Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>In this insight, we take a look at the names leading the race to become ADDs/DELs for the BSE SENSEX, 100, 200, and 500 Indices in the December 2022 Rebalance.</li>
<li>Based on the latest data, I expect one ADD/DEL for SENSEX, one ADD/DEL for BSE 100, and 3 ADDs/DELs for BSE 200. </li>
<li>The potential ADDs/DELs for SENSEX could see index flows of US$100mn or more but the other index changes are both small in size and volume impact (days-to-trade).</li>
</ul>


In this insight, we take a look at the names leading the race to become ADDs/DELs for the BSE SENSEX, 100, 200, and 500 Indices in the December 2022 Rebalance.
Based on the latest data, I expect one ADD/DEL for SENSEX, one ADD/DEL for BSE 100, and 3 ADDs/DELs for BSE 200. 
The potential ADDs/DELs for SENSEX could see index flows of US$100mn or more but the other index changes are both small in size and volume impact (days-to-trade).


S&P BSE Quiddity Leaderboard Dec 2022: Multiple Adani Names with F&O Question Marks

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 news report has indicated that SEBI is looking to tighten criteria used for inclusion and continued availability of stocks in the Futures &amp; Options (F&amp;O) segment of the market.</li>
<li>Our analysis shows 30 stocks could be deleted from the F&amp;O segment while another 12 are close to deletion zone. If applied objectively, 22 stocks could be added to F&amp;O.</li>
<li>Deletion from the F&amp;O segment could see two stocks dropped from the <a href="https://www.smartkarma.com/entities/nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50 Index</a> while inclusion in F&amp;O could see two stocks added to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a>.</li>
</ul>


A news report has indicated that SEBI is looking to tighten criteria used for inclusion and continued availability of stocks in the Futures &amp; Options (F&amp;O) segment of the market.
Our analysis shows 30 stocks could be deleted from the F&amp;O segment while another 12 are close to deletion zone. If applied objectively, 22 stocks could be added to F&amp;O.
Deletion from the F&amp;O segment could see two stocks dropped from the Nifty Next 50 Index while inclusion in F&amp;O could see two stocks added to the NIFTY Index.


Impact of Potential Changes to India F&O Eligibility Criteria

<ul>
<li>The six-month reference period for NIFTY September 2022 Rebalance ends tomorrow.</li>
<li>In this insight, we take a look at the names that could become ADDs/DELs for the NIFTY 50, 100, and 500 Indices in the September 2022 Rebalance.</li>
<li>In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.</li>
</ul>


The six-month reference period for NIFTY September 2022 Rebalance ends tomorrow.
In this insight, we take a look at the names that could become ADDs/DELs for the NIFTY 50, 100, and 500 Indices in the September 2022 Rebalance.
In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.


NIFTY Quiddity Leaderboard Sep 2022: Adani Total Gas Could Be a Positive Surprise

<ul>
<li>In this insight, we take a look at the names leading the race to become ADDs/DELs for the <em>NIFTY 50, 100, and 500</em> Indices for the <em>September 2022</em> Rebalance.</li>
<li>With only one month left in the reference period, most changes for the NIFTY 50 and NIFTY 100 Index seem to be high-conviction index changes.</li>
<li>In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.</li>
</ul>


In this insight, we take a look at the names leading the race to become ADDs/DELs for the NIFTY 50, 100, and 500 Indices for the September 2022 Rebalance.
With only one month left in the reference period, most changes for the NIFTY 50 and NIFTY 100 Index seem to be high-conviction index changes.
In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.


NIFTY Quiddity Leaderboard Sep 2022: June Trades Successful; More to Come

<ul>
<li>Nearing the end of the review period, we see 5 stocks moving from MidCap to LargeCap, 2 new listings added to LargeCap and 7 stocks moving from LargeCap to MidCap.</li>
<li>We see 7 stocks moving from SmallCap to MidCap, 3 new listings added to MidCap, and 12 stocks moving from MidCap to SmallCap.</li>
<li>Stock migrating upward have, on average, outperformed stocks that are downward migrations. Stocks moving from MidCap to LargeCap have performed the best.</li>
</ul>


Nearing the end of the review period, we see 5 stocks moving from MidCap to LargeCap, 2 new listings added to LargeCap and 7 stocks moving from LargeCap to MidCap.
We see 7 stocks moving from SmallCap to MidCap, 3 new listings added to MidCap, and 12 stocks moving from MidCap to SmallCap.
Stock migrating upward have, on average, outperformed stocks that are downward migrations. Stocks moving from MidCap to LargeCap have performed the best.


India: AMFI Stock Reclassification Preview

India

Adani Power Ltd is a power project development company. The Company develops, operates and maintains power projects in India.

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Adani Power (ADANI IN)

S&P BSE Quiddity Leaderboard Dec 2022: Multiple Adani Names with F&O Question Marks

Multiple ADANI names could be involved in index changes. However, there are several question marks due to lack of derivative market linkage for...

Janaghan Jeyakumar, CFA

Impact of Potential Changes to India F&O Eligibility Criteria

News reports indicate that SEBI is looking to tighten criteria for inclusion and continued availability of stocks in the F&O segment. 30 stocks...

Brian Freitas

NIFTY Quiddity Leaderboard Sep 2022: Adani Total Gas Could Be a Positive Surprise

I expect at least one change for NIFTY 50 and I expect 5 and 25 ADDs/DELs for NIFTY 100 and NIFTY 500 respectively. Adani Total Gas (ATGL IN) could...

Janaghan Jeyakumar, CFA

NIFTY Quiddity Leaderboard Sep 2022: June Trades Successful; More to Come

NIFTY 50 could see one or two changes. NIFTY 100 and NIFTY 500 could see 5 and 25 changes respectively. There might be some interesting trades to...

Janaghan Jeyakumar, CFA

India: AMFI Stock Reclassification Preview

With 9 trading days to go in the review period, we see 5 stocks moving from Mid to Large and 7 stocks moving the other way. 2 new listings will be...

Brian Freitas

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