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

Samsung 1P Going Strong on Expectations of Special Dividend & New 3-Yr Return Plan

Samsung 1P Ends 3-Day Skid Relative to Ordinary: Situation Check-Up

The Passing of Samsung Lee Kun-Hee: Checking Immediate Issues

How Do We Play Samsung Dividend Arb Trade?

Samsung C/1P Is At -1.4σ & 1P Discount Close to an All-Time Low: Structural Reversion Is Ahead

Event-Driven

<p>Samsung's year-end dividend prospect should be very appealing as a special dividend of ₩1,450 per ordinary share is becoming more likely.</p><p>But how can we hedge for this dividend play?</p><p>Well, I guess the only option would be shorting Samsung's single-stock futures.</p><table class="table table-striped">
<colgroup>
<col width="300">
<col width="600">
</colgroup>
<tbody>
<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Single stock futures"}'>Samsung Electronics single stock futures</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Trade multiple"}'>Trade multiple</td>
<td data-sheets-value='{"1":3,"3":10}'>10</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Contract size"}'>Contract size</td>
<td data-sheets-value='{"1":2,"2":"Futures price × trade multiple (10)"}'>Futures price × trade multiple (10)</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Tick (KOSPI)"}'><div>Tick</div></td>
<td data-sheets-value='{"1":2,"2":"₩100: ₩50,000 ≤ futures price &lt; ₩100,000"}'>₩100: ₩50,000 ≤ futures price &lt; ₩100,000</td>
</tr>
<tr>
<td rowspan="2" data-sheets-value='{"1":2,"2":"Settlement months"}'><div>Settlement months</div></td>
<td rowspan="2" data-sheets-value='{"1":2,"2":"A total of 9 settlement months within 3 years: 2 (March &amp; September), 2 (June), 3 (December), &amp; 2 (remaining months)"}'><div>A total of 9 settlement months within three years: 2 (March &amp; September), 2 (June), 3 (December), &amp; 2 (remaining months)</div></td>
</tr>
<tr></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Last trading day"}'>Last trading day</td>
<td data-sheets-value='{"1":2,"2":"2nd Thursday of each settlement month"}'>2nd Thursday of each settlement month</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"First trading day"}'>First trading day</td>
<td data-sheets-value='{"1":2,"2":"The following day of the last trading day"}'>The following day of the last trading day</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Trading hours - regular trading day"}'>Trading hours - regular trading day</td>
<td data-sheets-value='{"1":2,"2":"09:00~15:45 (single-price trade 08:00~09:00 / 15:35~15:45)"}'>09:00~15:45 (single-price trade 08:00~09:00 / 15:35~15:45)</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Trading hours - last trading day"}'>Trading hours - last trading day</td>
<td data-sheets-value='{"1":2,"2":"09:00~15:20 (single-price trade 08:00~09:00)"}'>09:00~15:20 (single-price trade 08:00~09:00)</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Price ceiling"}'>Price ceiling</td>
<td data-sheets-value='{"1":2,"2":"Reference price ① ±10% ② ±20% ③ ±30% (incremental)"}'>Reference price ① ±10% ② ±20% ③ ±30% (incremental)</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Customer margin (or initial margin)"}'>Customer margin (or initial margin)</td>
<td data-sheets-value='{"1":2,"2":"10~30%"}'>10~30%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Maintenance margin"}'>Maintenance margin</td>
<td data-sheets-value='{"1":2,"2":"5~20%"}'>5~20%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Margin settlement deadline"}'>Margin settlement deadline</td>
<td data-sheets-value='{"1":2,"2":"16:00 on T+1"}'>16:00 on T+1</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Final settlement price"}'>Final settlement price</td>
<td data-sheets-value='{"1":2,"2":"Closing cash price of the last trading day"}'>The closing cash price of the last trading day</td>
</tr>
<tr><td colspan="2" data-sheets-value='{"1":2,"2":"Source: KRX"}'><em>Source: KRX</em></td></tr>
</tbody>
</table>

Samsung's year-end dividend prospect should be very appealing as a special dividend of ₩1,450 per ordinary share is becoming more likely.But how can we hedge for this dividend play?Well, I guess the only option would be shorting Samsung's single-stock futures.





Samsung Electronics single stock futures

Trade multiple
10


Contract size
Futures price × trade multiple (10)


Tick
₩100: ₩50,000 ≤ futures price &lt; ₩100,000


Settlement months
A total of 9 settlement months within three years: 2 (March &amp; September), 2 (June), 3 (December), &amp; 2 (remaining months)



Last trading day
2nd Thursday of each settlement month


First trading day
The following day of the last trading day


Trading hours - regular trading day
09:00~15:45 (single-price trade 08:00~09:00 / 15:35~15:45)


Trading hours - last trading day
09:00~15:20 (single-price trade 08:00~09:00)


Price ceiling
Reference price ① ±10% ② ±20% ③ ±30% (incremental)


Customer margin (or initial margin)
10~30%


Maintenance margin
5~20%


Margin settlement deadline
16:00 on T+1


Final settlement price
The closing cash price of the last trading day

Source: KRX



Samsung Dividend Play, Hedging-Adjusted with Futures