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.

Equity Derivatives

<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

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>The December rebalance of the Hang Seng family of indices will use today's closing prices to cap the index constituent weights.</li>
<li>The net round-trip trade across all stocks across the five indices is estimated at HK$50bn (US$6.4bn). There is size to trade in a lot of stocks.</li>
<li>
<a href="https://www.smartkarma.com/entities/xiaomi-corp" target="_blank" data-smartkarma-citation="entities:24409:1" rel="noopener">Xiaomi (1810 HK)</a> is the biggest buy due to HSIII Index inclusion and capping, 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 (9988 HK)</a> is the biggest capping sell.</li>
</ul>


The December rebalance of the Hang Seng family of indices will use today's closing prices to cap the index constituent weights.
The net round-trip trade across all stocks across the five indices is estimated at HK$50bn (US$6.4bn). There is size to trade in a lot of stocks.

Xiaomi (1810 HK) is the biggest buy due to HSIII Index inclusion and capping, while Alibaba (9988 HK) is the biggest capping sell.


HSI, HSCEI, HSTECH, HSIII, HSBIO Index Rebalance: US$6.4bn of Flows Post Capping (Dec 2025)

<ul>
<li>Following two periods of profitability, <a href="https://www.smartkarma.com/entities/innovent-biologics-inc" target="_blank" data-smartkarma-citation="entities:27452:1" rel="noopener">Innovent Biologics Inc (1801 HK)</a> will be added to 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> at the close on 5 December.</li>
<li>
<a href="https://www.smartkarma.com/entities/innovent-biologics-inc" target="_blank" data-smartkarma-citation="entities:27452:1" rel="noopener">Innovent Biologics Inc (1801 HK)</a> is also an add to the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a> in December, so this inclusion increases the flow and impact.</li>
<li>Estimated one-way turnover is 2.3% and the estimated round-trip trade is HK$9.2bn (US$1.2bn). Big capping outflows for <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> at the December rebalance.</li>
</ul>


Following two periods of profitability, Innovent Biologics Inc (1801 HK) will be added to the Hang Seng Index (HSI INDEX) at the close on 5 December.

Innovent Biologics Inc (1801 HK) is also an add to the Hang Seng China Enterprises Index (HSCEI INDEX) in December, so this inclusion increases the flow and impact.
Estimated one-way turnover is 2.3% and the estimated round-trip trade is HK$9.2bn (US$1.2bn). Big capping outflows for Alibaba (9988 HK) at the December rebalance.


Hang Seng Index (HSI) Rebalance: Innovent Biologics Turns a Profit, Gets Added

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>In our previous, <a href="https://www.smartkarma.com/insights/hsi-to-find-strong-support-between-18-8k-and-17-5k-long-term-uptrend-set-to-restart" target="_blank" rel="noopener">Jan 11th. insight</a>, we said the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI INDEX</a> could find support between 18.8K and 17.5K, and rally, and so it did (the bottom was at <strong>18671</strong>).</li>
<li>Since there the index has been rallying for 3 weeks, &gt;8% returns so far.</li>
<li>This insight is focused on tactical strategy: 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> may be readying for a new pullback, starting next week, so we are going to look at resistance levels.</li>
</ul>


In our previous, Jan 11th. insight, we said the HSI INDEX could find support between 18.8K and 17.5K, and rally, and so it did (the bottom was at 18671).
Since there the index has been rallying for 3 weeks, &gt;8% returns so far.
This insight is focused on tactical strategy: the Hang Seng Index may be readying for a new pullback, starting next week, so we are going to look at resistance levels.


EQD | Tactically Overbought HSI May Start Pulling Back After Lunar New Year

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)

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, HSCEI, HSTECH, HSIII, HSBIO Index Rebalance: US$6.4bn of Flows Post Capping (Dec 2025)

The Dec rebalance of the HSI, HSCEI, HSTECH, HSIII, HSHKBIO indices will use today's closing prices for capping. The round-trip trade across the...

Brian Freitas

Hang Seng Index (HSI) Rebalance: Innovent Biologics Turns a Profit, Gets Added

Innovent Bio is an add in Dec. Estimated one-way turnover is 2.3% and round-trip trade is HK$9.2bn. Innovent Bio has also been added to the HSCEI,...

Brian Freitas

EQD | Tactically Overbought HSI May Start Pulling Back After Lunar New Year

The Hang Seng Index is about to reach a tactically overbought resistance area from where it could start to pullback, after the Lunar New Year....

Nico Rosti

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, HSCEI, HSTECH, HSIII, HSBIO Index Rebalance: US$6.4bn of Flows Post Capping (Dec 2025)

The Dec rebalance of the HSI, HSCEI, HSTECH, HSIII, HSHKBIO indices will use today's closing prices for capping. The round-trip trade across the...

Brian Freitas

Hang Seng Index (HSI) Rebalance: Innovent Biologics Turns a Profit, Gets Added

Innovent Bio is an add in Dec. Estimated one-way turnover is 2.3% and round-trip trade is HK$9.2bn. Innovent Bio has also been added to the HSCEI,...

Brian Freitas

EQD | Tactically Overbought HSI May Start Pulling Back After Lunar New Year

The Hang Seng Index is about to reach a tactically overbought resistance area from where it could start to pullback, after the Lunar New Year....

Nico Rosti

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...