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>We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.</li>
<li>India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.</li>
<li>A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.</li>
</ul>


We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.
India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.
A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.


Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/jd-com-inc" target="_blank" data-smartkarma-citation="entities:29043:1" rel="noopener">JD.com (9618 HK)</a> Q4 2024 earnings significantly exceeded analyst expectations with revenue reaching RMB 347 billion (13.4% YoY increase).</li>
<li>The stock experienced a volatile two-day reaction, rising 8.4% on March 6 followed by a 5.0% decline on March 7, resulting in a net gain of 3.03%.</li>
<li>Options strategies including straddles, strangles, and call calendar spreads were actively traded ahead of earnings with potential intraday profitability. Longer dated implied volatility decreased following the announcement.</li>
</ul>



JD.com (9618 HK) Q4 2024 earnings significantly exceeded analyst expectations with revenue reaching RMB 347 billion (13.4% YoY increase).
The stock experienced a volatile two-day reaction, rising 8.4% on March 6 followed by a 5.0% decline on March 7, resulting in a net gain of 3.03%.
Options strategies including straddles, strangles, and call calendar spreads were actively traded ahead of earnings with potential intraday profitability. Longer dated implied volatility decreased following the announcement.


JD.com (9618 HK) FY Earnings Recap: Intra-Day Swing of 7.3%.

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>
US steel and aluminum tariffs (effective 12 March US time) will take effect on March 13 across the Asia-Pacific region. Volatility can be expected in Japan, South Korea, India, China.</li>
<li>Major quarterly derivatives expirations will occur on March 13 in Japan (Nikkei 225, TOPIX, Stocks), South Korea (KOSPI 200, KOSDAQ 150, Stocks), and India (BSE Stock Futures and Options).</li>
<li>Earnings announcements for <a href="https://www.smartkarma.com/entities/aia-group-ltd" target="_blank" data-smartkarma-citation="entities:14895:1" rel="noopener">AIA Group (1299 HK)</a> and <a href="https://www.smartkarma.com/entities/li-auto-inc-3dbe6187-544f-40dd-b9f9-72fba9c0110e" target="_blank" data-smartkarma-citation="entities:33811:1" rel="noopener">Li Auto (2015 HK/LI US)</a> are scheduled for March 14, while India's markets will be closed that day for the Holi holiday.</li>
</ul>



US steel and aluminum tariffs (effective 12 March US time) will take effect on March 13 across the Asia-Pacific region. Volatility can be expected in Japan, South Korea, India, China.
Major quarterly derivatives expirations will occur on March 13 in Japan (Nikkei 225, TOPIX, Stocks), South Korea (KOSPI 200, KOSDAQ 150, Stocks), and India (BSE Stock Futures and Options).
Earnings announcements for AIA Group (1299 HK) and Li Auto (2015 HK/LI US) are scheduled for March 14, while India's markets will be closed that day for the Holi holiday.


<ul>
<li>While <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 Group Holding (9988 HK)</a> rallied, lower in-the-money calls were closed, realizing gains, while higher out-of-the-money strikes gained popularity.</li>
<li>The median strike price lagged the sharp increase in stock price. The median strike currently stands at 107.50.</li>
<li>With 81% of March calls currently in-the-money and higher strikes trading at premium implied volatility, active trading is expected in the 150-170 strike range.</li>
</ul>


While Alibaba Group Holding (9988 HK) rallied, lower in-the-money calls were closed, realizing gains, while higher out-of-the-money strikes gained popularity.
The median strike price lagged the sharp increase in stock price. The median strike currently stands at 107.50.
With 81% of March calls currently in-the-money and higher strikes trading at premium implied volatility, active trading is expected in the 150-170 strike range.


Alibaba (9988 HK): Trends in CALL Strikes and Open Interest Visualized in Animation and Charts

<ul>
<li>As <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 Group Holding (9988 HK)</a> rallied, put strike distribution remained largely unchanged with median strikes only rising from 80 to 85, pushing protection increasingly deep out-of-the-money.</li>
<li>With most puts now deep out-of-the-money, active trading is expected in the 120-140 strike range.</li>
<li>The deep out-of-the-money put strikes trade at a significant premium to at the money implied volatility. The 130 strikes trade below, offering an opportunity for an effective hedge.</li>
</ul>


As Alibaba Group Holding (9988 HK) rallied, put strike distribution remained largely unchanged with median strikes only rising from 80 to 85, pushing protection increasingly deep out-of-the-money.
With most puts now deep out-of-the-money, active trading is expected in the 120-140 strike range.
The deep out-of-the-money put strikes trade at a significant premium to at the money implied volatility. The 130 strikes trade below, offering an opportunity for an effective hedge.


Alibaba (9988 HK): Trends in PUT Strikes and Open Interest Visualized in Animation and Charts

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)

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

JD.com (9618 HK) FY Earnings Recap: Intra-Day Swing of 7.3%.

JD.com's Q4 earnings beat expectations, causing stock volatility and resulting in a net gain of only 3.0% over two days. Options strategies were...

Gaudenz Schneider

The Week Ahead in Options - 10 March

US steel and aluminum tariffs to impact Asia-Pacific markets on March 13. Quarterly derivatives expirations in Japan, South Korea, and India....

Gaudenz Schneider

Alibaba (9988 HK): Trends in CALL Strikes and Open Interest Visualized in Animation and Charts

Alibaba stock rally prompts closure of lower in-the-money calls, while higher out-of-the-money strikes gain popularity. Active trading expected in...

Gaudenz Schneider

Alibaba (9988 HK): Trends in PUT Strikes and Open Interest Visualized in Animation and Charts

Alibaba's rally pushes put strikes deep out-of-the-money, creating opportunities in the 120-140 range for effective hedging.

Gaudenz Schneider

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

JD.com (9618 HK) FY Earnings Recap: Intra-Day Swing of 7.3%.

​JD.com's Q4 earnings beat expectations, causing stock volatility and resulting in a net gain of only 3.0% over two days. Options strategies were...

Gaudenz Schneider

The Week Ahead in Options - 10 March

​US steel and aluminum tariffs to impact Asia-Pacific markets on March 13. Quarterly derivatives expirations in Japan, South Korea, and India....

Gaudenz Schneider

Alibaba (9988 HK): Trends in CALL Strikes and Open Interest Visualized in Animation and Charts

​Alibaba stock rally prompts closure of lower in-the-money calls, while higher out-of-the-money strikes gain popularity. Active trading expected in...

Gaudenz Schneider

Alibaba (9988 HK): Trends in PUT Strikes and Open Interest Visualized in Animation and Charts

​Alibaba's rally pushes put strikes deep out-of-the-money, creating opportunities in the 120-140 range for effective hedging.

Gaudenz Schneider

JD.com's Q4 earnings beat expectations, causing stock volatility and resulting in a net gain of only 3.0% over two days. Options strategies were...

US steel and aluminum tariffs to impact Asia-Pacific markets on March 13. Quarterly derivatives expirations in Japan, South Korea, and India....

Alibaba stock rally prompts closure of lower in-the-money calls, while higher out-of-the-money strikes gain popularity. Active trading expected in...

Alibaba's rally pushes put strikes deep out-of-the-money, creating opportunities in the 120-140 range for effective hedging.