Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

Hang Seng China Enterprises Index / Event-Driven

<ul>
<li>Several US tariffs are expected in March, but their implementation remains uncertain and is part of ongoing negotiations.</li>
<li>Central banks in India, Japan, and the US will announce rate decisions in March, with India possibly cutting rates by 0.25%.</li>
<li>Major HK stocks are set to announce earnings in March, and index changes will occur in the S&amp;P 500, Nifty 50, S&amp;P/ASX 200, and HSCEI indices.</li>
</ul>


Several US tariffs are expected in March, but their implementation remains uncertain and is part of ongoing negotiations.
Central banks in India, Japan, and the US will announce rate decisions in March, with India possibly cutting rates by 0.25%.
Major HK stocks are set to announce earnings in March, and index changes will occur in the S&amp;P 500, Nifty 50, S&amp;P/ASX 200, and HSCEI indices.


March Key Events in Asia-Pac: Tariffs, Rates, Earnings, and Indices in Focus

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

Hang Seng China Enterprises Index / Equity Derivatives

<ul>
<li>HSCEI sets a new 52-week high, helped in part by the large earnings related move from Alibaba to finish the week.</li>
<li>Implied vol struggling to keep up with the rally in spot, dropping 3 points despite Friday’s furious rally.</li>
<li>We show how the relationship between spot and vol over the past month has not been the norm compared to the previous year’s activity.</li>
</ul>


HSCEI sets a new 52-week high, helped in part by the large earnings related move from Alibaba to finish the week.
Implied vol struggling to keep up with the rally in spot, dropping 3 points despite Friday’s furious rally.
We show how the relationship between spot and vol over the past month has not been the norm compared to the previous year’s activity.


HSCEI Index Options Weekly (Feb 17-21): Implied Vol Weak Despite Rally

<ul>
<li>HSCEI sets new 52-week high by a hair. Rally over the last 10 days ranks in the 97th percentile since 2000.</li>
<li>Spot and implied maintain a positive correlation which will see implieds come off should this rally reverse course. </li>
<li>We recommend two trades for those looking to tactically lighten positions into the rally.</li>
</ul>


HSCEI sets new 52-week high by a hair. Rally over the last 10 days ranks in the 97th percentile since 2000.
Spot and implied maintain a positive correlation which will see implieds come off should this rally reverse course. 
We recommend two trades for those looking to tactically lighten positions into the rally.


EQD| HSCEI Index Options Weekly (Feb 10-14): Tactical Hedges for an Extended Rally

<ul>
<li>Big rally for HSCEI, rising 5.44% which puts the move at the 92nd percentile for all weekly moves since 2000.</li>
<li>Implied vols appear to have hit a wall and may find short-term gains on a continued rally difficult from this point.</li>
<li>We expect implied vol to be more sensitive to lower moves in spot from here and will struggle to rise from here. </li>
</ul>


Big rally for HSCEI, rising 5.44% which puts the move at the 92nd percentile for all weekly moves since 2000.
Implied vols appear to have hit a wall and may find short-term gains on a continued rally difficult from this point.
We expect implied vol to be more sensitive to lower moves in spot from here and will struggle to rise from here. 


EQD | HSCEI Index Options Weekly (Feb 02-07): 92nd Percentile 1-Week Move

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

China

The Hang Seng China Enterprises Index is a free-float capitalization-weighted index comprised of H-Shares listed on the Hong Kong Stock Exchange and included in the Hang Seng Mainland Composite Index. The base value of this index is 2000 as of Jan 3, 2000. This index replaced the old HSCE index on Oct. 3, 2001.

Hang Seng China Enterprises Index (HSCEI INDEX)

Hang Seng China Enterprises Index (HSCEI INDEX)

March Key Events in Asia-Pac: Tariffs, Rates, Earnings, and Indices in Focus

March will be a busy month with US tariffs, central bank rate decisions, major HK stock earnings, and index changes on the horizon.

Gaudenz Schneider

HSCEI Index Options Weekly (Feb 17-21): Implied Vol Weak Despite Rally

HSCEI hits new high with Alibaba inspired rally on Friday but implied vol lags behind spot rally for the first time in the last 3 week.

John Ley

EQD| HSCEI Index Options Weekly (Feb 10-14): Tactical Hedges for an Extended Rally

HSCEI hits new 52-week high, but implied volatility may decrease if rally reverses; two trades recommended to lighten positions.

John Ley

EQD | HSCEI Index Options Weekly (Feb 02-07): 92nd Percentile 1-Week Move

HSCEI had a big rally, but implied vols may struggle to see short-term gains as they may have hit a wall and will be more sensitive to lower spot...

John Ley

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

March Key Events in Asia-Pac: Tariffs, Rates, Earnings, and Indices in Focus

​March will be a busy month with US tariffs, central bank rate decisions, major HK stock earnings, and index changes on the horizon.

Gaudenz Schneider

HSCEI Index Options Weekly (Feb 17-21): Implied Vol Weak Despite Rally

​HSCEI hits new high with Alibaba inspired rally on Friday but implied vol lags behind spot rally for the first time in the last 3 week.

John Ley

EQD| HSCEI Index Options Weekly (Feb 10-14): Tactical Hedges for an Extended Rally

​HSCEI hits new 52-week high, but implied volatility may decrease if rally reverses; two trades recommended to lighten positions.

John Ley

EQD | HSCEI Index Options Weekly (Feb 02-07): 92nd Percentile 1-Week Move

​HSCEI had a big rally, but implied vols may struggle to see short-term gains as they may have hit a wall and will be more sensitive to lower spot...

John Ley

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

March will be a busy month with US tariffs, central bank rate decisions, major HK stock earnings, and index changes on the horizon.

HSCEI hits new high with Alibaba inspired rally on Friday but implied vol lags behind spot rally for the first time in the last 3 week.

HSCEI hits new 52-week high, but implied volatility may decrease if rally reverses; two trades recommended to lighten positions.

HSCEI had a big rally, but implied vols may struggle to see short-term gains as they may have hit a wall and will be more sensitive to lower spot...