Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>After a 7-week rally 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> last week gave up and close the week down (CC=-1 on our WEEKLY LONG model).</li>
<li>The pullback continued on  Monday, reaching 22668 and in our WEEKLY LONG model this price support zone is oversold.</li>
<li>The pullback may continue, so in this insight we are going to offer some perspective on possible support zones where to buy. We think this setback is a buy opportunity.</li>
</ul>


After a 7-week rally the Hang Seng Index (HSI INDEX) last week gave up and close the week down (CC=-1 on our WEEKLY LONG model).
The pullback continued on  Monday, reaching 22668 and in our WEEKLY LONG model this price support zone is oversold.
The pullback may continue, so in this insight we are going to offer some perspective on possible support zones where to buy. We think this setback is a buy opportunity.


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.

<ul>
<li>HSI traded sideways for a third straight week as macro headlines swirled and tariffs turned internally litigious.</li>
<li>Volatility drifted lower, with 1M implied vol dropping below its 1-year median for the first time in months.</li>
<li>Call volumes were significantly higher led by one strike in particular.</li>
</ul>


HSI traded sideways for a third straight week as macro headlines swirled and tariffs turned internally litigious.
Volatility drifted lower, with 1M implied vol dropping below its 1-year median for the first time in months.
Call volumes were significantly higher led by one strike in particular.


HSI Index Options Weekly (May 26-30): Choppy Tape, One Strike Rules Them All

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>
Context: Stat-arb models flag <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> as overvalued versus 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>, with the difference between implied volatility and option premium at historically high levels.</li>
<li>
Highlight: An actionable trade setup — long HSI calls vs. short Alibaba calls — that captures relative value and introduces leverage through a ratio structure.</li>
<li>
Why Read: This is a timely opportunity to combine a directional view with favorable volatility dynamics, offering asymmetric payoff potential.</li>
</ul>



Context: Stat-arb models flag Alibaba (9988 HK) as overvalued versus the Hang Seng Index (HSI INDEX), with the difference between implied volatility and option premium at historically high levels.

Highlight: An actionable trade setup — long HSI calls vs. short Alibaba calls — that captures relative value and introduces leverage through a ratio structure.

Why Read: This is a timely opportunity to combine a directional view with favorable volatility dynamics, offering asymmetric payoff potential.


Alibaba (9988 HK) Vs. Hang Seng Index (HSI INDEX): Relative Value Options Play with Leverage

<ul>
<li>Major markets are in a waiting game with vols not monetizing yet implied holding up with US FOMC and the election this week. </li>
<li>Hang Seng Index (HSI INDEX) , Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) have elevated implied vols vs average historical observations for November.</li>
<li>November typically sees strong price performance, particularly in the 3rd week, leading to softer historic vols in that time frame. </li>
</ul>


Major markets are in a waiting game with vols not monetizing yet implied holding up with US FOMC and the election this week. 
Hang Seng Index (HSI INDEX) , Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) have elevated implied vols vs average historical observations for November.
November typically sees strong price performance, particularly in the 3rd week, leading to softer historic vols in that time frame. 


EQD | Asia November Vol Roadmap - The Waiting Game

<ul>
<li>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</a> has been falling in June and July, but our MONTHLY seasonal pattern model indicates the index has a very good chance to close August up.</li>
<li>The condition we need, to forecast that August will be closing up, is to have July closing down, i.e. &lt;17718.61.</li>
<li>The index is WEEKLY OVERSOLD, so the timing to buy will be critical, because you want to get in early, but not too early (and July must close down).</li>
</ul>


The Hang Seng Index has been falling in June and July, but our MONTHLY seasonal pattern model indicates the index has a very good chance to close August up.
The condition we need, to forecast that August will be closing up, is to have July closing down, i.e. &lt;17718.61.
The index is WEEKLY OVERSOLD, so the timing to buy will be critical, because you want to get in early, but not too early (and July must close down).


EQD | The HSI Is Ripe For A Rally In August (IF July's Close Is Negative)

Hong Kong

The Hang Seng Index is a free-float capitalization-weighted index of a selection of companies from the Stock Exchange of Hong Kong. The components of the index are divided into four subindices: Commerce and Industry, Finance, Utilities, and Properties. The index was developed with a base level of 100 as of July 31, 1964.

Hang Seng Index (HSI INDEX)

HSI Tactical Outlook: Buy This Dip

After a 7-week rally, the Hang Seng Index closed down last week, reaching an oversold price support zone of 22668. According to our models this...

Nico Rosti

HSI Index Options Weekly (May 26-30): Choppy Tape, One Strike Rules Them All

HSI traded sideways amid macro headlines and internal tariff disputes, while volatility decreased and call volumes surged, driven by one specific...

John Ley

Alibaba (9988 HK) Vs. Hang Seng Index (HSI INDEX): Relative Value Options Play with Leverage

Alibaba IV is still about twice HSI IV, keeping the opportunity open for an asymmetrical relative value trade. Traders bearish on the HSI or...

Gaudenz Schneider

EQD | Asia November Vol Roadmap - The Waiting Game

Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

John Ley

EQD | The HSI Is Ripe For A Rally In August (IF July's Close Is Negative)

The Hang Seng Index has been falling in June and July, but seasonal pattern model predicts August will close up if July closes down. The index is...

Nico Rosti

HSI Tactical Outlook: Buy This Dip

​After a 7-week rally, the Hang Seng Index closed down last week, reaching an oversold price support zone of 22668. According to our models this...

Nico Rosti

HSI Index Options Weekly (May 26-30): Choppy Tape, One Strike Rules Them All

​HSI traded sideways amid macro headlines and internal tariff disputes, while volatility decreased and call volumes surged, driven by one specific...

John Ley

Alibaba (9988 HK) Vs. Hang Seng Index (HSI INDEX): Relative Value Options Play with Leverage

Alibaba IV is still about twice HSI IV, keeping the opportunity open for an asymmetrical relative value trade. Traders bearish on the HSI or...

Gaudenz Schneider

EQD | Asia November Vol Roadmap - The Waiting Game

​Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

John Ley

EQD | The HSI Is Ripe For A Rally In August (IF July's Close Is Negative)

​The Hang Seng Index has been falling in June and July, but seasonal pattern model predicts August will close up if July closes down. The index is...

Nico Rosti

After a 7-week rally, the Hang Seng Index closed down last week, reaching an oversold price support zone of 22668. According to our models this...

HSI traded sideways amid macro headlines and internal tariff disputes, while volatility decreased and call volumes surged, driven by one specific...

Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

The Hang Seng Index has been falling in June and July, but seasonal pattern model predicts August will close up if July closes down. The index is...