In today’s briefing:
- TOPIX October 2022 Rebal – Buy/Sell Baskets (May the Flow Be Ever In Your Favour)
- MSCI India November SAIR: Potential Changes with Big Flow & Impact
- Weekly Deals Digest (09 Oct) – Betagro, Link Admin, Tyro, MACA, Eagle Cement, O2Micro, SMG
- SENSEX Index Rebalance Preview: Market Consultation on Derivative Linkage & Impact
- EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades
- Merger Arb Mondays (10 Oct) – Lifestyle, Yashili, Eagle Cement, O2Micro, DTAC/True, Nearmap, PTB
TOPIX October 2022 Rebal – Buy/Sell Baskets (May the Flow Be Ever In Your Favour)
- As a follow-on to TOPIX October 2022 Rebal – BIG Names with BIG Flows which discussed ¥2.1trln a side flows overall, this insight analyses and proposes intra-sector baskets.
- In general, the sector-neutral BUYs vs SELLs baskets of all names where Index Shares change by 10% or more have seen BUYs sharply outperform SELLs in the past three weeks.
- Look for pre-positioning unwinds so trading BUY vs SELL baskets which have bucked the trend, banks and chemicals – might be worthwhile. Otherwise, pick your spots. Use the flow.
MSCI India November SAIR: Potential Changes with Big Flow & Impact
- We see 9 potential adds and 2 potential deletes for the MSCI India Index at the November SAIR. There are a few stocks close to the cutoffs.
- Inclusion in the index will require passive trackers to buy 7-14 days of ADV on the stocks. That increases to 18-55 days of delivery volume.
- There appears to be significant pre-positioning on a lot of the potential adds and the shareholding pattern as of end September should provide a better picture.
Weekly Deals Digest (09 Oct) – Betagro, Link Admin, Tyro, MACA, Eagle Cement, O2Micro, SMG
- A weekly summary of key developments across ECM and Event-Driven names tracked by us across Hong Kong, Australia, New Zealand, Singapore, Indonesia, Malaysia, Thailand, Korea, India and Chinese ADRs.
- ECM developments – CALB (3931 HK)‘s weak debut. Betagro (BTG TB) will open its books for its THB17.4 billion (US$462 million) from 10 to 25 October.
- Event-Driven developments – Link Administration (LNK AU), MACA Ltd (MLD AU), Tyro Payments (TYR AU), Eagle Cement Corp (EAGLE PM), O2Micro International (OIIM US), Singapore Medical (SMG SP).
SENSEX Index Rebalance Preview: Market Consultation on Derivative Linkage & Impact
- AIPL has commenced a market consultation on amending the index universe to only include stocks that are a part of the Futures & Options (F&O) segment of the market.
- This is likely driven by a bunch of Adani-group companies that are at the cusp of index inclusion and are not a part of the F&O market.
- Post implementation of the change, Tata Motors Ltd (TTMT IN) is a likely inclusion to the index in December, though that depends on Dr. Reddy’s Laboratories (DRRD IN) being deleted.
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
Merger Arb Mondays (10 Oct) – Lifestyle, Yashili, Eagle Cement, O2Micro, DTAC/True, Nearmap, PTB
- We summarise the latest spreads and newsflow of merger arb situations covered by us across Hong Kong, Australia, New Zealand, Singapore, Indonesia, Malaysia, Philippines, Thailand and Chinese ADRs.
- Highest spreads – 21Vianet Group (VNET US), Shandong Fengxiang (9977 HK), Alliance Aviation Services (AQZ AU), 111 Inc (YI US), Genex Power Ltd (GNX AU), O2Micro International (OIIM US).
- Lowest spreads – Tyro Payments (TYR AU), OZ Minerals Ltd (OZL AU), Nitro Software Ltd (NTO AU), MACA Ltd (MLD AU), Singapore Medical (SMG SP), Jinke Smart Services (9666 HK).
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