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.

Equity Derivatives

<ul>
<li>Implied vols were lower across all sectors on the week with option volumes peaking on Friday.</li>
<li>Post-Earnings vol crush helped push vols lower for key names.</li>
<li>Tencent stands out with low implied vols over the past year, high liquidity and is trading almost 17% below its 52 week high.</li>
</ul>


Implied vols were lower across all sectors on the week with option volumes peaking on Friday.
Post-Earnings vol crush helped push vols lower for key names.
Tencent stands out with low implied vols over the past year, high liquidity and is trading almost 17% below its 52 week high.


EQD | Hong Kong Single Stock Options Weekly

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

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/kuaishou-technology" target="_blank" data-smartkarma-citation="entities:29725:1" rel="noopener">Kuaishou Technology (1024 HK)</a> and <a href="https://www.smartkarma.com/entities/new-oriental-education-techn" target="_blank" data-smartkarma-citation="entities:32210:1" rel="noopener">New Oriental Education (9901 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</a> in December while <a href="https://www.smartkarma.com/entities/new-world-development" target="_blank" data-smartkarma-citation="entities:7037:1" rel="noopener">New World Development (17 HK)</a> will be deleted.</li>
<li>Estimated one-way turnover is 2.7% and the estimated round-trip trade is HK$10.89bn (US$1.4bn) with over 1 day of ADV to trade in the adds and the delete.</li>
<li>The index committee has net added 1 stock 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</a> this year to go from 82 to 83 constituents. Reaching the 100-member target will drag into 2026.</li>
</ul>



Kuaishou Technology (1024 HK) and New Oriental Education (9901 HK) will be added to the Hang Seng Index in December while New World Development (17 HK) will be deleted.
Estimated one-way turnover is 2.7% and the estimated round-trip trade is HK$10.89bn (US$1.4bn) with over 1 day of ADV to trade in the adds and the delete.
The index committee has net added 1 stock to the Hang Seng Index this year to go from 82 to 83 constituents. Reaching the 100-member target will drag into 2026.


Hang Seng Index (HSI) Rebalance: Still Baby Steps to Get to 100 Members

Asia Pac IPO & Placement Research, China biotech, Aequitas Research

Ke Yan, CFA, FRM

Asia Pac IPO & Placement Research, China biotech

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Quantitative Analysis

<ul>
<li>We analyzed the latest HK SFC report for aggregate short position as of Nov 15th.</li>
<li>Top short increases and decreases were tabulated for one week and four week period. </li>
<li>We highlight short changes in Tencent, CCB, China Mobile, AIA.</li>
</ul>


We analyzed the latest HK SFC report for aggregate short position as of Nov 15th.
Top short increases and decreases were tabulated for one week and four week period. 
We highlight short changes in Tencent, CCB, China Mobile, AIA.


HK Short Interest Weekly: Tencent, CCB, China Mobile, AIA

Index Rebalance

PICC Property & Casualty H / Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/picc-property-casualty-h" target="_blank" data-smartkarma-citation="entities:350:1" rel="noopener">PICC Property &amp; Casualty H (2328 HK)</a> will replace <a href="https://www.smartkarma.com/entities/longfor-properties" target="_blank" data-smartkarma-citation="entities:8149:1" rel="noopener">Longfor Properties (960 HK)</a> in 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> at the close on 6 December.</li>
<li>Estimated one-way turnover is 2.68% resulting in a round-trip trade of HK$2.84bn (US$365m). The final capping will use the close of trading on 3 December.</li>
<li>There could be a move higher in <a href="https://www.smartkarma.com/entities/picc-property-casualty-h" target="_blank" data-smartkarma-citation="entities:350:1" rel="noopener">PICC Property &amp; Casualty</a> over the next few days while any selling in <a href="https://www.smartkarma.com/entities/longfor-properties" target="_blank" data-smartkarma-citation="entities:8149:1" rel="noopener">Longfor Properties</a> will be a covering opportunity for the shorts.</li>
</ul>



PICC Property &amp; Casualty H (2328 HK) will replace Longfor Properties (960 HK) in the Hang Seng China Enterprises Index (HSCEI INDEX) at the close on 6 December.
Estimated one-way turnover is 2.68% resulting in a round-trip trade of HK$2.84bn (US$365m). The final capping will use the close of trading on 3 December.
There could be a move higher in PICC Property &amp; Casualty over the next few days while any selling in Longfor Properties will be a covering opportunity for the shorts.


HSCEI Index Rebalance: PICC P&C (2328 HK) Replaces Longfor (960 HK)

Blue Lotus Research Institute

Andy Fu

China growth and global non-US Internet equities

Blue Lotus Research is a Hong Kong Type 4 Licensed investment advisory firm focusing on Chinese growth equities and global non-US Internet equities

Thematic (Sector/Industry)

<ul>
<li>Last week, China's RmbB12tn debt swap plan fall short of investors' expectations. The pattern of trying to control the release of stimulus and manage the expectations is obvious;</li>
<li>We notice that the government has injected more-than-required liquidity to the bank system. Such magnitude can only be explained by preparation for a long, drawn-out war; </li>
<li>MOF's injection to banks to beef up capital adequacy ratio likely indicates the amount of stimulus that is about to happen to reflate the balance sheets of the local governments.</li>
</ul>


Last week, China's RmbB12tn debt swap plan fall short of investors' expectations. The pattern of trying to control the release of stimulus and manage the expectations is obvious;
We notice that the government has injected more-than-required liquidity to the bank system. Such magnitude can only be explained by preparation for a long, drawn-out war; 
MOF's injection to banks to beef up capital adequacy ratio likely indicates the amount of stimulus that is about to happen to reflate the balance sheets of the local governments.


China Has Stockpiled Arsenals to Meet Trump's Tariff War

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
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

China Construction Bank H (939 HK)

EQD | Hong Kong Single Stock Options Weekly

Post-earnings vol crush the main contributor to decreased vols for key names. Tencent stands out for low implied vols, high liquidity while trading...

John Ley

Hang Seng Index (HSI) Rebalance: Still Baby Steps to Get to 100 Members

Kuaishou and New Oriental Ed are adds and NWD is a delete. Positioning is generally low and the stocks could move in the short-term before relative...

Brian Freitas

HK Short Interest Weekly: Tencent, CCB, China Mobile, AIA

We analyzed the latest HK SFC report for aggregate short position as of Nov 15th and highlight short interest changes in Tencent, CCB, China...

Ke Yan, CFA, FRM

HSCEI Index Rebalance: PICC P&C (2328 HK) Replaces Longfor (960 HK)

PICC P&C will replace Longfor Properties HSCEI at the close on 6 Dec. Estimated 1-way turnover is 2.68% resulting in a round-trip trade of...

Brian Freitas

China Has Stockpiled Arsenals to Meet Trump's Tariff War

China's government debt swap plan disappoints investors, but more stimulus is likely as we read from the more-than-adequate capital adequacy...

Blue Lotus Research Institute

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD | Hong Kong Single Stock Options Weekly

Post-earnings vol crush the main contributor to decreased vols for key names. Tencent stands out for low implied vols, high liquidity while trading...

John Ley

Hang Seng Index (HSI) Rebalance: Still Baby Steps to Get to 100 Members

Kuaishou and New Oriental Ed are adds and NWD is a delete. Positioning is generally low and the stocks could move in the short-term before relative...

Brian Freitas

HK Short Interest Weekly: Tencent, CCB, China Mobile, AIA

We analyzed the latest HK SFC report for aggregate short position as of Nov 15th and highlight short interest changes in Tencent, CCB, China...

Ke Yan, CFA, FRM

HSCEI Index Rebalance: PICC P&C (2328 HK) Replaces Longfor (960 HK)

PICC P&C will replace Longfor Properties HSCEI at the close on 6 Dec. Estimated 1-way turnover is 2.68% resulting in a round-trip trade of...

Brian Freitas

China Has Stockpiled Arsenals to Meet Trump's Tariff War

​China's government debt swap plan disappoints investors, but more stimulus is likely as we read from the more-than-adequate capital adequacy...

Blue Lotus Research Institute

China's government debt swap plan disappoints investors, but more stimulus is likely as we read from the more-than-adequate capital adequacy...