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 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?

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.

Event-Driven

<ul>
<li>Complete rally mode across single stocks and sectors with the 3 highest single stock option volumes of the past 3 months recorded.</li>
<li>More than 25% of issues experience more than 100% increase in options volume. </li>
<li>We highlight names with the largest increases in both Put and Call volumes including Alibaba, Alibaba Health, AIA, China telecom and Kingdee.</li>
</ul>


Complete rally mode across single stocks and sectors with the 3 highest single stock option volumes of the past 3 months recorded.
More than 25% of issues experience more than 100% increase in options volume. 
We highlight names with the largest increases in both Put and Call volumes including Alibaba, Alibaba Health, AIA, China telecom and Kingdee.


EQD | Hong Kong Single Stock Options Weekly (Feb 10 – 14):  Strong Option Volumes Fuel Rally

Equity Derivatives

<ul>
<li>Rally over the past 2 weeks has landed it in the 99th percentile since 2000 and has also been accompanied by low volatility.</li>
<li>The up-trend has a number of characteristics similar to the 21% rally in May 2024 and is in line with levels from which market has failed to advance.</li>
<li>Given how price and vol are likely to evolve over the next month we suggest tactical positions to reduce position size </li>
</ul>


Rally over the past 2 weeks has landed it in the 99th percentile since 2000 and has also been accompanied by low volatility.
The up-trend has a number of characteristics similar to the 21% rally in May 2024 and is in line with levels from which market has failed to advance.
Given how price and vol are likely to evolve over the next month we suggest tactical positions to reduce position size 


EQD| HSI Index Options Weekly (Feb 10-14): Reduce Positions with Short Volatility Edge

<ul>
<li>HSI’s 10-day return of 11.84% ranks it just below the 99th percentile of all 10-day moves since 2000.  </li>
<li>This move has been unusual given the low level of historic volatility, ranking it as one of the lowest vol moves of this magnitude.</li>
<li>The current move is abnormal for its return relative to volatility – we dig deeper into how returns and volatility are likely to evolve.</li>
</ul>


HSI’s 10-day return of 11.84% ranks it just below the 99th percentile of all 10-day moves since 2000.  
This move has been unusual given the low level of historic volatility, ranking it as one of the lowest vol moves of this magnitude.
The current move is abnormal for its return relative to volatility – we dig deeper into how returns and volatility are likely to evolve.


EQD| HSI: 99th Percentile 2-Week Move on Low Volatility. What’s Next?

<ul>
<li>Powerful rally for HSI lands its 1-week price change in the 94th percentile of all weekly moves since 2000.</li>
<li>Implied vols raising a caution flag, trading at the 78th percentile over the past year and 68th percentile since the start of 2001.</li>
<li>Call volumes as a percentage of total option volumes has been dropping over the past three weeks. </li>
</ul>


Powerful rally for HSI lands its 1-week price change in the 94th percentile of all weekly moves since 2000.
Implied vols raising a caution flag, trading at the 78th percentile over the past year and 68th percentile since the start of 2001.
Call volumes as a percentage of total option volumes has been dropping over the past three weeks. 


EQD | HSI Index Options Weekly (Feb 02-07): 94th Percentile 1-Week Move

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)

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

EQD | Hong Kong Single Stock Options Weekly (Feb 10 – 14): Strong Option Volumes Fuel Rally

Powerful rally across stocks with exceptionally high option volumes indicating that the price action mya be getting frothy.

John Ley

EQD| HSI Index Options Weekly (Feb 10-14): Reduce Positions with Short Volatility Edge

Market rally in the 99th percentile since 2000 with low volatility resembles previous trends, suggesting unique outlook. Tactical positions...

John Ley

EQD| HSI: 99th Percentile 2-Week Move on Low Volatility. What’s Next?

HSI's recent 10-day return of 11.84% is abnormal given historic volatility levels, ranking it near the 99th percentile since 2000. Future returns...

John Ley

EQD | HSI Index Options Weekly (Feb 02-07): 94th Percentile 1-Week Move

HSI sees strong rally ranking in the 94th percentile of all weekly moves since 2000 but caution warranted on implied vols as gains look limited...

John Ley

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

EQD | Hong Kong Single Stock Options Weekly (Feb 10 – 14): Strong Option Volumes Fuel Rally

Powerful rally across stocks with exceptionally high option volumes indicating that the price action mya be getting frothy.

John Ley

EQD| HSI Index Options Weekly (Feb 10-14): Reduce Positions with Short Volatility Edge

Market rally in the 99th percentile since 2000 with low volatility resembles previous trends, suggesting unique outlook. Tactical positions...

John Ley

EQD| HSI: 99th Percentile 2-Week Move on Low Volatility. What’s Next?

​HSI's recent 10-day return of 11.84% is abnormal given historic volatility levels, ranking it near the 99th percentile since 2000. Future returns...

John Ley

EQD | HSI Index Options Weekly (Feb 02-07): 94th Percentile 1-Week Move

​HSI sees strong rally ranking in the 94th percentile of all weekly moves since 2000 but caution warranted on implied vols as gains look limited...

John Ley

HSI's recent 10-day return of 11.84% is abnormal given historic volatility levels, ranking it near the 99th percentile since 2000. Future returns...

HSI sees strong rally ranking in the 94th percentile of all weekly moves since 2000 but caution warranted on implied vols as gains look limited...