In today’s briefing:
- HSCEI Dividend Futures: Sell the 2024/25 Steepener
- A/H Premium Tracker (To 3 May 2024): Minimal Moves in 2-Day Week
- EQD / NSE Volatility Update / 29-Apr-24 to 03-May-24
HSCEI Dividend Futures: Sell the 2024/25 Steepener
- The HSCEI 2024 dividend futures have moved higher following mainland China banks announcing that they will pay out interim dividends starting this year.
- The HSCEI 2025 dividend futures have moved higher too, though they have lagged the HSCEI 2024 dividend futures.
- Even though the HSCEI 2024/25 dividend steepener has dropped by around 10 points in the last few weeks, we see further downside in the near-term.
A/H Premium Tracker (To 3 May 2024): Minimal Moves in 2-Day Week
- 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’s consecutive buying streak ended on Monday 25-March, then started again. 20 days straight net buying. NORTHBOUND saw big inflows Friday. A record day I believe.
- HK stocks bounced VERY hard. Seemed like big allocation trade. HSCEI +8.7% vs CSI300 +1.2%. In H/A Pairs, liquid pairs saw Hs outperform their A by 4+% on average.
EQD / NSE Volatility Update / 29-Apr-24 to 03-May-24
- Implied Volatilities (IVs) have stabilized over the past few weeks & look to be in the early stages of an uptrend.
- Breakdown in Spot-Vol correlation – higher IVs at a time when Equity Indices are flirting with All-time-Highs.
- Skew compression in BankNifty Options driven by call-buying on the break above 49000, further exacerbated by pre-election demand for June & July expiries.
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