Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

I investigate special situations, pairs, and index rebalancing trades in Korea.

Korea / Special Sits, Pairs, Index Rebalancing

Timing of Double Dividends Opportunities in Korea

Higher Capital Allocation to Low PBR Companies in KOSDAQ150 + Pair Trade KOSPI200/KOSDAQ150

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<ul>
<li>K200 futures' yearend contango exceeded expectations, triggering a surge in buy arbitrage. The subsequent selling pressure intensified, with strategic shifts observed in January futures/options, contributing to KOSPI's underperformance this year.</li>
<li>Still, significant closure of K200 futures buy arbitrage should come around March, impacting February or March single-stock futures, potentially introducing substantial contango and suggesting lucrative dividend arbitrage in select stocks.</li>
<li>These 40 K200 constituents, with single-stock futures, are vital for our pioneering dividend arbitrage in Korea, directly influenced by buy arbitrage closures using K200 futures from last year.</li>
</ul>


K200 futures' yearend contango exceeded expectations, triggering a surge in buy arbitrage. The subsequent selling pressure intensified, with strategic shifts observed in January futures/options, contributing to KOSPI's underperformance this year.
Still, significant closure of K200 futures buy arbitrage should come around March, impacting February or March single-stock futures, potentially introducing substantial contango and suggesting lucrative dividend arbitrage in select stocks.
These 40 K200 constituents, with single-stock futures, are vital for our pioneering dividend arbitrage in Korea, directly influenced by buy arbitrage closures using K200 futures from last year.


40 Names for Dividend Arbitrage in 1Q, Marking a Pioneering Initiative in Korea

Hyundai Motor

40 Names for Dividend Arbitrage in 1Q, Marking a Pioneering Initiative in Korea