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>Companies in India have disclosed their shareholding pattern as of end-December in January. There are companies with significant float changes from end-September and/or end-June.</li>
<li>The changes in free float could be reflected in domestic and global indices over the next few weeks and months resulting in action from passive trackers.</li>
<li>Depending on the date that the shareholding was published, there could be 13 stocks with passive inflows from global trackers while 4 could see passive outflows in February.</li>
</ul>


Companies in India have disclosed their shareholding pattern as of end-December in January. There are companies with significant float changes from end-September and/or end-June.
The changes in free float could be reflected in domestic and global indices over the next few weeks and months resulting in action from passive trackers.
Depending on the date that the shareholding was published, there could be 13 stocks with passive inflows from global trackers while 4 could see passive outflows in February.


India: Potential Free Float Changes & Passive Flows in February

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

NSE Nifty Bank Index / Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index</a> implied volatility could be seen as rich when compared to its own history and in comparison to realized volatility.</li>
<li>Putting implied volatility into context with the <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index</a> 200 day moving average will lead to a different conclusion. Selling volatility might not be the opportunity it seems.</li>
<li>This Insight provides a quantitative indication at which level implied volatility can be assessed as rich.</li>
</ul>



NSE Nifty Bank Index implied volatility could be seen as rich when compared to its own history and in comparison to realized volatility.
Putting implied volatility into context with the NSE Nifty Bank Index 200 day moving average will lead to a different conclusion. Selling volatility might not be the opportunity it seems.
This Insight provides a quantitative indication at which level implied volatility can be assessed as rich.


EQD | NSE Nifty Bank Index - Implied Volatility Not (Yet) Rich Enough.

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> implied volatility could be seen as rich when compared to its own history and in comparison to realized volatility.</li>
<li>Putting implied volatility into context with <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> market levels and trends will lead to a different conclusion. Implied volatility is not nearly as rich as conventional measures suggest.</li>
<li>This Insight provides a quantitative indication at which price implied volatility can be assessed as rich, given current relative index levels.</li>
</ul>



NIFTY Index implied volatility could be seen as rich when compared to its own history and in comparison to realized volatility.
Putting implied volatility into context with NIFTY Index market levels and trends will lead to a different conclusion. Implied volatility is not nearly as rich as conventional measures suggest.
This Insight provides a quantitative indication at which price implied volatility can be assessed as rich, given current relative index levels.


EQD | Nifty 50 Option Strategy - Implied Volatility Is Not as Rich as It Seems

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 Capital Markets

HDB Financial Services Ltd / Equity Capital Markets

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hdb-financial-services-ltd" target="_blank" data-smartkarma-citation="entities:44072:1" rel="noopener">HDB Financial Services</a> is looking to raise around US$1.5bn in its upcoming India IPO.</li>
<li>HDBFS is a leading retail-focused non-banking financial company (NBFC) in India, in terms of total gross loan book size, according to the CRISIL Report.</li>
<li>In this note, we talk about the not-so-positive aspects of the deal.</li>
</ul>



HDB Financial Services is looking to raise around US$1.5bn in its upcoming India IPO.
HDBFS is a leading retail-focused non-banking financial company (NBFC) in India, in terms of total gross loan book size, according to the CRISIL Report.
In this note, we talk about the not-so-positive aspects of the deal.


HDB Financial Services Pre-IPO - The Negatives - Performance Has Been Slipping

Head of Trading/ Partner, AceGama Advisors

Sankalp Singh

Head of Trading/ Partner

Proprietary Trading Desk

AceGama Advisors

Trading desk specializing in the Listed & OTC options strategies for risk management & investment purposes.

<ul>
<li>India Budget on 01.02.2025 driving price-action in the Options Market. Monthly IVs marked up at 17.0% as contracts cover event-risk. Vol Regime Model pushed into "High &amp; Up" state.</li>
<li>Vol term-structure bent into kinked-shape due to India Budget date. Skew characteristics are elevated while Smile largely unchanged with the exception of Monthly 10-Delta Strangles.</li>
<li>Trading Strategy Implications: (1) Switch to "High &amp; Up" vol-state triggers a cutback in Short Gamma &amp; Short Vega exposure. (2) Vol-barbell opportunity due to the kinked-shape of the Vol-curve. </li>
</ul>


India Budget on 01.02.2025 driving price-action in the Options Market. Monthly IVs marked up at 17.0% as contracts cover event-risk. Vol Regime Model pushed into "High &amp; Up" state.
Vol term-structure bent into kinked-shape due to India Budget date. Skew characteristics are elevated while Smile largely unchanged with the exception of Monthly 10-Delta Strangles.
Trading Strategy Implications: (1) Switch to "High &amp; Up" vol-state triggers a cutback in Short Gamma &amp; Short Vega exposure. (2) Vol-barbell opportunity due to the kinked-shape of the Vol-curve. 


EQD / NSE NIFTY50 Vol Update / India Budget Event Is Driving Price-Action in the Options Market

India

Axis Bank Limited provides a full range of banking services throughout India. The Group's activities include retail banking, investment management, merchant banking, treasury and NRI services, cash and credit management services, and ATM facilities.

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Axis Bank Ltd (AXSB IN)

India: Potential Free Float Changes & Passive Flows in February

Changes to shareholding patterns could lead to changes in float for some stocks in local/global indices. Passive trackers will need to trade over 5...

Brian Freitas

EQD | NSE Nifty Bank Index - Implied Volatility Not (Yet) Rich Enough.

Implied volatility for the NSE Nifty Bank Index may seem high historically, but seen in context with the index's 200 day moving average suggests...

Gaudenz Schneider

EQD | Nifty 50 Option Strategy - Implied Volatility Is Not as Rich as It Seems

Implied volatility of the Nifty 50 Index may seem rich historically, but when compared to market levels, it's not as high as it appears.

Gaudenz Schneider

HDB Financial Services Pre-IPO - The Negatives - Performance Has Been Slipping

HDB Financial Services is looking to raise around US$1.5bn in its upcoming India IPO. In this note, we talk about the not-so-positive aspects of...

Sumeet Singh

EQD / NSE NIFTY50 Vol Update / India Budget Event Is Driving Price-Action in the Options Market

IV Update: Option Market remains hyper-focused on the 01.02.2025 India Budget date, pushing IVs for 06.02.2025 expiry contracts even higher to...

AceGama Advisors

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

India: Potential Free Float Changes & Passive Flows in February

Changes to shareholding patterns could lead to changes in float for some stocks in local/global indices. Passive trackers will need to trade over 5...

Brian Freitas

EQD | NSE Nifty Bank Index - Implied Volatility Not (Yet) Rich Enough.

​Implied volatility for the NSE Nifty Bank Index may seem high historically, but seen in context with the index's 200 day moving average suggests...

Gaudenz Schneider

EQD | Nifty 50 Option Strategy - Implied Volatility Is Not as Rich as It Seems

​Implied volatility of the Nifty 50 Index may seem rich historically, but when compared to market levels, it's not as high as it appears.

Gaudenz Schneider

HDB Financial Services Pre-IPO - The Negatives - Performance Has Been Slipping

HDB Financial Services is looking to raise around US$1.5bn in its upcoming India IPO. In this note, we talk about the not-so-positive aspects of...

Sumeet Singh

EQD / NSE NIFTY50 Vol Update / India Budget Event Is Driving Price-Action in the Options Market

IV Update: Option Market remains hyper-focused on the 01.02.2025 India Budget date, pushing IVs for 06.02.2025 expiry contracts even higher to...

AceGama Advisors

Implied volatility for the NSE Nifty Bank Index may seem high historically, but seen in context with the index's 200 day moving average suggests...

Implied volatility of the Nifty 50 Index may seem rich historically, but when compared to market levels, it's not as high as it appears.