In today’s briefing:
- KRX Value-Up Index Rebalance Results and Estimated Passive Impact
- EQD | Kospi Index Options Weekly – December 09 – 13
KRX Value-Up Index Rebalance Results and Estimated Passive Impact
- KRX updated the Value-Up Index with five new names: KB Financial, Hana Financial, KT Corp, SK Telecom, and Hyundai Mobis, with Mobis replacing JB Financial, surprising the market.
- This is the first rebalancing, packed into one day, so expect notable price action. Reverse moves could also follow Thursday as pre-positioned trades unwind, so monitor price action closely.
- Even after Thursday’s rebalancing, half of the funds, especially from the National Pension Service, will flow into high-yield stocks, likely driving significant price moves through early next year.
EQD | Kospi Index Options Weekly – December 09 – 13
- Risk reward for owning implied vol has shifted to the long side here given spot/vol dynamics and limited vol upside since market peaked 17% higher.
- Strong price action after a soggy start to the week sees a significant portion of open interest cleared out.
- Largest open interest is at the 300 strike with ~ 42k Put contracts outstanding.
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