Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

Wisdomtree Japan Hedged Eq / Technical Analysis

<p>Market dynamics continue to send mixed signals, but the bottom line is that not one MSCI ACWI Sector is breaking down, and important price support levels are holding in the US, Europe, and Japan. Additionally, the MSCI ACWI, ACWI ex-US, and EAFE indexes all remain above critical support levels. Until supports start to break we cannot be bearish. It is also worth noting that various indicators could be making a turn for the better, including early signs of interest rates bottoming in the US and Germany, a potential false breakdown in crude oil, and high yield spreads leveling-out.</p>

Market dynamics continue to send mixed signals, but the bottom line is that not one MSCI ACWI Sector is breaking down, and important price support levels are holding in the US, Europe, and Japan. Additionally, the MSCI ACWI, ACWI ex-US, and EAFE indexes all remain above critical support levels. Until supports start to break we cannot be bearish. It is also worth noting that various indicators could be making a turn for the better, including early signs of interest rates bottoming in the US and Germany, a potential false breakdown in crude oil, and high yield spreads leveling-out.

Critical Supports Holding in the US, Europe, & Japan; Buying Health Care, Utilities, Materials, Tech

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Event-Driven

<div class="content-highlight">
<p>The "K-Stop movement" made its first real move on <a href="https://www.smartkarma.com/entities/hlb-inc" target="_blank" data-smartkarma-citation="entities:16969:1" rel="noopener">HLB Inc (028300 KS) </a>today on July 15th. The K-Stop movement refers to "Korean Game Stop movement," where many Korean retail investors have gathered together to actively protest and trade against the institutional investors that have put short positions on various Korean stocks.</p>
<p>Similar to many retail investors in US that have traded heavily shorted stocks such as <a href="https://www.smartkarma.com/entities/gamestop-corp-class-a" target="_blank" data-smartkarma-citation="entities:13790:1" rel="noopener">GameStop (GME US) </a>and AMC, many Korean retail investors also want to capitalize on such potential buying of heavily shorted stocks in Korea. </p>
</div>


The "K-Stop movement" made its first real move on HLB Inc (028300 KS) today on July 15th. The K-Stop movement refers to "Korean Game Stop movement," where many Korean retail investors have gathered together to actively protest and trade against the institutional investors that have put short positions on various Korean stocks.
Similar to many retail investors in US that have traded heavily shorted stocks such as GameStop (GME US) and AMC, many Korean retail investors also want to capitalize on such potential buying of heavily shorted stocks in Korea. 


The Rise of the K-Stop Movement: Makes Its First Real Move on HLB

Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

<p>Celltrion is still struggling to catch up with Celltrion Healthcare. <strong>The Celltrion (Long) &amp; Celltrion Healthcare (Short) pair continues to be in a diversion of near -2.0σ</strong>. Celltrion made a 2+% gain earlier today but is now back to the previous close.</p><table class="table table-striped">
<colgroup>
<col width="70">
<col width="70">
<col width="70">
<col width="70">
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr>
<td style="width: 222.727px;" data-sheets-value='{"1":2,"2":"Sigma (σ) on a 20-day moving average"}'>Sigma (σ) on a 20-day moving average</td>
<td style="text-align: right; width: 108.182px;" data-sheets-value='{"1":2,"2":"Today"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>Today</td>
<td style="text-align: right; width: 112.727px;" data-sheets-value='{"1":2,"2":"T-1"}'>T-1</td>
<td style="text-align: right; width: 96.3636px;" data-sheets-value='{"1":2,"2":"T-2"}'>T-2</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":2,"2":"T-3"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>T-3</td>
</tr>
<tr>
<td style="width: 222.727px;" data-sheets-value='{"1":2,"2":"Celltrion, Inc."}' data-sheets-formula="=R[-8]C[0]">Celltrion, Inc. / Celltrion Healthcare</td>
<td style="text-align: right; width: 108.182px;" data-sheets-value='{"1":3,"3":-1.7681341462103701}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$2")'><strong>-1.77</strong></td>
<td style="text-align: right; width: 112.727px;" data-sheets-value='{"1":3,"3":-2.0626425593335966}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$3")'>-2.06</td>
<td style="text-align: right; width: 96.3636px;" data-sheets-value='{"1":3,"3":-0.3625908704099981}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$4")'>-0.36</td>
<td style="text-align: right; width: 100px;" data-sheets-value='{"1":3,"3":-0.02927230344234097}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect(R[0]C8&amp;"!$I$5")'>-0.03</td>
</tr>
<tr><td colspan="5" style="width: 723.636px;">Source: KRX</td></tr>
</tbody>
</table><p>Celltrion has recovered a bit this year relative to Celltrion Healthcare since the harsh diversion that started late last year with the progress of a merger plan. </p><section class="figure"><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/207/918/original/Celltrion+%26+Celltrion+Healthcare.png?1621571531" class="editor-image img-responsive" data-smartkarma-image-id="207918"></figure><p>But the duo's price ratio (Celltrion in the numerator for Long and Celltrion Healthcare in the denominator for Short) is still <strong>8.73% below the 180-day average</strong> and 25.73% down from the 180-day high.</p></section><table class="table table-striped">
<colgroup>
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Celltrion, Inc."}' data-sheets-formula="=R[-52]C[0]">Celltrion, Inc.</td></tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Current sigma on a 20-day moving average"}'><strong>Current sigma on a 20-day moving average</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-1.7681341462103701}' data-sheets-numberformat='[null,2,"#,##0.00",1]' data-sheets-formula='=indirect("$B"&amp;R70C[0])'><strong>-1.77</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"Current price ratio"}'>Current price ratio</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":2.317909168808912}' data-sheets-numberformat='[null,2,"#,##0.00000",1]' data-sheets-formula='=indirect("$E"&amp;R71C[0])'>2.31791</td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"%Δ to 180-day mean"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'><strong>%Δ to 180-day mean</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.08731840377275689}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula='=indirect("$B"&amp;R71C[0])'><strong>-8.73%</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"%Δ to 180-day high"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'><strong>%Δ to 180-day high</strong></td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":-0.25733095771721204}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula='=indirect("$C"&amp;R71C[0])'><strong>-25.73%</strong></td>
</tr>
<tr>
<td data-sheets-value='{"1":2,"2":"%Δ to 180-day low"}' data-sheets-numberformat='[null,4,"[$₩]#,##0"]'>%Δ to 180-day low</td>
<td style="text-align: right;" data-sheets-value='{"1":3,"3":0.12060069168315744}' data-sheets-numberformat='[null,3,"0.00%",1]' data-sheets-formula='=indirect("$D"&amp;R71C[0])'>12.06%</td>
</tr>
<tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"Source: KRX"}'>Source: KRX</td></tr>
</tbody>
</table><p>The Long/Short trade on the Celltrion and Celltrion Healthcare pair features a pretty tight correlation and cointegration, estimated by a 180-day price Δ beta. Their 180-day correlation coefficient sits at +0.84215. Also, their 180-day price change beta is 0.76771, which also implies a hedge ratio for a short position on Celltrion Healthcare.</p><table class="table table-striped">
<colgroup>
<col width="200">
<col width="200">
<col width="70">
<col width="70">
</colgroup>
<tbody>
<tr>
<td style="width: 174.545px;" data-sheets-value='{"1":2,"2":"Comp 1 (long)"}'>Comp 1 (Long)</td>
<td style="width: 212.727px;" data-sheets-value='{"1":2,"2":"Comp 2 (short)"}'>Comp 2 (Short)</td>
<td style="text-align: right; width: 129.091px;" data-sheets-value='{"1":2,"2":"180-day correlation coefficient"}'>180-day correlation coefficient</td>
<td style="text-align: right; width: 144.545px;" data-sheets-value='{"1":2,"2":"Cointegration coefficient (180-day price Δ beta)"}'>Cointegration coefficient (180-day price Δ beta)</td>
</tr>
<tr>
<td style="width: 174.545px;" data-sheets-value='{"1":2,"2":"Celltrion, Inc."}'>Celltrion, Inc.</td>
<td style="width: 212.727px;" data-sheets-value='{"1":2,"2":"Celltrion HealthCare Co Ltd"}'>Celltrion HealthCare Co Ltd</td>
<td style="text-align: right; width: 129.091px;" data-sheets-value='{"1":3,"3":0.8421486059768682}' data-sheets-numberformat='[null,2,"#,##0.00000",1]'><strong>0.84215</strong></td>
<td style="text-align: right; width: 144.545px;" data-sheets-value='{"1":3,"3":0.7677091119717393}' data-sheets-numberformat='[null,2,"#,##0.00000",1]' data-sheets-formula="=Beta!R[2]C[-2]"><strong>0.76771</strong></td>
</tr>
<tr><td colspan="4" style="width: 174.545px;">Source: KRX</td></tr>
</tbody>
</table>

Celltrion is still struggling to catch up with Celltrion Healthcare. The Celltrion (Long) &amp; Celltrion Healthcare (Short) pair continues to be in a diversion of near -2.0σ. Celltrion made a 2+% gain earlier today but is now back to the previous close.










Sigma (σ) on a 20-day moving average
Today
T-1
T-2
T-3


Celltrion, Inc. / Celltrion Healthcare
-1.77
-2.06
-0.36
-0.03

Source: KRX

Celltrion has recovered a bit this year relative to Celltrion Healthcare since the harsh diversion that started late last year with the progress of a merger plan. But the duo's price ratio (Celltrion in the numerator for Long and Celltrion Healthcare in the denominator for Short) is still 8.73% below the 180-day average and 25.73% down from the 180-day high.





Celltrion, Inc.

Current sigma on a 20-day moving average
-1.77


Current price ratio
2.31791


%Δ to 180-day mean
-8.73%


%Δ to 180-day high
-25.73%


%Δ to 180-day low
12.06%

Source: KRX

The Long/Short trade on the Celltrion and Celltrion Healthcare pair features a pretty tight correlation and cointegration, estimated by a 180-day price Δ beta. Their 180-day correlation coefficient sits at +0.84215. Also, their 180-day price change beta is 0.76771, which also implies a hedge ratio for a short position on Celltrion Healthcare.








Comp 1 (Long)
Comp 2 (Short)
180-day correlation coefficient
Cointegration coefficient (180-day price Δ beta)


Celltrion, Inc.
Celltrion HealthCare Co Ltd
0.84215
0.76771

Source: KRX



Celltrion Merger Situation & Long/Short on the Celltrion Duo

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

<p>The short sell ban in Korea that was instated on 16 March 2020 is set to expire on 15 March.</p><p>However, with mayoral elections in Seoul and Busan around the corner, politicians are said to be leaning on the FSC to extend the short sell ban. Add to that the retail outrage - from petitions to the Blue House, bus tours, and posts on K-Streetbets of targeting stocks with high short interest.</p><p>There is a high likelihood that the short sell ban gets extended by three more months to tide the politicians over the mayoral elections.</p><p>In the event that the short sell ban expires, we highlight stocks that have seen the most short covering since the start of the short sell ban, stocks with high short interest as a percentage of market cap and free float, and high days of ADV to cover.</p><p>This will have implications for many strategies and will open the door to trade the ordinaries vs preferred shares, long/short and other related strategies.</p>

The short sell ban in Korea that was instated on 16 March 2020 is set to expire on 15 March.However, with mayoral elections in Seoul and Busan around the corner, politicians are said to be leaning on the FSC to extend the short sell ban. Add to that the retail outrage - from petitions to the Blue House, bus tours, and posts on K-Streetbets of targeting stocks with high short interest.There is a high likelihood that the short sell ban gets extended by three more months to tide the politicians over the mayoral elections.In the event that the short sell ban expires, we highlight stocks that have seen the most short covering since the start of the short sell ban, stocks with high short interest as a percentage of market cap and free float, and high days of ADV to cover.This will have implications for many strategies and will open the door to trade the ordinaries vs preferred shares, long/short and other related strategies.

Korea Short Sell Ban: Elections, Public Outrage, Bus Tours, Blue House Petitions, K-Streetbets

Cross Asset Strategy

<h2>Review of Top 10 Issues Related to Korean Stock Market, Economy, &amp; Politics in September 2020</h2><ul>
<li><div class="content-highlight"><strong>Value &amp; GARP outperforming Growth</strong></div></li>
<li><strong>Big Hit Entertainment IPO </strong></li>
<li><strong>Kakao Games IPO </strong></li>
<li><strong>IPOs of Kakao Pay, Kakao Bank, &amp; Kakao Page in 2021 </strong></li>
<li><strong>A merger of the three Celltrion companies </strong></li>
<li><strong>LG Chem's carve-out of its rechargeable battery business </strong></li>
<li><strong>Big rights offerings by Doosan Heavy Industries &amp; Doosan Fuel Cell </strong></li>
<li><strong>HDC Hyundai Development gives up on Asiana Airlines </strong></li>
<li><strong>Nikola's founder resigns - Impact on Hanwha Solutions</strong></li>
<li><strong>Samsung Electronics (Dividends) </strong></li>
</ul>

Review of Top 10 Issues Related to Korean Stock Market, Economy, &amp; Politics in September 2020
Value &amp; GARP outperforming Growth
Big Hit Entertainment IPO 
Kakao Games IPO 
IPOs of Kakao Pay, Kakao Bank, &amp; Kakao Page in 2021 
A merger of the three Celltrion companies 
LG Chem's carve-out of its rechargeable battery business 
Big rights offerings by Doosan Heavy Industries &amp; Doosan Fuel Cell 
HDC Hyundai Development gives up on Asiana Airlines 
Nikola's founder resigns - Impact on Hanwha Solutions
Samsung Electronics (Dividends) 


Korea Stock Market Monthly Recap #52 (September 2020)

South Korea

Celltrion Pharm Inc. manufactures and sells pharmaceutical products.  The Company products inclue drugs for for hepatic diseases, digestion, diabetes, cold and fever, anti-inflammatory, and veterinary medical products.  Celltrion also provides pharmaceutical raw materials.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Celltrion Pharm (068760 KS)

Critical Supports Holding in the US, Europe, & Japan; Buying Health Care, Utilities, Materials, Tech

Various indicators are making a turn for the better, including early signs of interest rates bottoming in the US and Germany, a false breakdown in...

Vermilion Research

The Rise of the K-Stop Movement: Makes Its First Real Move on HLB

The "K-Stop movement" made its first real move on HLB Inc (028300 KS) today on July 15th. Many Korean retail investors have gathered together to...

Douglas Kim

Celltrion Merger Situation & Long/Short on the Celltrion Duo

This post discusses the planned merger situation and explores a long/short trade on Celltrion and Celltrion Healthcare as the relative valuation...

Sanghyun Park

Korea Short Sell Ban: Elections, Public Outrage, Bus Tours, Blue House Petitions, K-Streetbets

With the short sell ban in Korea scheduled to expire 15 March, we look at stocks that have seen the most short covering since the start of the ban,...

Brian Freitas

Korea Stock Market Monthly Recap #52 (September 2020)

Review of Top 10 Issues Related to Korean Stock Market, Economy, Politics in September 2020

Douglas Kim

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)