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

Pop Mart International Group L / Index Rebalance

<ul>
<li>The review period for the June rebalance of the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a> ended on 31 March, the results will be announced on 16 May and will be implemented on 6 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/pop-mart-international-group-l" target="_blank" data-smartkarma-citation="entities:29016:1" rel="noopener">Pop Mart International Group L (9992 HK)</a> could be added to the index while <a href="https://www.smartkarma.com/entities/sunny-optical-technology-group" target="_blank" data-smartkarma-citation="entities:13363:1" rel="noopener">Sunny Optical Technology Group (2382 HK)</a> could be deleted from the index.</li>
<li>There are other stocks with big flows due to a change in the FreeFloat-Adjusted Factor (FAF) methodology for Secondary Listings that will be implemented from the rebalance in June.</li>
</ul>


The review period for the June rebalance of the HSCEI ended on 31 March, the results will be announced on 16 May and will be implemented on 6 June.

Pop Mart International Group L (9992 HK) could be added to the index while Sunny Optical Technology Group (2382 HK) could be deleted from the index.
There are other stocks with big flows due to a change in the FreeFloat-Adjusted Factor (FAF) methodology for Secondary Listings that will be implemented from the rebalance in June.


HSCEI Index Rebalance Preview: Pop Mart (9992 HK) Could Replace Sunny Optical (2382 HK)

<ul>
<li>
<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> was deleted from 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</a> in March and could be deleted from the <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KraneShares CSI China Internet ETF (KWEB US)</a> in June.</li>
<li>There are other ETFs that track the same index (and similar indices), and those trackers will be selling <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> too.</li>
<li>There has been some short covering in the stock recently, but short interest is pretty high as a percentage of float. Watch out for short covering that offsets passive selling.</li>
</ul>



East Buy Holding (1797 HK) was deleted from the Hang Seng TECH Index in March and could be deleted from the KraneShares CSI China Internet ETF (KWEB US) in June.
There are other ETFs that track the same index (and similar indices), and those trackers will be selling East Buy Holding (1797 HK) too.
There has been some short covering in the stock recently, but short interest is pretty high as a percentage of float. Watch out for short covering that offsets passive selling.


East Buy Holdings (1797 HK): Potential KWEB Deletion in June

<ul>
<li>Most Secondary-listed companies have announced the number of shares that underlie ADRs and are held by the ADR depositaries as of end-March (or around that time).</li>
<li>There are some significant increases in the number of shares held by the ADR depositaries. That changes the free float for the stocks and consequently the estimated flows.</li>
<li>
<a href="https://www.smartkarma.com/entities/netease-inc" target="_blank" data-smartkarma-citation="entities:29030:1" rel="noopener">NetEase (9999 HK)</a>, <a href="https://www.smartkarma.com/entities/trip-com-group-ltd-23a341d0-4f63-4175-a8c5-ee990906cacd" target="_blank" data-smartkarma-citation="entities:36424:1" rel="noopener">Trip.com Group (9961 HK)</a>, <a href="https://www.smartkarma.com/entities/baidu-inc-a55ca720-5968-48f0-8194-ac94390d065c" target="_blank" data-smartkarma-citation="entities:32212:1" rel="noopener">Baidu (9888 HK)</a> and <a href="https://www.smartkarma.com/entities/weibo-corp" target="_blank" data-smartkarma-citation="entities:35280:1" rel="noopener">Weibo (9898 HK)</a> will have passives buying, while <a href="https://www.smartkarma.com/entities/nio-inc-2d526675-c878-4104-840f-87fed1735e85" target="_blank" data-smartkarma-citation="entities:35652:1" rel="noopener">NIO (9866 HK)</a> switches to a sell.</li>
</ul>


Most Secondary-listed companies have announced the number of shares that underlie ADRs and are held by the ADR depositaries as of end-March (or around that time).
There are some significant increases in the number of shares held by the ADR depositaries. That changes the free float for the stocks and consequently the estimated flows.

NetEase (9999 HK), Trip.com Group (9961 HK), Baidu (9888 HK) and Weibo (9898 HK) will have passives buying, while NIO (9866 HK) switches to a sell.


Hang Seng Indexes: ADR Depositary Holding Changes; Round-Trip Trade Is US$5.1bn; NetEase Outperforms

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>Over the past five trading days, <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a> multi-leg option strategies showcased a variety of approaches. Strategy highlights are provided.</li>
<li>
Popular Strategies: Call/Put Spreads account for 70% of all strategies. With a bias towards bullish views, Bull Call Spreads outnumber Bear Put Spreads by 2:1.</li>
<li>
Lottery Trades: following observations of such strategies in other stocks, a lotter trade bets on a low probability event with a high payout. Trade size tends to be sizable.</li>
</ul>


Over the past five trading days, Tencent (700 HK) multi-leg option strategies showcased a variety of approaches. Strategy highlights are provided.

Popular Strategies: Call/Put Spreads account for 70% of all strategies. With a bias towards bullish views, Bull Call Spreads outnumber Bear Put Spreads by 2:1.

Lottery Trades: following observations of such strategies in other stocks, a lotter trade bets on a low probability event with a high payout. Trade size tends to be sizable.


Tencent (700 HK): Top Trades and Strategic Insights from HKEX Options Trading

<ul>
<li>
Implied Volatility Trends: One-month implied volatility for <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a> has declined from recent peaks, aligning near its 3-year median, indicating a potential stabilization in market expectations.</li>
<li>
Skew and Term Structure Dynamics: The term structure is largely flat with a slight uplift due to the upcoming earnings on 14 May 2025. A pronounced volatility smile favors spreads.</li>
<li>
Open Interest Distribution: Liquidity is concentrated in near-term (April, May) and quarterly expiries, with call open interest slightly outweighing puts (48-60%).</li>
</ul>



Implied Volatility Trends: One-month implied volatility for Tencent (700 HK) has declined from recent peaks, aligning near its 3-year median, indicating a potential stabilization in market expectations.

Skew and Term Structure Dynamics: The term structure is largely flat with a slight uplift due to the upcoming earnings on 14 May 2025. A pronounced volatility smile favors spreads.

Open Interest Distribution: Liquidity is concentrated in near-term (April, May) and quarterly expiries, with call open interest slightly outweighing puts (48-60%).


Tencent (700 HK): Volatility Smile Signals Strategic Opportunities in Options Trading

Hong Kong

The Hang Seng TECH Index aims to represent the 30 largest technology companies listed in Hong Kong which have high business exposure to the Innovative Tech Themes.

Hang Seng TECH Index (HSTECH INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Hang Seng TECH Index (HSTECH INDEX EQUITY)

HSCEI Index Rebalance Preview: Pop Mart (9992 HK) Could Replace Sunny Optical (2382 HK)

Pop Mart could replace Sunny Optical in the index. There will be inflows for NetEase, Trip.com and Baidu due to a FAF methodology change. Pop Mart...

Brian Freitas

East Buy Holdings (1797 HK): Potential KWEB Deletion in June

East Buy Holdings could be deleted from the KWEB in June. Shorts have been covering and there has been minimal increase in positioning recently....

Brian Freitas

Hang Seng Indexes: ADR Depositary Holding Changes; Round-Trip Trade Is US$5.1bn; NetEase Outperforms

ADR depositary holding changes alter FAFs and flows. Estimated round-trip trade is US$5.1bn now. NetEase has outperformed the HSCI by 15.5% since...

Brian Freitas

Tencent (700 HK): Top Trades and Strategic Insights from HKEX Options Trading

Tencent's multi-leg option strategies show a bullish bias, with Call/Put Spreads dominating and Lottery Trades making an appearance.

Gaudenz Schneider

Tencent (700 HK): Volatility Smile Signals Strategic Opportunities in Options Trading

Implied volatility for Tencent stabilizes, term structure flat with upcoming earnings, call open interest slightly outweighs puts.

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

HSCEI Index Rebalance Preview: Pop Mart (9992 HK) Could Replace Sunny Optical (2382 HK)

Pop Mart could replace Sunny Optical in the index. There will be inflows for NetEase, Trip.com and Baidu due to a FAF methodology change. Pop Mart...

Brian Freitas

East Buy Holdings (1797 HK): Potential KWEB Deletion in June

East Buy Holdings could be deleted from the KWEB in June. Shorts have been covering and there has been minimal increase in positioning recently....

Brian Freitas

Hang Seng Indexes: ADR Depositary Holding Changes; Round-Trip Trade Is US$5.1bn; NetEase Outperforms

ADR depositary holding changes alter FAFs and flows. Estimated round-trip trade is US$5.1bn now. NetEase has outperformed the HSCI by 15.5% since...

Brian Freitas

Tencent (700 HK): Top Trades and Strategic Insights from HKEX Options Trading

​Tencent's multi-leg option strategies show a bullish bias, with Call/Put Spreads dominating and Lottery Trades making an appearance.

Gaudenz Schneider

Tencent (700 HK): Volatility Smile Signals Strategic Opportunities in Options Trading

​Implied volatility for Tencent stabilizes, term structure flat with upcoming earnings, call open interest slightly outweighs puts.

Gaudenz Schneider

Tencent's multi-leg option strategies show a bullish bias, with Call/Put Spreads dominating and Lottery Trades making an appearance.

Implied volatility for Tencent stabilizes, term structure flat with upcoming earnings, call open interest slightly outweighs puts.