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>Following two periods of profitability, <a href="https://www.smartkarma.com/entities/innovent-biologics-inc" target="_blank" data-smartkarma-citation="entities:27452:1" rel="noopener">Innovent Biologics Inc (1801 HK)</a> will be added to the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> at the close on 5 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/innovent-biologics-inc" target="_blank" data-smartkarma-citation="entities:27452:1" rel="noopener">Innovent Biologics Inc (1801 HK)</a> is also an add to the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a> in December, so this inclusion increases the flow and impact.</li>
<li>Estimated one-way turnover is 2.3% and the estimated round-trip trade is HK$9.2bn (US$1.2bn). Big capping outflows for <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 (9988 HK)</a> at the December rebalance.</li>
</ul>


Following two periods of profitability, Innovent Biologics Inc (1801 HK) will be added to the Hang Seng Index (HSI INDEX) at the close on 5 December.

Innovent Biologics Inc (1801 HK) is also an add to the Hang Seng China Enterprises Index (HSCEI INDEX) in December, so this inclusion increases the flow and impact.
Estimated one-way turnover is 2.3% and the estimated round-trip trade is HK$9.2bn (US$1.2bn). Big capping outflows for Alibaba (9988 HK) at the December rebalance.


Hang Seng Index (HSI) Rebalance: Innovent Biologics Turns a Profit, Gets Added

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

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Cross Asset Strategy

<ul>
<li>Are the recent announcements blocking Chinese investment a sea change in US/China relations?</li>
<li>Are we wrong about Trump’s willingness to do a deal with China?</li>
<li>Is it wrong to maintain a bullish stance on HK-listed China stocks?</li>
</ul>


Are the recent announcements blocking Chinese investment a sea change in US/China relations?
Are we wrong about Trump’s willingness to do a deal with China?
Is it wrong to maintain a bullish stance on HK-listed China stocks?


Will Recent US Announcements Derail the HK/China Bull 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.

<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

<ul>
<li>Major markets are in a waiting game with vols not monetizing yet implied holding up with US FOMC and the election this week. </li>
<li>Hang Seng Index (HSI INDEX) , Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) have elevated implied vols vs average historical observations for November.</li>
<li>November typically sees strong price performance, particularly in the 3rd week, leading to softer historic vols in that time frame. </li>
</ul>


Major markets are in a waiting game with vols not monetizing yet implied holding up with US FOMC and the election this week. 
Hang Seng Index (HSI INDEX) , Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) have elevated implied vols vs average historical observations for November.
November typically sees strong price performance, particularly in the 3rd week, leading to softer historic vols in that time frame. 


EQD | Asia November Vol Roadmap - The Waiting Game

China

China Construction Bank Corporation provides a comprehensive range of commercial banking products and services to individuals and corporate customers. The Bank's business consists of three principal business segments: corporate banking, personal banking, and treasury operations. China Construction Bank also services infrastructure loans, residential mortgage, and bank cards.

Price Gauge
52-week Range	0.00 - 0.00
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China Construction Bank H (939 HK)

Hang Seng Index (HSI) Rebalance: Innovent Biologics Turns a Profit, Gets Added

Innovent Bio is an add in Dec. Estimated one-way turnover is 2.3% and round-trip trade is HK$9.2bn. Innovent Bio has also been added to the HSCEI,...

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

Will Recent US Announcements Derail the HK/China Bull Market?

Reevaluating the bullish stance on HK-listed China stocks amid potential shifts in US/China relations and uncertainty about Trump's willingness to...

Rikki Malik

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

EQD | Asia November Vol Roadmap - The Waiting Game

Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

John Ley

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Hang Seng Index (HSI) Rebalance: Innovent Biologics Turns a Profit, Gets Added

Innovent Bio is an add in Dec. Estimated one-way turnover is 2.3% and round-trip trade is HK$9.2bn. Innovent Bio has also been added to the HSCEI,...

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

Will Recent US Announcements Derail the HK/China Bull Market?

​Reevaluating the bullish stance on HK-listed China stocks amid potential shifts in US/China relations and uncertainty about Trump's willingness to...

Rikki Malik

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

EQD | Asia November Vol Roadmap - The Waiting Game

​Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

John Ley

Reevaluating the bullish stance on HK-listed China stocks amid potential shifts in US/China relations and uncertainty about Trump's willingness to...

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

Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...