In today’s briefing:
- Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Big Shift in Divs Leads to Last Minute Changes
- Quiddity Leaderboard TDIV Dec 24: Final Expectations; US$1.68bn One-Way; +17% Gain from Last Trade
- Unicredit/Banco BPM: Italian Banking Consolidation
- EQD / NSE Vol Update / IVs Finally Respond to Mkt. Forces as Holidays Drop off the Calendar
- EQD | NIFTY 50 (NIFTY INDEX) – Capped Risk Reversal and Other Option Opportunities
- Migalo Holdings (5535 Jp) – Upward Earnings Revision Was Within Expectations
Yuanta/P-Shares Taiwan Div+ ETF Rebalance Preview: Big Shift in Divs Leads to Last Minute Changes
- Using data from the close on 25 November, there could be 6 adds and 5 deletes for the Yuanta/P-Shares Taiwan Dividend Plus ETF in December.
- There will also be capping and funding flows that will lead to a one-way turnover of 17.3% and a one-way trade of TWD 60.6bn (US$1.86bn).
- On average, the forecast adds have started to outperform the forecast deletes. Positioning should continue in stocks that have large flow/impact or have recently joined the list of forecast adds/deletes.
Quiddity Leaderboard TDIV Dec 24: Final Expectations; US$1.68bn One-Way; +17% Gain from Last Trade
- In this insight, we take look at Quiddity’s expectations for index changes and capping flows for the TDIV Index for the December 2024 index rebal event.
- Today is the base date for the final ranks and we see five ADDs and four DELs.
- We estimate one-way flow to be around US$1.68bn with multiple names having 5x ADV or more to trade.
Unicredit/Banco BPM: Italian Banking Consolidation
- UniCredit SpA (UCG IM) launches an all-share takeover bid for 100% of Banco BPM SpA (BAMI IM). The exchange equation is 0.175 UCG IM x 1 BAMI IM.
- The implied value of Banco BPM shares is €6.6658/share, just a 0.3% premium. The transaction offers strong financial appeal, with Banco BPM trading at 0.72x P/BVPS and 11.52% dividend yield.
- The gross spread of +7.4% suggests UniCredit may need to enhance the offer—adjusting the exchange ratio and/or adding cash—unless its share price approaches the IBES median target.
EQD / NSE Vol Update / IVs Finally Respond to Mkt. Forces as Holidays Drop off the Calendar
- IVs trade higher in spite of a late-week recovery in equities. Negative correlation between Index & option premiums reasserted as multiple holidays fall off the calendar.
- Vol-Regime Switching Model firmly lodged in “High & Down” state. Allocation to Iron Condors/ Iron Butterflies recommended.
- Vol surface characteristics also reflecting increased risk premia – Skew extends away from overly compressed levels. Vol term structure swings from Contango to Backwardation.
EQD | NIFTY 50 (NIFTY INDEX) – Capped Risk Reversal and Other Option Opportunities
- The NIFTY Index (NIFTY INDEX) finished last week in positive territory. A longer rally could ensue.
- This Insight provides option strategies based on the resistance and support levels identified in the quantitative Insight EQD | NIFTY 50: State Of The Odds.
- Volatility skew and option liquidity inform three strategies, which include a Capped Risk Reversal, a Risk Reversal, and a Call Spread.
Migalo Holdings (5535 Jp) – Upward Earnings Revision Was Within Expectations
- On November 7, 2024, Migalo Holdings Inc. (hereafter, the Company) announced its Q2 FY2025/3 earnings results.
- In H1, sales increased 23.3% YoY to JPY 30,001 mn, and operating profit fell 15.6% YoY to JPY 1,935 mn.
- Q1 saw a decline in sales and profit due to the impact from last year’s concentration of new property deliveries.
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