Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
Market Reaction: The announcement of US reciprocal tariffs led to significant declines in S&amp;P 500 (-3.5%) and Nasdaq-100 (-4.4%) futures, with the VIX spiking from 20.00 to 23.45.</li>
<li>
Impact on Australia: Australia faces a 10% tariff, with the overall economic impact expected to be limited.</li>
<li>
<a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> Response: The S&amp;P/ASX 200 dropped 2.1% in early trading, with its VIX index rising from 13.20 to 15.43. These are historically high but not extreme levels.</li>
</ul>



Market Reaction: The announcement of US reciprocal tariffs led to significant declines in S&amp;P 500 (-3.5%) and Nasdaq-100 (-4.4%) futures, with the VIX spiking from 20.00 to 23.45.

Impact on Australia: Australia faces a 10% tariff, with the overall economic impact expected to be limited.

S&amp;P/ASX 200 (AS51 INDEX) Response: The S&amp;P/ASX 200 dropped 2.1% in early trading, with its VIX index rising from 13.20 to 15.43. These are historically high but not extreme levels.


S&P/ASX 200 Volatility Rises: Market Down Amid US Tariffs and S&P 500 Futures Plunge

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 changes in short interest of ASX Stocks as of Mar 14th (reported today) which has an aggregated short interest worth USD22.5bn.</li>
<li>We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.</li>
<li>We highlight short interest changes in Lottery, Telstra, Sigma Pharmaceuticals.</li>
</ul>


We analyzed the changes in short interest of ASX Stocks as of Mar 14th (reported today) which has an aggregated short interest worth USD22.5bn.
We tabulate league table for top short by value and short as multiple of ADT, as well as weekly increases &amp; decreases in short value, short as multiple of ADT.
We highlight short interest changes in Lottery, Telstra, Sigma Pharmaceuticals.


ASX Short Interest Weekly (Mar 14th): Lottery, Telstra, Sigma Pharmaceuticals

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>At the upcoming AGM, <a href="https://www.smartkarma.com/entities/rio-tinto-ltd" target="_blank" data-smartkarma-citation="entities:13:1" rel="noopener">Rio Tinto Ltd</a> and <a href="https://www.smartkarma.com/entities/rio-tinto-plc" target="_blank" data-smartkarma-citation="entities:22114:1" rel="noopener">Rio Tinto PLC</a> shareholders will vote on the company commencing a review on the benefits vs costs of Unification.</li>
<li>Palliser Capital has been pushing for Unification while the Rio Tinto Board has recommended that shareholders vote against Resolution 21/24 citing tax costs among other reasons.</li>
<li>If the Unification completes, S&amp;P/ASX trackers will need to buy <a href="https://www.smartkarma.com/entities/rio-tinto-ltd" target="_blank" data-smartkarma-citation="entities:13:1" rel="noopener">Rio Tinto Ltd (RIO AU)</a> while <a href="https://www.smartkarma.com/entities/ftse-100-index-ukx" target="_blank" data-smartkarma-citation="entities:22904:1" rel="noopener">UKX Index (UKX INDEX)</a> trackers will sell <a href="https://www.smartkarma.com/entities/rio-tinto-plc" target="_blank" data-smartkarma-citation="entities:22114:1" rel="noopener">Rio Tinto PLC (RIO LN)</a>. Net positive.</li>
</ul>


At the upcoming AGM, Rio Tinto Ltd and Rio Tinto PLC shareholders will vote on the company commencing a review on the benefits vs costs of Unification.
Palliser Capital has been pushing for Unification while the Rio Tinto Board has recommended that shareholders vote against Resolution 21/24 citing tax costs among other reasons.
If the Unification completes, S&amp;P/ASX trackers will need to buy Rio Tinto Ltd (RIO AU) while UKX Index (UKX INDEX) trackers will sell Rio Tinto PLC (RIO LN). Net positive.


Rio Tinto (RIO AU/RIO LN): Unification Index Flows

Global Healthcare Analyst

Tina Banerjee

Thematic (Sector/Industry)

<ul>
<li>Hansoh Pharmaceutical announced that a new indication of Xinyue has been included in the Priority Review. Astellas Pharma announced positive update from the Phase 3 EV-302 clinical trial.</li>
<li>CSL has received EU approval for HAE drug, Andemry. Imugene announce more positive results from its Phase 1b trial of azer-cel, an allogenic therapy in relapsed/refractory diffuse large B-cell lymphoma.</li>
<li>LigaChem Bio signed technology transfer agreement for a new anticancer target antibody for the development of ADC candidates with Daan Biotherapeutics. Lupin received FDA approval for generic Atrovent Nasal Spray.</li>
</ul>


Hansoh Pharmaceutical announced that a new indication of Xinyue has been included in the Priority Review. Astellas Pharma announced positive update from the Phase 3 EV-302 clinical trial.
CSL has received EU approval for HAE drug, Andemry. Imugene announce more positive results from its Phase 1b trial of azer-cel, an allogenic therapy in relapsed/refractory diffuse large B-cell lymphoma.
LigaChem Bio signed technology transfer agreement for a new anticancer target antibody for the development of ADC candidates with Daan Biotherapeutics. Lupin received FDA approval for generic Atrovent Nasal Spray.


APAC Healthcare Weekly (Feb 16)- Hansoh Pharma, Astellas Pharma, CSL, Imugene, LigaChem Bio, Lupin

<ul>
<li>The Reserve Bank of Australia is set to announce its Monetary Policy on 18 February. The current RBA rate stands at 4.35% with no change since 2024. </li>
<li>The market is expecting a 0.25% rate cut. Options expiring on 20 February provide an instrument to trade this event. </li>
<li>Option pricing is in-line with historical <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> moves on days after expected rate changes. Contrarians expecting no change might find value in put options.</li>
</ul>


The Reserve Bank of Australia is set to announce its Monetary Policy on 18 February. The current RBA rate stands at 4.35% with no change since 2024. 
The market is expecting a 0.25% rate cut. Options expiring on 20 February provide an instrument to trade this event. 
Option pricing is in-line with historical S&amp;P/ASX 200 (AS51 INDEX) moves on days after expected rate changes. Contrarians expecting no change might find value in put options.


Eqd | S&P/ASX 200 (AS51 INDEX) - RBA Decision: Will the Anticipated Rate Cut Drive the Market?

United States

CSL Limited develops, manufactures, and markets human pharmaceutical and diagnostic products derived from human plasma. The Company provides products include pediatric and adult vaccines, infection, pain medicine, skin disorder remedies, antivenoms, anticoagulants, and immunoglobulins.

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CSL (CSL AT)

S&P/ASX 200 Volatility Rises: Market Down Amid US Tariffs and S&P 500 Futures Plunge

S&P/ASX 200 drops 2.1% in early trading, while volatility increases from 13.2% to above 15.0%. Implied volatility is elevated, but not extreme by a...

Gaudenz Schneider

ASX Short Interest Weekly (Mar 14th): Lottery, Telstra, Sigma Pharmaceuticals

We analyzed ASX short interest report for the past week and highlight short interest changes in Lottery, Telstra, Sigma Pharmaceuticals.

Ke Yan, CFA, FRM

Rio Tinto (RIO AU/RIO LN): Unification Index Flows

Palliser Capital is pushing for Unification of RIO AU/ RIO LN. We are still a long way away from possible completion. There will be big index flows...

Brian Freitas

APAC Healthcare Weekly (Feb 16)- Hansoh Pharma, Astellas Pharma, CSL, Imugene, LigaChem Bio, Lupin

APAC healthcare companies continued to get approvals for new products and initiates clinical trials. The companies continued with acquisitions and...

Tina Banerjee

Eqd | S&P/ASX 200 (AS51 INDEX) - RBA Decision: Will the Anticipated Rate Cut Drive the Market?

The RBA is expected to announce a 0.25% rate cut on 18 February, with options providing a trading opportunity for contrarians who believe there...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

S&P/ASX 200 Volatility Rises: Market Down Amid US Tariffs and S&P 500 Futures Plunge

S&P/ASX 200 drops 2.1% in early trading, while volatility increases from 13.2% to above 15.0%. Implied volatility is elevated, but not extreme by a...

Gaudenz Schneider

ASX Short Interest Weekly (Mar 14th): Lottery, Telstra, Sigma Pharmaceuticals

We analyzed ASX short interest report for the past week and highlight short interest changes in Lottery, Telstra, Sigma Pharmaceuticals.

Ke Yan, CFA, FRM

Rio Tinto (RIO AU/RIO LN): Unification Index Flows

Palliser Capital is pushing for Unification of RIO AU/ RIO LN. We are still a long way away from possible completion. There will be big index flows...

Brian Freitas

APAC Healthcare Weekly (Feb 16)- Hansoh Pharma, Astellas Pharma, CSL, Imugene, LigaChem Bio, Lupin

APAC healthcare companies continued to get approvals for new products and initiates clinical trials. The companies continued with acquisitions and...

Tina Banerjee

Eqd | S&P/ASX 200 (AS51 INDEX) - RBA Decision: Will the Anticipated Rate Cut Drive the Market?

​The RBA is expected to announce a 0.25% rate cut on 18 February, with options providing a trading opportunity for contrarians who believe there...

Gaudenz Schneider

The RBA is expected to announce a 0.25% rate cut on 18 February, with options providing a trading opportunity for contrarians who believe there...