Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>As reported by <a href="https://www.smartkarma.com/profiles/travis-lundy" target="_blank" data-smartkarma-citation="accounts:25" rel="noopener">Travis Lundy</a> , 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> Committee changed the way float is calculated for Secondary Listings in Hang Seng indices.</li>
<li>
This action is expected to add US$2.7bn of buying to some names- read Travis Lundy's insight for more details on this.</li>
<li>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> is currently down 3 weeks, and quite OVERSOLD, buying the dip, at this point makes a lot of sense.
</li>
</ul>


As reported by Travis Lundy , the Hang Seng Index (HSI INDEX) Committee  changed the way float is calculated for Secondary Listings in Hang Seng indices.

This action is expected to add US$2.7bn of buying to some names- read Travis Lundy's insight for more details on this.
The HSI INDEX is currently down 3 weeks, and quite OVERSOLD, buying the dip, at this point makes a lot of sense.



Hang Seng Index FAF Calculation Change: Buy The Dip!

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>Following the methodology update for the HSIII Index, there could be up to 5 constituent changes in December.</li>
<li>Estimated one-way turnover is 12.8% and that will result in a round-trip trade of HK$9.8bn (US$1.25bn).</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 beneficiary of the new methodology while there will be large funding outflows for a lot of the current index constituents.</li>
</ul>


Following the methodology update for the HSIII Index, there could be up to 5 constituent changes in December.
Estimated one-way turnover is 12.8% and that will result in a round-trip trade of HK$9.8bn (US$1.25bn).

Xiaomi (1810 HK) is the biggest beneficiary of the new methodology while there will be large funding outflows for a lot of the current index constituents.


Hang Seng Internet & IT Index (HSIII) Rebalance Preview: Methodology Change Leads to US$1.25bn Trade

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>
Context: Some of Hong Kong’s largest and most prominent companies will report in the coming days, representing 20% of 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> </li>
<li>
Highlight: This Insight quantifies option-implied swings which serve as a gauge for post-earnings reactions.</li>
<li>
Why Read: Prepare for a busy earnings week by understanding where single-stock and broader market volatility may be elevated.</li>
</ul>



Context: Some of Hong Kong’s largest and most prominent companies will report in the coming days, representing 20% of the Hang Seng Index (HSI INDEX) 

Highlight: This Insight quantifies option-implied swings which serve as a gauge for post-earnings reactions.

Why Read: Prepare for a busy earnings week by understanding where single-stock and broader market volatility may be elevated.


Earnings Volatility Preview: Options Price Sharp Swings in China Tech Earnings Week

<ul>
<li>There could be 3 changes for 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. Announcement is on 21 November with implementation at the close on 5 December.</li>
<li>The forecast adds have moved higher over the last few months and handily outperformed the forecast deletes and 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>. </li>
<li>There has been aggressive short covering in the forecast adds and there could be more in stocks where short interest is still a high percentage of float.</li>
</ul>


There could be 3 changes for the Hang Seng China Enterprises Index (HSCEI INDEX) in December. Announcement is on 21 November with implementation at the close on 5 December.
The forecast adds have moved higher over the last few months and handily outperformed the forecast deletes and the Hang Seng China Enterprises Index (HSCEI INDEX). 
There has been aggressive short covering in the forecast adds and there could be more in stocks where short interest is still a high percentage of float.


HSCEI Index Rebalance Preview: 3 Changes as Adds Go Up, Up & Away

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>Pop Mart options recently began trading on HKEX and have gained considerable traction, ranking in the top 10 of volume traded.</li>
<li>Pop Mart has had a tremendous rally but is in the midst of a double-digit slump.</li>
<li>Option volumes have been skewed, and we outline how best to approach hedging in this environment.</li>
</ul>


Pop Mart options recently began trading on HKEX and have gained considerable traction, ranking in the top 10 of volume traded.
Pop Mart has had a tremendous rally but is in the midst of a double-digit slump.
Option volumes have been skewed, and we outline how best to approach hedging in this environment.


Pop Mart (9992.HK): Options Activity Builds as the Rally Cools

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 FAF Calculation Change: Buy The Dip!

The Hang Seng Index Committee changed the float calculation for Secondary Listings, roughly US$2.7bn of buying in total. The HSI is currently...

Nico Rosti

Hang Seng Internet & IT Index (HSIII) Rebalance Preview: Methodology Change Leads to US$1.25bn Trade

The methodology update could result in 5 changes in Dec. Estimated one-way turnover is 12.8% resulting in a round-trip trade of US$1.25bn. There...

Brian Freitas

Earnings Volatility Preview: Options Price Sharp Swings in China Tech Earnings Week

Option markets hint at sharp post-earnings reactions in some of China's top tech companies. Prepare for elevated volatility.

Gaudenz Schneider

HSCEI Index Rebalance Preview: 3 Changes as Adds Go Up, Up & Away

There could be 3 changes for the HSCEI in Dec. Estimated turnover is 4% and round-trip trade is HK$5.15bn. Shorts have been covering in the...

Brian Freitas

Pop Mart (9992.HK): Options Activity Builds as the Rally Cools

The launch of Pop Mart options has sparked brisk trading against the backdrop of a stock that is in the midst of a double-digit decline after a...

John Ley

Hang Seng Index FAF Calculation Change: Buy The Dip!

​The Hang Seng Index Committee changed the float calculation for Secondary Listings, roughly US$2.7bn of buying in total. The HSI is currently...

Nico Rosti

Hang Seng Internet & IT Index (HSIII) Rebalance Preview: Methodology Change Leads to US$1.25bn Trade

The methodology update could result in 5 changes in Dec. Estimated one-way turnover is 12.8% resulting in a round-trip trade of US$1.25bn. There...

Brian Freitas

Earnings Volatility Preview: Options Price Sharp Swings in China Tech Earnings Week

Option markets hint at sharp post-earnings reactions in some of China's top tech companies. Prepare for elevated volatility.

Gaudenz Schneider

HSCEI Index Rebalance Preview: 3 Changes as Adds Go Up, Up & Away

There could be 3 changes for the HSCEI in Dec. Estimated turnover is 4% and round-trip trade is HK$5.15bn. Shorts have been covering in the...

Brian Freitas

Pop Mart (9992.HK): Options Activity Builds as the Rally Cools

The launch of Pop Mart options has sparked brisk trading against the backdrop of a stock that is in the midst of a double-digit decline after a...

John Ley

The Hang Seng Index Committee changed the float calculation for Secondary Listings, roughly US$2.7bn of buying in total. The HSI is currently...