Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

China Construction Bank H / Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/china-construction-bank-h" target="_blank" data-smartkarma-citation="entities:45:1" rel="noopener">China Construction Bank H (939 HK)</a> / <a href="https://www.smartkarma.com/entities/china-construction-bank-corp" target="_blank" data-smartkarma-citation="entities:24567:1" rel="noopener">China Construction Bank (601939 CH)</a> is scheduled to report its annual 2024 financial results on 28 March 2025, 17:00-18:15, Beijing time. 
</li>
<li>
Expected Price Movement: Option implied movement and historically recorded movement both indicate muted price action after earnings.</li>
<li>
Dividend Outlook: CCB has switched to semi-annual dividends, with current yields at 6.4% for H shares and 4.7% for A shares. The bank has a history of dividend increases.</li>
</ul>



China Construction Bank H (939 HK) / China Construction Bank (601939 CH) is scheduled to report its annual 2024 financial results on 28 March 2025, 17:00-18:15, Beijing time. 


Expected Price Movement: Option implied movement and historically recorded movement both indicate muted price action after earnings.

Dividend Outlook: CCB has switched to semi-annual dividends, with current yields at 6.4% for H shares and 4.7% for A shares. The bank has a history of dividend increases.


China Construction Bank (939 HK/601939 CH) Earnings on 28 Mar: Anticipated Price Move and Strategy

Research and consultancy, Tabbush Report

Daniel Tabbush

Research and consultancy

Tabbush Report

We provide research and consultancy on Asian banks. Our focus is on what we call “Asian bank research, without the noise.” We are interested in the most critical swing-factors for banks, the NPL and credit cycle, and where we believe there is a gap between perception and reality. We often focus on the less studied components of bank financial statements.  Our research is highly thematic, sometimes examining unlisted banks and companies as a window on mainstream banks. 

Being independent allows us to look at smaller banks, often overlooked by others. Analysis of BIS bank guidelines in the context of Asia, is also a focal point, while we also analyze global banks operating in the region. We use what we believe is the most comprehensive, reliable financials database, SNL Financial. S&P Capital IQ augments our database, with corporate data and CEIC, with economics. 

Asian bank research, without the noise.

Equity Bottom-Up

<ul>
<li>HSBC holds 19% of BoCom and still carries it with a value of USD23.3bn despite the stock market valuation putting it closer to USD8.1bn on YE22 figures. </li>
<li>The bank cites its Value In Use testing as the justifiable reason for this gap, and this testing will include major assumptions like discount rates and long term growth rates.</li>
<li>Goodwill and other intangible charges were USD10.6bn in FY08, USD3.4bn in FY16, and USD7.4bn in FY19 for HSBC. </li>
</ul>


HSBC holds 19% of BoCom and still carries it with a value of USD23.3bn despite the stock market valuation putting it closer to USD8.1bn on YE22 figures. 
The bank cites its Value In Use testing as the justifiable reason for this gap, and this testing will include major assumptions like discount rates and long term growth rates.
Goodwill and other intangible charges were USD10.6bn in FY08, USD3.4bn in FY16, and USD7.4bn in FY19 for HSBC. 


HSBC - Gap of USD15bn on Carrying Value Vs Fair Value of BoCom, as China Economy Weakens More

Bank Of China Ltd (H) / Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/bank-of-china-ltd-h" target="_blank" data-smartkarma-citation="entities:656:1" rel="noopener">Bank Of China Ltd (H) (3988 HK)</a> /<a href="https://www.smartkarma.com/entities/bank-of-china-ltd" target="_blank" data-smartkarma-citation="entities:24574:1" rel="noopener">Bank of China (601988 CH)</a> is scheduled to report its annual 2024 financial results on 26 March 2025, after market close.</li>
<li>
Expected Price Movement: Option implied movement is above the historically recorded movement.</li>
<li>
Implied Volatility, Options Strategies and Dividends: Discussion of implied volatility term structure and option strategies. Dividends are now semi-annual.</li>
</ul>



Bank Of China Ltd (H) (3988 HK) /Bank of China (601988 CH) is scheduled to report its annual 2024 financial results on 26 March 2025, after market close.

Expected Price Movement: Option implied movement is above the historically recorded movement.

Implied Volatility, Options Strategies and Dividends: Discussion of implied volatility term structure and option strategies. Dividends are now semi-annual.


Bank Of China (3988 HK/601988 CH) Earnings on 26/3: Anticipated Price Movements and Options Insights

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

Bank of Communications   / Index Rebalance

<ul>
<li>There are 5 changes for the <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index (SSE50 INDEX)</a> that will be implemented at the close on 14 June. There is over 1x ADV to trade on most stocks.</li>
<li>The index committee has focused on sector balance with higher ranked stocks from the Financials sector ignored and lower ranked stocks from other sectors included.</li>
<li>The adds have outperformed the deletes over the last 6 months and positioning (especially on the surprises) could lead to further upside for a long/short trade.</li>
</ul>


There are 5 changes for the SSE50 Index (SSE50 INDEX) that will be implemented at the close on 14 June. There is over 1x ADV to trade on most stocks.
The index committee has focused on sector balance with higher ranked stocks from the Financials sector ignored and lower ranked stocks from other sectors included.
The adds have outperformed the deletes over the last 6 months and positioning (especially on the surprises) could lead to further upside for a long/short trade.


SSE50/SSE180 Index Rebalance: Heavy Focus on Sector Balance

<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

China

Bank of Communications Co. Ltd. provides a full range of commercial banking services including RMB and foreign currency deposit, loan, international and domestic settlement, discount, currency trading, letter of credit, bank guarantee, and other related services.

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Bank Of Communications Co H (3328 HK)

China Construction Bank (939 HK/601939 CH) Earnings on 28 Mar: Anticipated Price Move and Strategy

China Construction Bank to report 2024 financial results on 28 March 2025, with muted price movement expected post-earnings and a history of...

Gaudenz Schneider

HSBC - Gap of USD15bn on Carrying Value Vs Fair Value of BoCom, as China Economy Weakens More

HSBC still carries its 19% investment in BoCom at a very high value compared with the market value and with a far weaker China outlook, we are not...

Daniel Tabbush

Bank Of China (3988 HK/601988 CH) Earnings on 26/3: Anticipated Price Movements and Options Insights

Bank of China Ltd set to report 2024 financial results on March 26, with option implied movement higher than historical levels. Discussion on...

Gaudenz Schneider

SSE50/SSE180 Index Rebalance: Heavy Focus on Sector Balance

There are 5 changes for the SSE50 Index that will be implemented at the close on 14 June. Sector balance was a big consideration at the review....

Brian Freitas

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

China Construction Bank (939 HK/601939 CH) Earnings on 28 Mar: Anticipated Price Move and Strategy

​China Construction Bank to report 2024 financial results on 28 March 2025, with muted price movement expected post-earnings and a history of...

Gaudenz Schneider

HSBC - Gap of USD15bn on Carrying Value Vs Fair Value of BoCom, as China Economy Weakens More

HSBC still carries its 19% investment in BoCom at a very high value compared with the market value and with a far weaker China outlook, we are not...

Daniel Tabbush

Bank Of China (3988 HK/601988 CH) Earnings on 26/3: Anticipated Price Movements and Options Insights

​Bank of China Ltd set to report 2024 financial results on March 26, with option implied movement higher than historical levels. Discussion on...

Gaudenz Schneider

SSE50/SSE180 Index Rebalance: Heavy Focus on Sector Balance

There are 5 changes for the SSE50 Index that will be implemented at the close on 14 June. Sector balance was a big consideration at the review....

Brian Freitas

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

China Construction Bank to report 2024 financial results on 28 March 2025, with muted price movement expected post-earnings and a history of...

Bank of China Ltd set to report 2024 financial results on March 26, with option implied movement higher than historical levels. Discussion on...