs for months and months. That is starting to change slightly. Tencent was the top net buy this week.
Mar24 Nikkei 225 Rebal: Zozo (3092) And Other ADDs Update
- ZOZO Inc (3092 JP) is +10% since the close after the Nikkei 225 inclusion announcement vs Nikkei225 +2%. Fellow upweight Nitori is up too. Disco and Socionext are up less.
- All three inclusions and one upweight see considerable inclusion demand when compared to active holdings. Some more than others.
- Some trades here are more interesting than others, still. Cumulative excess volumes are one guide. Fundamentals, and flow dynamics are another.
A/H Premium Tracker (To 22 Mar 2024): Liquid AH Premia Still At Wides
- The New/Better A-H Premium Tracker has tables, charts, measures galore to track A/H premium positioning, southbound and northbound positioning/volatility in pairs over time, etc.
- SOUTHBOUND a net buyer every day since the end of Chinese New Year. Still. NORTHBOUND a huge net seller this week, but net buyers in size (RMB +86bn) over 8wks.
- For the first time in a while, AH premia among liquid stocks fell convincingly. Narrow AH premia pairs saw Hs outperform more than wide AH premia Hs (vs As).
Merger Arb Mondays (25 Mar) – APM, Genex, C&F Logistics, Roland DG, IntelliCentrics, China TCM
- We summarise the latest spreads and newsflow of merger arb situations we cover across Hong Kong, Australia, New Zealand, Singapore, Japan, Indonesia, Malaysia, Philippines, Thailand and Chinese ADRs.
- Highest spreads: APM Human Services Internation (APM AU), Chilled & Frozen Logistics Holdings (9099 JP), Qantm Intellectual Property (QIP AU), Genex Power Ltd (GNX AU), Probiotec Ltd (PBP AU).
- Lowest spreads: Roland DG Corp (6789 JP), Tietto Minerals Ltd (TIE AU), CPMC Holdings (906 HK), Pact Group Holdings (PGH AU), Vinda International (3331 HK), Snow Peak Inc (7816 JP).
EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24
- Indian markets to implement T+0 settlement cycle starting 28-March-2024. Phase-wise transition planned .
- Upcoming long weekends causing drastic markdown in IV levels. This combined with “High & Down” vol regime – short gamma/ short vega trades recommended.
- Contango shape of Volatility curves are an additional reason to be short gamma & earning theta
Mainland Connect NORTHBOUND Flows (To 22 Mar 2024): NB Turns Net Seller, CATL the Big Buy
- The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
- Last week saw NORTHBOUND net SELL RMB 7.8bn of A-shares on decent volume after buying RMB 32.8bn the week before. This is a small sell vs 6 weeks of buying.
- The volume now is still chasing momentum. CATL the big buy, and less passive-feeling than last week.
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