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>In line with our forecast, <a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank (CBK IN)</a> will replace <a href="https://www.smartkarma.com/entities/bandhan-bank-ltd" target="_blank" data-smartkarma-citation="entities:26705:1" rel="noopener">Bandhan Bank Ltd (BANDHAN IN)</a> in 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 (NSEBANK INDEX)</a> at the close on 27 September.</li>
<li>
<a href="https://www.smartkarma.com/entities/bandhan-bank-ltd" target="_blank" data-smartkarma-citation="entities:26705:1" rel="noopener">Bandhan Bank Ltd (BANDHAN IN)</a> will be deleted from a global index at the close on 31 August, so real float will increase a lot over the next month.</li>
<li>Passive trackers will need to buy over 2 days of ADV in <a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank (CBK IN)</a> and sell 1 day of ADV in <a href="https://www.smartkarma.com/entities/bandhan-bank-ltd" target="_blank" data-smartkarma-citation="entities:26705:1" rel="noopener">Bandhan Bank Ltd (BANDHAN IN)</a>. </li>
</ul>


In line with our forecast, Canara Bank (CBK IN) will replace Bandhan Bank Ltd (BANDHAN IN) in the NSE Nifty Bank Index (NSEBANK INDEX) at the close on 27 September.

Bandhan Bank Ltd (BANDHAN IN) will be deleted from a global index at the close on 31 August, so real float will increase a lot over the next month.
Passive trackers will need to buy over 2 days of ADV in Canara Bank (CBK IN) and sell 1 day of ADV in Bandhan Bank Ltd (BANDHAN IN). 


NIFTY Bank Index Rebalance: Canara Bank IN; Bandhan Bank OUT

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a> and 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 (NSEBANK INDEX EQUITY)</a> reached all-time highs on 26 September 2024 but have since declined.</li>
<li>Most stocks in the Bank Index have fallen below their 200 and 50 day moving average,. Volatilities have gone up, but trade cheap when compared to historical levels.</li>
<li>Opportunities present themselves either in stocks that stayed resilient during the downturn (<a href="https://www.smartkarma.com/entities/federal-bank-ltd" target="_blank" data-smartkarma-citation="entities:11784:1" rel="noopener">Federal Bank (FB IN)),</a>or fell and gained in implied volatility. A long-short strategy might also be considered.</li>
</ul>


The NIFTY Index (NIFTY INDEX) and the NSE Nifty Bank Index (NSEBANK INDEX EQUITY) reached all-time highs on 26 September 2024 but have since declined.
Most stocks in the Bank Index have fallen below their 200 and 50 day moving average,. Volatilities have gone up, but trade cheap when compared to historical levels.
Opportunities present themselves either in stocks that stayed resilient during the downturn (Federal Bank (FB IN)),or fell and gained in implied volatility. A long-short strategy might also be considered.


EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

Equity Bottom-Up

Fisher & Paykel Healthcare Cor / Equity Bottom-Up

<ul>
<li>
Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.</li>
<li>
Highlight: Currently six pair trade opportunities across three markets and three sectors persist.</li>
<li>
Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.</li>
</ul>



Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.

Highlight: Currently six pair trade opportunities across three markets and three sectors persist.

Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.


Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (04 Aug)

<ul>
<li>
Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.</li>
<li>
Highlight: Currently five pair trade opportunities across three markets and three sectors persist.</li>
<li>
Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.</li>
</ul>



Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.

Highlight: Currently five pair trade opportunities across three markets and three sectors persist.

Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.


Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (28 Jul)

<ul>
<li>
Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.</li>
<li>
Highlight: Three Aussie pair trade opportunities across three sectors persist.</li>
<li>
Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.</li>
</ul>



Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.

Highlight: Three Aussie pair trade opportunities across three sectors persist.

Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.


Relative Value Opportunities in Asia-Pac, Pair Trade Roundup.

India

Canara Bank Ltd. provides a full range of banking services throughout India. The Group's activities include retail banking, commercial and personal banking, investment management, treasury & NRI services, cash management and assorted ATM facilities.

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Canara Bank (CBK IN)

NIFTY Bank Index Rebalance: Canara Bank IN; Bandhan Bank OUT

Canara Bank will replace Bandhan Bank in the Nifty Bank Index in Sep. Bandhan is also being deleted from a global index on 31 August. Passives need...

Brian Freitas

EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

The NSE Nifty Bank Index hit a record high in September 2024 but has since dropped. Option opportunities are found in resilient or volatile bank...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (04 Aug)

Statistical methodology identifies six pair trade opportunities across three markets and three sectors, offering unique insights into relative value.

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (28 Jul)

Statistical methodology identifies five pair trade opportunities across three markets and sectors, offering unique insights into relative value.

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup.

Statistical methodology identifies pair trade opportunities across markets and sectors, offering unique insights for investors.

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

NIFTY Bank Index Rebalance: Canara Bank IN; Bandhan Bank OUT

Canara Bank will replace Bandhan Bank in the Nifty Bank Index in Sep. Bandhan is also being deleted from a global index on 31 August. Passives need...

Brian Freitas

EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

The NSE Nifty Bank Index hit a record high in September 2024 but has since dropped. Option opportunities are found in resilient or volatile bank...

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (04 Aug)

​Statistical methodology identifies six pair trade opportunities across three markets and three sectors, offering unique insights into relative value.

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (28 Jul)

​Statistical methodology identifies five pair trade opportunities across three markets and sectors, offering unique insights into relative value.

Gaudenz Schneider

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup.

​Statistical methodology identifies pair trade opportunities across markets and sectors, offering unique insights for investors.

Gaudenz Schneider

Statistical methodology identifies six pair trade opportunities across three markets and three sectors, offering unique insights into relative value.

Statistical methodology identifies five pair trade opportunities across three markets and sectors, offering unique insights into relative value.

Statistical methodology identifies pair trade opportunities across markets and sectors, offering unique insights for investors.