Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
Context: Stat-arb models flag <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 (9988 HK)</a> as overvalued versus the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a>, with the difference between implied volatility and option premium at historically high levels.</li>
<li>
Highlight: An actionable trade setup — long HSI calls vs. short Alibaba calls — that captures relative value and introduces leverage through a ratio structure.</li>
<li>
Why Read: This is a timely opportunity to combine a directional view with favorable volatility dynamics, offering asymmetric payoff potential.</li>
</ul>



Context: Stat-arb models flag Alibaba (9988 HK) as overvalued versus the Hang Seng Index (HSI INDEX), with the difference between implied volatility and option premium at historically high levels.

Highlight: An actionable trade setup — long HSI calls vs. short Alibaba calls — that captures relative value and introduces leverage through a ratio structure.

Why Read: This is a timely opportunity to combine a directional view with favorable volatility dynamics, offering asymmetric payoff potential.


Alibaba (9988 HK) Vs. Hang Seng Index (HSI INDEX): Relative Value Options Play with Leverage

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>Along with its fiscal 2024 results, <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 (9988 HK)</a> announced that they were preparing for their primary listing in Hong Kong and the conversion was expected to complete by August.</li>
<li>If the conversion is completed by the end of August, <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 (9988 HK)</a> could be added to Southbound Stock Connect in September and that could bring in significant flows.</li>
<li>We do not forecast any passive inflows due to the change with <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> capped at 8% of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a> and <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a> indices.</li>
</ul>


Along with its fiscal 2024 results, Alibaba (9988 HK) announced that they were preparing for their primary listing in Hong Kong and the conversion was expected to complete by August.
If the conversion is completed by the end of August, Alibaba (9988 HK) could be added to Southbound Stock Connect in September and that could bring in significant flows.
We do not forecast any passive inflows due to the change with Alibaba Group Holding (9988 HK) capped at 8% of the HSI, HSCEI and HSTECH indices.


Alibaba (9988 HK): Dual Primary Listing & Potential Southbound Flows

Head of Research, IPOs & Placements, Aequitas Research

Sumeet Singh

Head of Research, IPOs & Placements

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.

Equity Bottom-Up

<ul>
<li>Giant Biogene was listed in Hong Kong IPO in 2022. It has done well since and is now trading 45% above its IPO price, but its still cheap.</li>
<li>GB is a leader in the bioactive ingredient-based professional skin treatment product industry in China.</li>
<li>In this note, we will talk about the company’s past performance and future prospects.</li>
</ul>


Giant Biogene was listed in Hong Kong IPO in 2022. It has done well since and is now trading 45% above its IPO price, but its still cheap.
GB is a leader in the bioactive ingredient-based professional skin treatment product industry in China.
In this note, we will talk about the company’s past performance and future prospects.


2024 High Conviction - Giant Biogene - Growth Rate Keeps Moving Higher

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

Shenton Research

Shenton Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Thematic (Sector/Industry)

<ul>
<li>OpenAI, Anthropic and Google released frontier models, while OpenAI cancelled GPT-6.1 Astra after safety tests and the FTC opened a probe into AI-agent safety.</li>
<li>Anthropic's IPO prospectus showed Q2 revenue of USD 11.5bn, OpenAI sought at least USD 30bn at a USD 1.4tn valuation, and Meta launched an enterprise AI platform.</li>
<li>Amazon explored moving USD 8bn of Nvidia chips into a leaseback vehicle, AMD agreed to buy World Labs for USD 8.2bn, and Firmus priced its ASX IPO.</li>
</ul>


OpenAI, Anthropic and Google released frontier models, while OpenAI cancelled GPT-6.1 Astra after safety tests and the FTC opened a probe into AI-agent safety.
Anthropic's IPO prospectus showed Q2 revenue of USD 11.5bn, OpenAI sought at least USD 30bn at a USD 1.4tn valuation, and Meta launched an enterprise AI platform.
Amazon explored moving USD 8bn of Nvidia chips into a leaseback vehicle, AMD agreed to buy World Labs for USD 8.2bn, and Firmus priced its ASX IPO.


This Week in AI (Sep 27-Oct 3): OpenAI Drops Astra for Sol; Sonnet 5.5 Nears Opus at 1/2 the Price

<ul>
<li>
<a href="https://www.smartkarma.com/entities/alibaba-group-holding-limited" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba (9988 HK)</a> dropped 9.4% following its HKD 80bn placement, although the capital raising represents only 3.6% of market capitalisation and will fund AI investment.</li>
<li>One-Month implied volatility stands at 42.3%, in its 67th percentile, creating elevated—but not extreme—premium income opportunities.</li>
<li>September short puts offer premiums ranging from 1.3% to 4.1%, with lower strikes providing greater downside protection and higher strikes offering greater tactical returns.</li>
</ul>



Alibaba (9988 HK) dropped 9.4% following its HKD 80bn placement, although the capital raising represents only 3.6% of market capitalisation and will fund AI investment.
One-Month implied volatility stands at 42.3%, in its 67th percentile, creating elevated—but not extreme—premium income opportunities.
September short puts offer premiums ranging from 1.3% to 4.1%, with lower strikes providing greater downside protection and higher strikes offering greater tactical returns.


Alibaba (9988 HK): 9% Placement Drop Creates Short-Put Setup

China

Alibaba Group Holding Limited is a Chinese multinational technology company specializing in e-commerce, retail, internet, and technology, offering C2C, B2C, and B2B sales services through various marketplaces. It also provides digital media and entertainment, logistics, and cloud computing services. The company was founded in Hangzhou, China, in 1999.

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Alibaba (9988 HK)

Alibaba (9988 HK) Vs. Hang Seng Index (HSI INDEX): Relative Value Options Play with Leverage

Alibaba IV is still about twice HSI IV, keeping the opportunity open for an asymmetrical relative value trade. Traders bearish on the HSI or...

Gaudenz Schneider

Alibaba (9988 HK): Dual Primary Listing & Potential Southbound Flows

Alibaba expect to convert to a Primary Listing on the HKEX by end August. That could mean inclusion in Southbound Stock Connect in September. With...

Brian Freitas

2024 High Conviction - Giant Biogene - Growth Rate Keeps Moving Higher

Giant Biogene was listed in Hong Kong IPO in 2022. It has done well since and is now trading 45% above its IPO price, but its still cheap.

Sumeet Singh

This Week in AI (Sep 27-Oct 3): OpenAI Drops Astra for Sol; Sonnet 5.5 Nears Opus at 1/2 the Price

This week in AI: OpenAI scrapped GPT-6.1 Astra and shipped Sol, Anthropic released Sonnet 5.5 at half Opus's price, and Google launched Gemini 4...

Ke Yan, CFA, FRM

Alibaba (9988 HK): 9% Placement Drop Creates Short-Put Setup

Alibaba’s 9% post-placement drop and elevated implied volatility create a short-put setup spanning conservative downside buffers and more...

Gaudenz Schneider

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