Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

Contemporary Amperex Technology / Equity Derivatives

Contemporary Amperex Technology (3750 HK)

<ul>
<li>
<a href="https://www.smartkarma.com/entities/contemporary-amperex-technology-catl-co-limited" target="_blank" data-smartkarma-citation="entities:45179:1" rel="noopener">Contemporary Amperex Technology (CATL) (3750 HK)</a> discounted H-share placement triggered a sharp drop, but the capital raise appears opportunistic rather than defensive, funding global expansion and zero-carbon initiatives.</li>
<li>CATL A-Share <a href="https://www.smartkarma.com/entities/contemporary-amperex-technolog" target="_blank" data-smartkarma-citation="entities:24404:1" rel="noopener">(300750 CH)</a> resilience suggests the H-share weakness may be largely placement-specific rather than a broader reassessment of CATL’s long-term outlook, leaving scope for a rebound from depressed levels.</li>
<li>Elevated, but not excessive, implied volatility supports a potential put-underwriting strategy for investors who expect limited further downside in the H-Shares and possible volatility normalisation.</li>
</ul>



Contemporary Amperex Technology (CATL) (3750 HK) discounted H-share placement triggered a sharp drop, but the capital raise appears opportunistic rather than defensive, funding global expansion and zero-carbon initiatives.
CATL A-Share (300750 CH) resilience suggests the H-share weakness may be largely placement-specific rather than a broader reassessment of CATL’s long-term outlook, leaving scope for a rebound from depressed levels.
Elevated, but not excessive, implied volatility supports a potential put-underwriting strategy for investors who expect limited further downside in the H-Shares and possible volatility normalisation.


CATL H-Share (3750 HK) Placement Dip Opens Put-Underwriting Setup

Founder-CEO & Chief Analyst, Real Estate Foresight

Robert Ciemniak

Founder-CEO & Chief Analyst

Real Estate Foresight

Since 2012, REF has been helping investors with market research, project due diligence, and strategy development. This has ranged from detailed assessments and estimates on distressed developers' project portfolios to market due diligence on specific projects to macro-level questions linked to demand for commodities. The unique combination of the housing markets and developer data from data partner China Index Academy in Beijing, primary research, and technology-powered alternative data collection from public sources result in a valuable content set used in REF analytics and reports.

Predictive Analytics for China Property

Macroeconomics

<p>Over the period February 28, 2016, to August 24, 2017, we monitored publicly available online English language 'Western' news headlines from around 10 major mainstream sources, for anything related to China. Around 14,000 headlines later, we've now applied word frequency analysis techniques to see what these headlines tell us about this past year and what's been gaining or losing coverage since the July update (for some technical/background details see a footnote below).</p><p>While this does not carry…</p>

Over the period February 28, 2016, to August 24, 2017, we monitored publicly available online English language 'Western' news headlines from around 10 major mainstream sources, for anything related to China. Around 14,000 headlines later, we've now applied word frequency analysis techniques to see what these headlines tell us about this past year and what's been gaining or losing coverage since the July update (for some technical/background details see a footnote below).While this does not carry…

Media Coverage /​ Sentiment On China - What Got Hot, What Faded (July-August 2017)

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

Shanghai Shenzhen CSI 300 Index / Index Rebalance

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

<ul>
<li>Over US$125bn has been redeemed from mainland China ETFs in the last quarter. Headline ETFs take the largest hit while there have been selective inflows to sector ETFs.</li>
<li>The large-scale redemptions point to Central Huijin as the likely source, and this gives them the firepower to support the market in the event of a selloff.</li>
<li>The pace of outflows has slowed in the last few weeks as markets have dropped. A decent chunk of money has gone into some sector ETFs recently.</li>
</ul>


Over US$125bn has been redeemed from mainland China ETFs in the last quarter. Headline ETFs take the largest hit while there have been selective inflows to sector ETFs.
The large-scale redemptions point to Central Huijin as the likely source, and this gives them the firepower to support the market in the event of a selloff.
The pace of outflows has slowed in the last few weeks as markets have dropped. A decent chunk of money has gone into some sector ETFs recently.


China ETF: Over US$125bn of Redemptions in Q1; Minimal Outflows Recently

Event-Driven

Broadex Technologies Co Ltd / Event-Driven

<ul>
<li>With the review period complete, we forecast 10 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index in December.</li>
<li>The largest flows will be in 2 stocks that are forecast adds for both indices. There are 14 stocks with over 0.5x ADV to trade from passive trackers.</li>
<li>The forecast adds outperformed the forecast deletes from June to August, but there has been significant underperformance since then. Outperformance could resume as positioning kicks in prior to announcement.</li>
</ul>


With the review period complete, we forecast 10 changes for the ChiNext Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in December.
The largest flows will be in 2 stocks that are forecast adds for both indices. There are 14 stocks with over 0.5x ADV to trade from passive trackers.
The forecast adds outperformed the forecast deletes from June to August, but there has been significant underperformance since then. Outperformance could resume as positioning kicks in prior to announcement.


ChiNext/​​​ChiNext50 Index Rebalance Preview: Maxing Out the Changes

Bluefocus Communication Group Co, Ltd. / Index Rebalance

Bluefocus Communication Group Co, Ltd. (300058 CH)

<ul>
<li>There are 8 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX EQUITY)</a> and 5 changes for the ChiNext 50 Index at the June rebalance.</li>
<li>We correctly forecast 7/8 and 8/8 for the Chinext Index adds/deletes and were 4/5 and 5/5 for the Chinext50 Index adds/deletes.</li>
<li>Based on the estimated passive tracking AUM, the round-trip trade across both indices is estimated to be CNY 9.55bn (US$1.33bn).</li>
</ul>


There are 8 changes for the ChiNext Index (SZ399006 INDEX EQUITY) and 5 changes for the ChiNext 50 Index at the June rebalance.
We correctly forecast 7/8 and 8/8 for the Chinext Index adds/deletes and were 4/5 and 5/5 for the Chinext50 Index adds/deletes.
Based on the estimated passive tracking AUM, the round-trip trade across both indices is estimated to be CNY 9.55bn (US$1.33bn).


ChiNext/​​ChiNext 50 Index Rebalance: US$1.3bn Round-Trip Trade

China

ChiNext is an independent market, offering a platform for the needs of enterprises engaged in independent innovation and other growing venture enterprises. The ChiNext board indices comprehensively and objectively reflect the overall price move of ChiNext board stocks. It is launched and released on 06/01/2010

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ChiNext Index (SZ399006 INDEX EQUITY)

Media Coverage / Sentiment On China - What Got Hot, What Faded (July-August 2017)

Over the period February 28, 2016, to August 24, 2017, we monitored publicly available online English language 'Western' news headlines from around...

Robert Ciemniak

China ETF: Over US$125bn of Redemptions in Q1; Minimal Outflows Recently

Over US$125bn has been redeemed from mainland China ETFs in the last quarter but the pace of outflows has slowed in the last few weeks as markets...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Maxing Out the Changes

There could be 10/5 changes for the Chinext/Chinext50 indices in Dec. Largest flows in the 2 stocks that are adds for both indices. Adds...

Brian Freitas

ChiNext/ChiNext 50 Index Rebalance: US$1.3bn Round-Trip Trade

There are 8 changes for the ChiNext Index and 5 changes for the ChiNext 50 Index at the June rebalance. The round-trip trade across both indices is...

Brian Freitas

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52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

CATL H-Share (3750 HK) Placement Dip Opens Put-Underwriting Setup

CATL H-shares (3750 HK) have rebounded from their post-placement lows but still trade below the pre-offering level. With IV still in the low 40s,...

Gaudenz Schneider

Media Coverage /​ Sentiment On China - What Got Hot, What Faded (July-August 2017)

Over the period February 28, 2016, to August 24, 2017, we monitored publicly available online English language 'Western' news headlines from around...

Robert Ciemniak

China ETF: Over US$125bn of Redemptions in Q1; Minimal Outflows Recently

Over US$125bn has been redeemed from mainland China ETFs in the last quarter but the pace of outflows has slowed in the last few weeks as markets...

Brian Freitas

ChiNext/​​​ChiNext50 Index Rebalance Preview: Maxing Out the Changes

There could be 10/5 changes for the Chinext/Chinext50 indices in Dec. Largest flows in the 2 stocks that are adds for both indices. Adds...

Brian Freitas

ChiNext/​​ChiNext 50 Index Rebalance: US$1.3bn Round-Trip Trade

There are 8 changes for the ChiNext Index and 5 changes for the ChiNext 50 Index at the June rebalance. The round-trip trade across both indices is...

Brian Freitas

Media Coverage / Sentiment On China - What Got Hot, What Faded (July-August 2017)

ChiNext/ChiNext50 Index Rebalance Preview: Maxing Out the Changes

ChiNext/ChiNext 50 Index Rebalance: US$1.3bn Round-Trip Trade