In today’s briefing:
- TIP Taiwan Technology Dividend Highlight Index Rebalance: 12 Changes & US$4bn Round-Trip Trade
- Merger Arb Mondays (01 Jul) – Henlius, China TCM, GA Pack, CPMC, Asia Cement, Great Eastern
- (Mostly) Asia M&A, June 2024: Fancl, Capitol Health, Infocom,Jeisys Medical, Nagatanien, Henlius Bio
- Potential Recurrence of Local Flow Trade Patterns in Hyundai Glovis’s Stock Dividend Event
- EQD / NSE Vol Update / IVs Rise in Conjunction with Equities Counter to Regular Spot-Vol Correlation
TIP Taiwan Technology Dividend Highlight Index Rebalance: 12 Changes & US$4bn Round-Trip Trade
- There are 12 changes for the TIP Taiwan Technology Dividend Highlight Index in June/July. The Fuh Hwa Taiwan Technology Dividend Highlight ETF (00929 TW) has an AUM of US$7.16bn.
- One-Way turnover is estimated at 35% and that will result in a round-trip trade of TWD 134.7bn (US$4.1bn). There are 8 stocks that could have over 5x ADV to trade.
- The ETF started rebalancing their portfolio on Friday and will continue to trade the stock over the next 7 trading days.
Merger Arb Mondays (01 Jul) – Henlius, China TCM, GA Pack, CPMC, Asia Cement, Great Eastern
- 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: Yichang HEC Changjiang Pharma (1558 HK), China Traditional Chinese Medicine (570 HK), Hollysys Automation Technologies (HOLI US), Ansarada Group Ltd (AND AU), Asia Cement China (743 HK).
- Lowest spreads: Fancl Corp (4921 JP), Great Eastern Holdings (GE SP), Tatsuta Electric Wire & Cable (5809 JP), Infocom Corp (4348 JP), Kfc Holdings Japan (9873 JP).
(Mostly) Asia M&A, June 2024: Fancl, Capitol Health, Infocom,Jeisys Medical, Nagatanien, Henlius Bio
- For the month of June 2024, 8 new transactions (firm and non-binding) were discussed on Smartkarma with an overall announced deal size of ~US$6bn.
- The average premium for the new transactions announced (or first discussed) in June was ~52%. The average premium YTD is ~47%.
- This compares to the average premium for transactions in 2023 (117 transactions), 2022 (106), 2021 (165), 2020 (158), and 2019 (145 ) of 39%, 41%, 33%, 31%, and 31% respectively.
Potential Recurrence of Local Flow Trade Patterns in Hyundai Glovis’s Stock Dividend Event
- Finding a trading entry point during a stock dividend event is tough, but locally, stock prices often rise post-ex-rights date and stabilize after listing, over 70% of the time.
- There’s speculation that local flow trading, mainly driven by local prop traders, might target this pattern in Glovis’s stock dividend as well.
- While I wouldn’t recommend banking on this probabilistic trading setup, it’s important to be aware that this could significantly impact stock movements from the ex-rights date to the listing date.
EQD / NSE Vol Update / IVs Rise in Conjunction with Equities Counter to Regular Spot-Vol Correlation
- Implied Volatilities (IVs) continued to rise as the underlying index tried to break above critical resistance – marking a break-down of usual spot-vol correlations.
- Vol surface smile & skew characteristics held steady at the 25-Delta point of curve, while dynamics at the 10-Delta zone extended further.
- Nifty50 Back-end Term Structure is in Backwardation as Monthly options enjoy markups based on July-end Indian Budget release.
💡 Before it’s here, it’s on Smartkarma
Sign Up for Free
The Smartkarma Preview Pass is your entry to the Independent Investment Research Network
- ✓ Unlimited Research Summaries
- ✓ Personalised Alerts
- ✓ Custom Watchlists
- ✓ Company Data and News
- ✓ Events & Webinars
