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

KB Financial - NPLs from KRW2.1tr to KRW3.1tr YoY Vs +6% Loans. Substandard Loans: Big Issue

Clepsydra Capital

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

Event-Driven

<ul>
<li>For March KOSPI 200 futures, expect a 0.95% to 1% yield for spot-futures arbitrage, with contango depending on year-end ex-div trends and passive inflows.</li>
<li>Passive inflows into the value-up index in January and spillover effects into K200 futures, potentially fueling year-end contango due to overlap with KOSPI 200.</li>
<li>Prop trader dynamics are cooling off: Tax-driven buying in December, selling in January likely to ease, reducing the past backwardation. Without it, expect higher volatility in K200 futures.</li>
</ul>


For March KOSPI 200 futures, expect a 0.95% to 1% yield for spot-futures arbitrage, with contango depending on year-end ex-div trends and passive inflows.
Passive inflows into the value-up index in January and spillover effects into K200 futures, potentially fueling year-end contango due to overlap with KOSPI 200.
Prop trader dynamics are cooling off: Tax-driven buying in December, selling in January likely to ease, reducing the past backwardation. Without it, expect higher volatility in K200 futures.


Digging into the Year-End Divvy Arbitrage Game in Korea's Market

Samsung KODEX 200 ETF

Digging into the Year-End Divvy Arbitrage Game in Korea's Market