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

Korea Share Class Pair Trade: Assessing 3 Large Cap Prefs Below -1σ

LG Chem Pref Arb Trade: Capitalize on a Disparity Resulting from Index Rebalancing

LG Chem Pref Has Harshly Diverged as the Discount Is at a New 2-Yr High

LG Chem Dividend Situation: 1P/C Trade, Div Play, & Hybrid of Combining Two

Event-Driven

<p>LG Chem 1P is now at a -2.2σ on a 20D MA, the widest since late September.</p><p>The pref discount sits at 52.3%, up 5% (2.5%p) from the 120D mean and 10.6% higher than the 2-yr mean.</p><table class="table table-striped">
<colgroup>
<col width="300">
<col width="300">
</colgroup>
<tbody>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"% of sigma"}'>% of sigma</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Today"}'>Today</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-2.1763718909748957}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">-217.64%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-1"}'>T-1</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.671940190709215}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">-67.19%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-2"}'>T-2</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-1.0667462830571939}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">-106.67%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-3"}'>T-3</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.574155568371956}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">-57.42%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-4"}'>T-4</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.03722405013214451}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">3.72%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"T-5"}'>T-5</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.024132981985171883}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=Data!R[0]C[6]">2.41%</td>
</tr>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table><table class="table table-striped">
<colgroup>
<col width="300">
<col width="300">
</colgroup>
<tbody>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Pref discount"}'>Pref discount</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Today"}'>Today</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5225281602002503}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=RP!R[445]C[5]">52.25%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"120D mean"}'>120D mean</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.49782320844450034}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=average(RP!R396C7:R494C7)">49.78%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"120D median"}'>120D median</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5014577259475219}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MEDIAN(RP!R396C7:R494C7)">50.15%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"120D high"}'>120D high</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5333333333333333}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MAX(RP!R396C7:R494C7)">53.33%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"120D low"}'>120D low</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.4236111111111111}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MIN(RP!R396C7:R494C7)">42.36%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"1Y mean"}'>1Y mean</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.49881580622124455}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=average(RP!R248C7:R494C7)">49.88%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"1Y median"}'>1Y median</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.49949135300101727}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MEDIAN(RP!R248C7:R494C7)">49.95%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"1Y high"}'>1Y high</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5746268656716418}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MAX(RP!R248C7:R494C7)">57.46%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"1Y low"}'>1Y low</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.4236111111111111}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MIN(RP!R248C7:R494C7)">42.36%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"2Y mean"}'>2Y mean</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.47259331641753594}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=average(RP!R2C7:R494C7)">47.26%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"2Y median"}'>2Y median</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.4592696629213483}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MEDIAN(RP!R2C7:R494C7)">45.93%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"2Y high"}'>2Y high</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.5746268656716418}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MAX(RP!R2C7:R494C7)">57.46%</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"2Y low"}'>2Y low</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.4158273381294964}' data-sheets-numberformat='{"1":3,"2":"0.00%","3":1}' data-sheets-formula="=MIN(RP!R2C7:R494C7)">41.58%</td>
</tr>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/173/796/original/chart.png?1606252618" class="editor-image img-responsive" data-smartkarma-image-id="173796"></figure></section>

LG Chem 1P is now at a -2.2σ on a 20D MA, the widest since late September.The pref discount sits at 52.3%, up 5% (2.5%p) from the 120D mean and 10.6% higher than the 2-yr mean.





% of sigma

Today
-217.64%


T-1
-67.19%


T-2
-106.67%


T-3
-57.42%


T-4
3.72%


T-5
2.41%

Source: KRX







Pref discount

Today
52.25%


120D mean
49.78%


120D median
50.15%


120D high
53.33%


120D low
42.36%


1Y mean
49.88%


1Y median
49.95%


1Y high
57.46%


1Y low
42.36%


2Y mean
47.26%


2Y median
45.93%


2Y high
57.46%


2Y low
41.58%

Source: KRX



Tesla Rally Pushed LG Chem 1P Diversion to an Extreme: Trade σ Reversion & 1P Div