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>
<a href="https://www.smartkarma.com/entities/mixue-group" target="_blank" data-smartkarma-citation="entities:40623:1" rel="noopener">Mixue Group (MIX HK)</a> has priced its IPO at HK$202.5/share and will raise up to HK$3.97bn (US$511m) if the oversubscription option is exercised, valuing the company at HK$76.35bn (US$9.8bn).</li>
<li>Despite a US$10bn market cap, the stock will find it difficult to be added to global and local indices since 60% of the shares are unlisted.</li>
<li>The stock is likely to remain in the shadows for one global index and could be added to the other in December. HSCI inclusion could take place in September.</li>
</ul>



Mixue Group (MIX HK) has priced its IPO at HK$202.5/share and will raise up to HK$3.97bn (US$511m) if the oversubscription option is exercised, valuing the company at HK$76.35bn (US$9.8bn).
Despite a US$10bn market cap, the stock will find it difficult to be added to global and local indices since 60% of the shares are unlisted.
The stock is likely to remain in the shadows for one global index and could be added to the other in December. HSCI inclusion could take place in September.


MIXUE Group (2097 HK) IPO: Small Float to Keep Stock Out of Most Indices

ZhongAn Online P&C Insurance C / Index Rebalance

<ul>
<li>As expected, <a href="https://www.smartkarma.com/entities/horizon-robotics-inc" target="_blank" data-smartkarma-citation="entities:35637:1" rel="noopener">Horizon Robotics (9660 HK)</a> replaces <a href="https://www.smartkarma.com/entities/east-buy-holding-ltd" target="_blank" data-smartkarma-citation="entities:27796:1" rel="noopener">East Buy Holding (1797 HK)</a> in the <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index (HSTECH INDEX)</a> in March.</li>
<li>In a surprise, <a href="https://www.smartkarma.com/entities/tencent-music-entertainment-group" target="_blank" data-smartkarma-citation="entities:36601:1" rel="noopener">Tencent Music Entertainment Group (1698 HK)</a> will be added and <a href="https://www.smartkarma.com/entities/zhongan-online-p-c-insurance-c" target="_blank" data-smartkarma-citation="entities:23681:1" rel="noopener">ZhongAn Online P&amp;C Insurance C (6060 HK)</a> will be deleted.</li>
<li>
<a href="https://www.smartkarma.com/entities/horizon-robotics-inc" target="_blank" data-smartkarma-citation="entities:35637:1" rel="noopener">Horizon Robotics (9660 HK)</a> is also an inclusion to the HSIII Index and HSCI Index and will be added to Southbound Stock Connect in May.</li>
</ul>


As expected, Horizon Robotics (9660 HK) replaces East Buy Holding (1797 HK) in the Hang Seng TECH Index (HSTECH INDEX) in March.
In a surprise, Tencent Music Entertainment Group (1698 HK) will be added and ZhongAn Online P&amp;C Insurance C (6060 HK) will be deleted.

Horizon Robotics (9660 HK) is also an inclusion to the HSIII Index and HSCI Index and will be added to Southbound Stock Connect in May.


HSTECH Index Rebalance: Horizon Robotics, Tencent Music Replace East Buy, ZA Online; US$2.3bn Trade

<ul>
<li>
<a href="https://www.smartkarma.com/entities/beigene-ltd" target="_blank" data-smartkarma-citation="entities:27352:1" rel="noopener">BeiGene (6160 HK)</a> and <a href="https://www.smartkarma.com/entities/zto-express-cayman-inc" target="_blank" data-smartkarma-citation="entities:33488:1" rel="noopener">ZTO Express Cayman (2057 HK)</a> will replace <a href="https://www.smartkarma.com/entities/sino-biopharmaceutical" target="_blank" data-smartkarma-citation="entities:230:1" rel="noopener">Sino Biopharmaceutical (1177 HK)</a> and <a href="https://www.smartkarma.com/entities/li-ning-co-ltd" target="_blank" data-smartkarma-citation="entities:6047:1" rel="noopener">Li Ning (2331 HK)</a> in the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI INDEX</a> at the close on 7 March.</li>
<li>Estimated one-way turnover at the rebalance is 5% resulting in a round-trip trade of HK$6.4bn (US$825m). The final capping will use the close of trading on 4 March.</li>
<li>
<a href="https://www.smartkarma.com/entities/zto-express-cayman-inc" target="_blank" data-smartkarma-citation="entities:33488:1" rel="noopener">ZTO Express Cayman (2057 HK)</a> is also an inclusion to a global index with implementation scheduled for the close on 21 March.</li>
</ul>



BeiGene (6160 HK) and ZTO Express Cayman (2057 HK) will replace Sino Biopharmaceutical (1177 HK) and Li Ning (2331 HK) in the HSCEI INDEX at the close on 7 March.
Estimated one-way turnover at the rebalance is 5% resulting in a round-trip trade of HK$6.4bn (US$825m). The final capping will use the close of trading on 4 March.

ZTO Express Cayman (2057 HK) is also an inclusion to a global index with implementation scheduled for the close on 21 March.


HSCEI Index Rebalance: Beigene, ZTO Replace Sino Biopharma, Li Ning; Surprise for Some

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>This Insight analyses <a href="https://www.smartkarma.com/entities/xiaomi-corp" target="_blank" data-smartkarma-citation="entities:24409:1" rel="noopener">Xiaomi Corp (1810 HK)</a> tailor-made option strategies traded over the last five trading days on the Hong Kong Exchange. Strategy highlights and volatility context are provided.</li>
<li>These traders tailor structures to risk budgets and take calculated bets. Strategies are mostly bullish, and exclusively long volatility despite implied volatility in its 98th percentile.</li>
<li>Call spreads can indicate where bullish traders expect the rally, driven by its own momentum, to peak. One trade suggests a ceiling of 70 by mid-year. </li>
</ul>


This Insight analyses Xiaomi Corp (1810 HK) tailor-made option strategies traded over the last five trading days on the Hong Kong Exchange. Strategy highlights and volatility context are provided.
These traders tailor structures to risk budgets and take calculated bets. Strategies are mostly bullish, and exclusively long volatility despite implied volatility in its 98th percentile.
Call spreads can indicate where bullish traders expect the rally, driven by its own momentum, to peak. One trade suggests a ceiling of 70 by mid-year. 


Xiaomi (1810 HK) - Riding the Wave. How Option Traders Navigate. Top Trades Analyzed.

<ul>
<li>We continue to be led down the garden path - no constituent changes for 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> in March means we remain at 83 members.</li>
<li>Despite having an opportunity to add stocks to the index without increasing turnover, the index committee have done nothing. Which begs the question - what exactly are they waiting for?</li>
<li>Float and capping changes result in an estimated one-way turnover of 3.8% and the resulting round-trip trade is HK$16.7bn (US$2.15bn).</li>
</ul>


We continue to be led down the garden path - no constituent changes for the Hang Seng Index (HSI INDEX) in March means we remain at 83 members.
Despite having an opportunity to add stocks to the index without increasing turnover, the index committee have done nothing. Which begs the question - what exactly are they waiting for?
Float and capping changes result in an estimated one-way turnover of 3.8% and the resulting round-trip trade is HK$16.7bn (US$2.15bn).


Hang Seng Index (HSI) Rebalance: Does Anyone Know What the Index Committee Is Thinking?

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)

MIXUE Group (2097 HK) IPO: Small Float to Keep Stock Out of Most Indices

MIXUE is looking to raise up to US$511m in its IPO. Large allocation to cornerstone investors and more than half the market cap in unlisted shares...

Brian Freitas

HSTECH Index Rebalance: Horizon Robotics, Tencent Music Replace East Buy, ZA Online; US$2.3bn Trade

Horizon Robotics and TME replace East Buy and Za Online. Estimated one-way turnover at the rebalance is 5.6% resulting in a round-trip trade of...

Brian Freitas

HSCEI Index Rebalance: Beigene, ZTO Replace Sino Biopharma, Li Ning; Surprise for Some

Beigene and ZTO Express replace Li Ning and Sino Biopharma in the index. Yum China misses out, so Sunny Optical stays in the index. ZTO Express is...

Brian Freitas

Xiaomi (1810 HK) - Riding the Wave. How Option Traders Navigate. Top Trades Analyzed.

Analysis of Xiaomi Corp's option strategies on HK Exchange shows bullish traders taking calculated bets despite high volatility, with call spreads...

Gaudenz Schneider

Hang Seng Index (HSI) Rebalance: Does Anyone Know What the Index Committee Is Thinking?

Another opportunity missed to increase the number of index constituents and decrease the Healthcare underweight with minimal change to index...

Brian Freitas

MIXUE Group (2097 HK) IPO: Small Float to Keep Stock Out of Most Indices

MIXUE is looking to raise up to US$511m in its IPO. Large allocation to cornerstone investors and more than half the market cap in unlisted shares...

Brian Freitas

HSTECH Index Rebalance: Horizon Robotics, Tencent Music Replace East Buy, ZA Online; US$2.3bn Trade

Horizon Robotics and TME replace East Buy and Za Online. Estimated one-way turnover at the rebalance is 5.6% resulting in a round-trip trade of...

Brian Freitas

HSCEI Index Rebalance: Beigene, ZTO Replace Sino Biopharma, Li Ning; Surprise for Some

Beigene and ZTO Express replace Li Ning and Sino Biopharma in the index. Yum China misses out, so Sunny Optical stays in the index. ZTO Express is...

Brian Freitas

Xiaomi (1810 HK) - Riding the Wave. How Option Traders Navigate. Top Trades Analyzed.

​Analysis of Xiaomi Corp's option strategies on HK Exchange shows bullish traders taking calculated bets despite high volatility, with call spreads...

Gaudenz Schneider

Hang Seng Index (HSI) Rebalance: Does Anyone Know What the Index Committee Is Thinking?

Another opportunity missed to increase the number of index constituents and decrease the Healthcare underweight with minimal change to index...

Brian Freitas

Analysis of Xiaomi Corp's option strategies on HK Exchange shows bullish traders taking calculated bets despite high volatility, with call spreads...