Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>Box trades are gaining popularity on the Hong Kong Stock Exchange. These arbitrage strategies exploit price discrepancies in options markets for near risk-free profits.</li>
<li>Long box trades involve simultaneously buying bull call spreads and bear put spreads with identical strikes and expiration dates, creating a fixed payoff regardless of the underlying asset's price movement.</li>
<li>Box trades require careful execution consideration of spreads, commissions, margins, and fees, with risks primarily in execution and operations rather than market exposure.</li>
</ul>


Box trades are gaining popularity on the Hong Kong Stock Exchange. These arbitrage strategies exploit price discrepancies in options markets for near risk-free profits.
Long box trades involve simultaneously buying bull call spreads and bear put spreads with identical strikes and expiration dates, creating a fixed payoff regardless of the underlying asset's price movement.
Box trades require careful execution consideration of spreads, commissions, margins, and fees, with risks primarily in execution and operations rather than market exposure.


Box Trades Explained: How Traders Execute Near Risk-Free Arbitrage in Hong Kong's Options Market

Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Industrial and Commercial Bank of China / Equity Derivatives

Industrial and Commercial Bank of China (1398 HK)

<ul>
<li>Call volumes dominate tradng across single stocks with the Put/Call ratio hitting its 3rd lowest level since the beginning of November. Volumes continue trend lower in place since early November.</li>
<li>Auto companies seeing big increases in option volumes with Li Auto and Great Wall Motor moving in opposite directions since the middle of the month.  </li>
<li>We add 2 new tables showing the largest volume increases across Puts and Calls – a conveient way to view unusual changes in trading activity.</li>
</ul>


Call volumes dominate tradng across single stocks with the Put/Call ratio hitting its 3rd lowest level since the beginning of November. Volumes continue trend lower in place since early November.
Auto companies seeing big increases in option volumes with Li Auto and Great Wall Motor moving in opposite directions since the middle of the month.  
We add 2 new tables showing the largest volume increases across Puts and Calls – a conveient way to view unusual changes in trading activity.


EQD | Hong Kong Single Stock Options Weekly December 23 – 27

Asian Hedge Fund Manager, Long Short Equity, Macro

David Mudd

Equity Bottom-Up

Shanghai Electric Group / Equity Bottom-Up

<ul>
<li>Hong Kong Long-Only portfolio launched on October 1st with objective to generate alpha in the Hong Kong market.</li>
<li>Stocks are chosen from single stock insights as well as sector and weekly publications.</li>
<li>Positions will be adjusted once a month and the cash position will vary based on market conditions.</li>
</ul>


Hong Kong Long-Only portfolio launched on October 1st with objective to generate alpha in the Hong Kong market.
Stocks are chosen from single stock insights as well as sector and weekly publications.
Positions will be adjusted once a month and the cash position will vary based on market conditions.


Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>Back in August 2017, Xingxuan Technology, a privately held Cayman Islands company operating in the online food delivery space in China, was transferred by way of a statutory merger. </li>
<li>The buyer was <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 (9988 HK)</a>-backed Rajax, the key seller, <a href="https://www.smartkarma.com/entities/baidu-inc-a55ca720-5968-48f0-8194-ac94390d065c" target="_blank" data-smartkarma-citation="entities:32212:1" rel="noopener">Baidu (9888 HK)</a>. The dissenter, having paid US$125mn for its shares, was offered cash/scrip worth an estimated US$42mn.</li>
<li>The dissenter considered terms low-balled. The judge agreed. The uplift? 659%.</li>
</ul>


Back in August 2017, Xingxuan Technology, a privately held Cayman Islands company operating in the online food delivery space in China, was transferred by way of a statutory merger. 
The buyer was Alibaba Group (9988 HK)-backed Rajax, the key seller, Baidu (9888 HK). The dissenter, having paid US$125mn for its shares, was offered cash/scrip worth an estimated US$42mn.
The dissenter considered terms low-balled. The judge agreed. The uplift? 659%.


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

Index Rebalance

<ul>
<li>The June rebalance of the Hang Seng family of indices will use today's closing prices to cap the index constituent weights.</li>
<li>The net round-trip trade across all stocks across the five indices is estimated at HK$49.6bn (US$6.33bn). There is size to trade in a lot of stocks.</li>
<li>The stocks with forecast inflows marginally outperformed the stocks with forecast outflows prior to announcement of the changes, but there has been underperformance since announcement.</li>
</ul>


The June rebalance of the Hang Seng family of indices will use today's closing prices to cap the index constituent weights.
The net round-trip trade across all stocks across the five indices is estimated at HK$49.6bn (US$6.33bn). There is size to trade in a lot of stocks.
The stocks with forecast inflows marginally outperformed the stocks with forecast outflows prior to announcement of the changes, but there has been underperformance since announcement.


HSI, HSCEI, HSTECH, HSIII, HSBIO Index Rebalance: US$6.3bn of Flows Post Capping (June 2026)

China

Baidu is a Chinese multinational technology company specializing in Internet services and artificial intelligence. Its core business includes its dominant search engine, online marketing services, cloud computing, and autonomous driving technologies. Key products and services include Baidu Search, Baidu App, Baidu Maps, Baidu Baike, iQIYI, and the Apollo autonomous driving platform. The company was founded in January 2000 and is headquartered in Beijing, China.

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Baidu (9888 HK)

Box Trades Explained: How Traders Execute Near Risk-Free Arbitrage in Hong Kong's Options Market

JD.com (9618 HK) Earnings Call tonight 8:00 pm HKT. After yesterday's 3.06% move up, the ATM strike is now 165. Straddles offer an opportunity to...

Gaudenz Schneider

EQD | Hong Kong Single Stock Options Weekly December 23 – 27

Trading volumes in single stocks were dominated by call volumes, with the Put/Call ratio at its 3rd lowest level since early November. We...

John Ley

HONG KONG ALPHA PORTFOLIO - Introduction

We have launched a Hong Kong portfolio with the aim to outperform HK indexes and generate alpha. Stocks are chosen from those highlighted in our...

David Mudd

When Dissenting REALLY Pays Off

Back in 2017, Alibaba acquired Baidu-backed Xingxuan Technology. A dissenter took the company to task on the merger price. Their effort paid off,...

David Blennerhassett

HSI, HSCEI, HSTECH, HSIII, HSBIO Index Rebalance: US$6.3bn of Flows Post Capping (June 2026)

The June rebalance of the HSI, HSCEI, HSTECH, HSIII, HSHKBIO indices will use 2 June closing prices for capping. The round-trip trade across the...

Brian Freitas

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Box Trades Explained: How Traders Execute Near Risk-Free Arbitrage in Hong Kong's Options Market

JD.com (9618 HK) Earnings Call tonight 8:00 pm HKT. After yesterday's 3.06% move up, the ATM strike is now 165. Straddles offer an opportunity to...

Gaudenz Schneider

EQD | Hong Kong Single Stock Options Weekly December 23 – 27

​Trading volumes in single stocks were dominated by call volumes, with the Put/Call ratio at its 3rd lowest level since early November. We...

John Ley

HONG KONG ALPHA PORTFOLIO - Introduction

We have launched a Hong Kong portfolio with the aim to outperform HK indexes and generate alpha. Stocks are chosen from those highlighted in our...

David Mudd

When Dissenting REALLY Pays Off

Back in 2017, Alibaba acquired Baidu-backed Xingxuan Technology. A dissenter took the company to task on the merger price. Their effort paid off,...

David Blennerhassett

HSI, HSCEI, HSTECH, HSIII, HSBIO Index Rebalance: US$6.3bn of Flows Post Capping (June 2026)

The June rebalance of the HSI, HSCEI, HSTECH, HSIII, HSHKBIO indices will use 2 June closing prices for capping. The round-trip trade across the...

Brian Freitas

Trading volumes in single stocks were dominated by call volumes, with the Put/Call ratio at its 3rd lowest level since early November. We...