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

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>Nearly 90% through the review period, we see 6 potential adds and 5 potential deletes in June. However, there can be a maximum of 5 changes at a rebalance.</li>
<li>We estimate a one-way turnover of 5.07% at the June rebalance leading to a one-way trade of CNY 3.97bn. Index arb activity could add to the impact on the stocks.</li>
<li>The potential adds have outperformed the potential deletes by 17% over the last month and by 21% over the last two months.</li>
</ul>


Nearly 90% through the review period, we see 6 potential adds and 5 potential deletes in June. However, there can be a maximum of 5 changes at a rebalance.
We estimate a one-way turnover of 5.07% at the June rebalance leading to a one-way trade of CNY 3.97bn. Index arb activity could add to the impact on the stocks.
The potential adds have outperformed the potential deletes by 17% over the last month and by 21% over the last two months.


SSE50 Index Rebalance Preview: BIG Outperformance Over the Last Month

Co-Founder & CEO, Newmark Risk

Nicholas Pezolano

Co-Founder & CEO

Option analytics for institutional investors

Newmark Risk

Fin-tech company focused on providing option derived analytics for institutional investors.

We handle the complexity of options data so you don't have to.

- Data and Analytics available all in one place so you can focus on Strategy Development
- Custom Solutions for your data and/or portfolio needs
- Advisory services to lend our expertise

Knowledge is something that was meant to be shared and we provide insights to our clients and to the community via posting about our research findings.

Citic Securities (H) / Equity Derivatives

<ul>
<li>Top Hong Kong Stock Exchange listed covered call candidates for the month of December.</li>
<li>The top 10 provide an average ~6.9% premium with a potential ~8.4% upside P&amp;L if exercised.</li>
<li>Investors with a neutral 1-month view on the underlying can seek to generate income.</li>
</ul>


Top Hong Kong Stock Exchange listed covered call candidates for the month of December.
The top 10 provide an average ~6.9% premium with a potential ~8.4% upside P&amp;L if exercised.
Investors with a neutral 1-month view on the underlying can seek to generate income.


Hong Kong December 2025 Monthly Covered Call Report

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 analyze the monthly Hong Kong Connect flows with our data engine.</li>
<li>We tabulate the top stocks by inflows, outflows, and holding by mainland investors.</li>
<li>We highlight flows of Alibaba, Xiaomi, HSTECH ETF, CNOOC, ICBC.</li>
</ul>


We analyze the monthly Hong Kong Connect flows with our data engine.
We tabulate the top stocks by inflows, outflows, and holding by mainland investors.
We highlight flows of Alibaba, Xiaomi, HSTECH ETF, CNOOC, ICBC.


Hong Kong Connect Flows (November): Alibaba, Xiaomi

<ul>
<li>We analyse the changes of A-H premium on 160 stocks over the last week. The average A-H premium was 62.9% as of Nov 28th.</li>
<li>The average A-H premium changed by -0.9ppt week-on-week, led by industrials, energy and offset by real estate, information technology, communication services.</li>
<li>We highlight weekly changes in A-H premium for Guangzhou Automobile, China Everbright Bank, China Southern Airlines, Cig Shanghai.</li>
</ul>


We analyse the changes of A-H premium on 160 stocks over the last week. The average A-H premium was 62.9% as of Nov 28th.
The average A-H premium changed by -0.9ppt week-on-week, led by industrials, energy and offset by real estate, information technology, communication services.
We highlight weekly changes in A-H premium for Guangzhou Automobile, China Everbright Bank, China Southern Airlines, Cig Shanghai.


A-H Premium Weekly (Nov 28th): Guangzhou Automobile, China Everbright Bank, China Southern Airlines

China

Guangzhou Automobile Group Company, Ltd. manufactures, sells, and services automobiles. The Company is also involved in automobile parts and components, and auto finance and related services for both overseas and domestic markets.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
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Guangzhou Automobile Group (2238 HK)

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

SSE50 Index Rebalance Preview: BIG Outperformance Over the Last Month

There could be 5 changes for the SSE50 in June. Estimate one-way turnover is 5.07% and the one-way trade is CNY 3.97bn. The potential adds have...

Brian Freitas

Hong Kong December 2025 Monthly Covered Call Report

December's top covered call candidates on the Hong Kong Stock Exchange offer a 6.9% premium and potential 8.4% upside if exercised, allowing...

Nicholas Pezolano

Hong Kong Connect Flows (November): Alibaba, Xiaomi

We estimate inflows into Hong Kong stocks via Southbound connect scheme amount to USD 17.7 bn in November. Inflows were led by Alibaba, Xiaomi,...

Ke Yan, CFA, FRM

A-H Premium Weekly (Nov 28th): Guangzhou Automobile, China Everbright Bank, China Southern Airlines

We analyzed A-H premium changes in the past week and highlight A-H premium changes for Guangzhou Automobile, China Everbright Bank, China Southern...

Ke Yan, CFA, FRM

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

SSE50 Index Rebalance Preview: BIG Outperformance Over the Last Month

There could be 5 changes for the SSE50 in June. Estimate one-way turnover is 5.07% and the one-way trade is CNY 3.97bn. The potential adds have...

Brian Freitas

Hong Kong December 2025 Monthly Covered Call Report

​December's top covered call candidates on the Hong Kong Stock Exchange offer a 6.9% premium and potential 8.4% upside if exercised, allowing...

Nicholas Pezolano

Hong Kong Connect Flows (November): Alibaba, Xiaomi

We estimate inflows into Hong Kong stocks via Southbound connect scheme amount to USD 17.7 bn in November. Inflows were led by Alibaba, Xiaomi,...

Ke Yan, CFA, FRM

A-H Premium Weekly (Nov 28th): Guangzhou Automobile, China Everbright Bank, China Southern Airlines

We analyzed A-H premium changes in the past week and highlight A-H premium changes for Guangzhou Automobile, China Everbright Bank, China Southern...

Ke Yan, CFA, FRM

December's top covered call candidates on the Hong Kong Stock Exchange offer a 6.9% premium and potential 8.4% upside if exercised, allowing...