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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/horizon-robotics-inc" target="_blank" data-smartkarma-citation="entities:35637:1" rel="noopener">Horizon Robotics (9660 HK)</a> will be added to Southbound Stock Connect from the start of trading today. Then there will be passive buying at the close on 20 June.</li>
<li>The lock up expiry in April will result in large buying from trackers of the <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index (HSTECH INDEX)</a> and HSIII Index in September.</li>
<li>The stock will also be added to another large global index, though the timing on inclusion is not certain at the moment.</li>
</ul>



Horizon Robotics (9660 HK) will be added to Southbound Stock Connect from the start of trading today. Then there will be passive buying at the close on 20 June.
The lock up expiry in April will result in large buying from trackers of the Hang Seng TECH Index (HSTECH INDEX) and HSIII Index in September.
The stock will also be added to another large global index, though the timing on inclusion is not certain at the moment.


Horizon Robotics (9660 HK): Southbound Stock Connect Inclusion Today & Upcoming Index Flows

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>Over the past five trading days, <a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba Group Holding (9988 HK)</a> multi-leg option strategies showcased a variety of approaches. Strategy highlights are provided.</li>
<li>
Popular Strategies: Over 35% of all strategies are Calendar or Diagonal Spreads. Bullish and bearish views prevail at equal rates, with very few market-neutral views expressed.</li>
<li>
Top Trades: Some market participants were betting on a short term re-bound after the post-earnings drop. Others take a bearish view with finely calibrated medium-term hedges. Trade-examples are presented.</li>
</ul>


Over the past five trading days, Alibaba Group Holding (9988 HK) multi-leg option strategies showcased a variety of approaches. Strategy highlights are provided.

Popular Strategies: Over 35% of all strategies are Calendar or Diagonal Spreads. Bullish and bearish views prevail at equal rates, with very few market-neutral views expressed.

Top Trades: Some market participants were betting on a short term re-bound after the post-earnings drop. Others take a bearish view with finely calibrated medium-term hedges. Trade-examples are presented.


Alibaba (9988 HK): Unpacking the Week's Savvy Top Options Trades

<ul>
<li>
Implied Volatility Trends:<a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba Group Holding's (9988 HK)</a> one-month implied volatility has significantly receded to the 37th percentile after its 15 May earnings, reflecting a substantial implied vola crush.</li>
<li>
Skew and Term Structure Dynamics: The implied volatility term structure is now slightly upward-sloping with longer-dated options commanding a small premium. Skew dynamics indicate cheaper puts.</li>
<li>
Open Interest Distribution: Liquidity is greatest in the June and September expiries. Short term strikes are concentrated near or at the money.</li>
</ul>



Implied Volatility Trends:Alibaba Group Holding's (9988 HK) one-month implied volatility has significantly receded to the 37th percentile after its 15 May earnings, reflecting a substantial implied vola crush.

Skew and Term Structure Dynamics: The implied volatility term structure is now slightly upward-sloping with longer-dated options commanding a small premium. Skew dynamics indicate cheaper puts.

Open Interest Distribution: Liquidity is greatest in the June and September expiries. Short term strikes are concentrated near or at the money.


Alibaba (9988 HK): Navigating Post-Earnings Volatility

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the latest HK SFC report for aggregate short position as of May 16th.</li>
<li>Top short increases and decreases were tabulated for one week and four week period.</li>
<li>We highlight short changes in AIA, Sinopec, Bilibili, Jd, HSBC.</li>
</ul>


We analyzed the latest HK SFC report for aggregate short position as of May 16th.
Top short increases and decreases were tabulated for one week and four week period.
We highlight short changes in AIA, Sinopec, Bilibili, Jd, HSBC.


HK Short Interest Weekly: AIA, Sinopec, Bilibili, Jd, HSBC

<ul>
<li>
Implied Volatility Trends: One-month implied volatility is currently cheap, trading in its 14th percentile, while <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a> approaches its twelve-months high.</li>
<li>
Skew and Term Structure Dynamics: A pronounced skew smile and a relatively flat term structure make spreads and calendar / diagonal spreads attractive strategies.</li>
<li>
Open Interest Distribution: Liquidity can be found in the monthly May expiry and the Quarterly expiries. The historically low implied volatility facilitates longer term positions.</li>
</ul>



Implied Volatility Trends: One-month implied volatility is currently cheap, trading in its 14th percentile, while Tencent (700 HK) approaches its twelve-months high.

Skew and Term Structure Dynamics: A pronounced skew smile and a relatively flat term structure make spreads and calendar / diagonal spreads attractive strategies.

Open Interest Distribution: Liquidity can be found in the monthly May expiry and the Quarterly expiries. The historically low implied volatility facilitates longer term positions.


Tencent (700 HK): Strategies to Navigate Low Volatility and A Flat Term Structure

China

Alibaba Group Holding Limited provides online sales services. The Company provides internet infrastructure, electronic commerce, online financial, and internet content services through its subsidiaries. Alibaba Group Holding offers its products and services worldwide.

Price Gauge
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Alibaba (BABA US)

Horizon Robotics (9660 HK): Southbound Stock Connect Inclusion Today & Upcoming Index Flows

Horizon Robotics will be added to Southbound Stock Connect today. Then comes passive buying in June. Then more in September. There will be more...

Brian Freitas

Alibaba (9988 HK): Unpacking the Week's Savvy Top Options Trades

Alibaba Group Holding's recent multi-leg option strategies show a mix of bullish and bearish approaches, with Calendar and Diagonal Spreads being...

Gaudenz Schneider

Alibaba (9988 HK): Navigating Post-Earnings Volatility

Alibaba's implied volatility drops post-earnings and displays a less smirky smile. Liquidity highest in June and September expiries.

Gaudenz Schneider

HK Short Interest Weekly: AIA, Sinopec, Bilibili, Jd, HSBC

We analyzed the latest HK SFC report for aggregate short position as of May 16th and highlight short interest changes in AIA, Sinopec, Bilibili,...

Ke Yan, CFA, FRM

Tencent (700 HK): Strategies to Navigate Low Volatility and A Flat Term Structure

Tencent is approaching its 12-month high and implied volatility is cheap. The skew smile and flattish term structure make spreads attractive.

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Horizon Robotics (9660 HK): Southbound Stock Connect Inclusion Today & Upcoming Index Flows

Horizon Robotics will be added to Southbound Stock Connect today. Then comes passive buying in June. Then more in September. There will be more...

Brian Freitas

Alibaba (9988 HK): Unpacking the Week's Savvy Top Options Trades

​Alibaba Group Holding's recent multi-leg option strategies show a mix of bullish and bearish approaches, with Calendar and Diagonal Spreads being...

Gaudenz Schneider

Alibaba (9988 HK): Navigating Post-Earnings Volatility

​Alibaba's implied volatility drops post-earnings and displays a less smirky smile. Liquidity highest in June and September expiries.

Gaudenz Schneider

HK Short Interest Weekly: AIA, Sinopec, Bilibili, Jd, HSBC

We analyzed the latest HK SFC report for aggregate short position as of May 16th and highlight short interest changes in AIA, Sinopec, Bilibili,...

Ke Yan, CFA, FRM

Tencent (700 HK): Strategies to Navigate Low Volatility and A Flat Term Structure

Tencent is approaching its 12-month high and implied volatility is cheap. The skew smile and flattish term structure make spreads attractive.

Gaudenz Schneider

Alibaba Group Holding's recent multi-leg option strategies show a mix of bullish and bearish approaches, with Calendar and Diagonal Spreads being...

Alibaba's implied volatility drops post-earnings and displays a less smirky smile. Liquidity highest in June and September expiries.