Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

KOSPI200 September Index Rebalance: Krafton, Kakao Bank Fast Entry Confirmed

Kakao Bank - A Major Block Deal Is a Big Negative Overhang

KakaoBank - End of the 1 Month Lock Up Period & More Block Selling Ahead Likely by Major Investors

KOSPI200 Index Rebalance Preview: Two Changes in September; Five in December

Kakao Bank: Allocations, Lock Ups and Index Fast Entry

Kakao Bank: MSCI Inclusion Done, KOSPI200 Will Be Done; Flow Dynamics

Event-Driven

With <a href="https://www.smartkarma.com/entities/kakaobank-corp" target="_blank" data-smartkarma-citation="entities:33501:1" rel="noopener">KakaoBank (323410 KS)</a> and <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a> nearing the end of their first 15 days of trading, they are a certainty to be included in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200-index" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX)</a> at the September rebalance that coincides with the index futures expiry.Post the changes at the June rebalance, we see <a href="https://www.smartkarma.com/entities/lock-lock-co-ltd" target="_blank" data-smartkarma-citation="entities:4739:1" rel="noopener">Lock&amp;Lock (115390 KS)</a> and <a href="https://www.smartkarma.com/entities/jw-pharmaceutical-corp" target="_blank" data-smartkarma-citation="entities:18784:1" rel="noopener">Jw Pharmaceutical (001060 KS)</a> as the lowest ranked constituents and the stocks could be deleted at the September rebalance.We expect the announcement of the changes on 1 September and the implementation at the close of trading on 9 September.The impact from passive trading is not very high on the inclusions while the impact on the potential deletions is a lot higher. There is a bit of short interest on the potential deletions and some of that could be covered in the lead up to index deletion.The dynamics of the index changes are pretty interesting. <a href="https://www.smartkarma.com/entities/kakaobank-corp" target="_blank" data-smartkarma-citation="entities:33501:1" rel="noopener">KakaoBank (323410 KS)</a> and <a href="https://www.smartkarma.com/entities/krafton-inc" target="_blank" data-smartkarma-citation="entities:28956:1" rel="noopener"> Krafton Inc (259960 KS)</a> will be short-sell eligible from 10 September while the deletions will no longer be short-sell eligible. We suggest potential trading strategies to take advantage of these dynamics.

With KakaoBank (323410 KS) and  Krafton Inc (259960 KS) nearing the end of their first 15 days of trading, they are a certainty to be included in the Korea Stock Exchange Kospi 200 Index (KOSPI2 INDEX) at the September rebalance that coincides with the index futures expiry.Post the changes at the June rebalance, we see Lock&amp;Lock (115390 KS) and Jw Pharmaceutical (001060 KS) as the lowest ranked constituents and the stocks could be deleted at the September rebalance.We expect the announcement of the changes on 1 September and the implementation at the close of trading on 9 September.The impact from passive trading is not very high on the inclusions while the impact on the potential deletions is a lot higher. There is a bit of short interest on the potential deletions and some of that could be covered in the lead up to index deletion.The dynamics of the index changes are pretty interesting. KakaoBank (323410 KS) and  Krafton Inc (259960 KS) will be short-sell eligible from 10 September while the deletions will no longer be short-sell eligible. We suggest potential trading strategies to take advantage of these dynamics.

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

KOSPI200 September Rebalance Preview: Double Edged Sword