Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
Context: Volatility cones provide a straightforward framework to evaluate whether options are trading cheap or rich. This Insight provides volatility analysis for the Hang Seng and eight prominent Hong Kong stocks</li>
<li>
Highlight: With a dense earnings calendar ahead, volatility dispersion is widening — BYD trades rich into results, while Tencent and Xiaomi remain notably cheap relative to history.</li>
<li>
Why Read: Spot opportunities, assess regime shifts, and manage risk effectively — volatility cones turn complex data into actionable insights for traders and investors.</li>
</ul>



Context: Volatility cones provide a straightforward framework to evaluate whether options are trading cheap or rich. This Insight provides volatility analysis for the Hang Seng and eight prominent Hong Kong stocks

Highlight: With a dense earnings calendar ahead, volatility dispersion is widening — BYD trades rich into results, while Tencent and Xiaomi remain notably cheap relative to history.

Why Read: Spot opportunities, assess regime shifts, and manage risk effectively — volatility cones turn complex data into actionable insights for traders and investors.


Selective Volatility Picks Emerge Across HSI Stocks

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

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/sany-heavy-industry-co-ltd" target="_blank" data-smartkarma-citation="entities:20183:1" rel="noopener">Sany Heavy Industry (600031 CH)</a> could raise up to HK$16.35bn (US$2.1bn) in its H-share listing if the Offer Size Adjustment Option and the Overallotment Option are both exercised.</li>
<li>There is a big allocation to cornerstone investors that is locked up for 6 months. That eliminates the already small possibility of Fast Entry inclusion to global indexes.</li>
<li>Sany Heavy (6031 HK) should be added to Southbound Stock Connect from the open of trading on 24 November following the end of the Price Stabilisation period.</li>
</ul>



Sany Heavy Industry (600031 CH) could raise up to HK$16.35bn (US$2.1bn) in its H-share listing if the Offer Size Adjustment Option and the Overallotment Option are both exercised.
There is a big allocation to cornerstone investors that is locked up for 6 months. That eliminates the already small possibility of Fast Entry inclusion to global indexes.
Sany Heavy (6031 HK) should be added to Southbound Stock Connect from the open of trading on 24 November following the end of the Price Stabilisation period.


Sany Heavy (6031 HK) IPO: Big Cornerstone Allocation to Delay Global Index Inclusion

HK/China Equity Long-Short

Osbert Tang, CFA

Quantitative Analysis

<ul>
<li>On average, the HSI lost 1.1% (since 2013) and 2.8% (since 2019) in Oct. The worst drop was 2022 with a 14.7% plunge, and the second-worst is 10.1% in 2018.</li>
<li>If HSI settles at 1SD lower than the historical average Oct return, it will translate into return of -7.5%, and if 2SD, it will be -14%.</li>
<li>A weak Oct sets the strong stage for Nov and Dec, which are historically best months. Picking up when the market retreats looks to be sensible.</li>
</ul>


On average, the HSI lost 1.1% (since 2013) and 2.8% (since 2019) in Oct. The worst drop was 2022 with a 14.7% plunge, and the second-worst is 10.1% in 2018.
If HSI settles at 1SD lower than the historical average Oct return, it will translate into return of -7.5%, and if 2SD, it will be -14%.
A weak Oct sets the strong stage for Nov and Dec, which are historically best months. Picking up when the market retreats looks to be sensible.


<ul>
<li>
Context: Volatility cones provide a straightforward framework to evaluate whether options are trading cheap or rich. This Insight provides volatility analysis for eight prominent Hong Kong stocks and 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>.</li>
<li>
Highlights: Recent market turbulence moderately lifted implied volatility for many stocks, but not to extreme levels. The approaching earnings season impacts October and November implied volatility.</li>
<li>
Why Read: Spot opportunities, assess regime shifts, and manage risk effectively — volatility cones turn complex data into actionable insights for traders and investors.</li>
</ul>



Context: Volatility cones provide a straightforward framework to evaluate whether options are trading cheap or rich. This Insight provides volatility analysis for eight prominent Hong Kong stocks and the HSI Index.

Highlights: Recent market turbulence moderately lifted implied volatility for many stocks, but not to extreme levels. The approaching earnings season impacts October and November implied volatility.

Why Read: Spot opportunities, assess regime shifts, and manage risk effectively — volatility cones turn complex data into actionable insights for traders and investors.


Tariff Shock Sends HK Volatility Higher: Meituan (3690 HK) Looks Cheap, Alibaba (9988 HK) Stays Rich

<ul>
<li>
<a href="https://www.smartkarma.com/entities/zijin-gold" target="_blank" data-smartkarma-citation="entities:45448:1" rel="noopener">Zijin Gold (2259 HK)</a> is looking to raise up to HK$28.7bn (US$3.7bn) in its IPO, valuing the company at HK$191.6bn (US$24.6bn).</li>
<li>
<a href="https://www.smartkarma.com/entities/zijin-mining-group-co-ltd-h" target="_blank" data-smartkarma-citation="entities:6358:1" rel="noopener">Zijin Mining (2899 HK)</a> will hold between 85-86.7% of <a href="https://www.smartkarma.com/entities/zijin-gold" target="_blank" data-smartkarma-citation="entities:45448:1" rel="noopener">Zijin Gold</a> and that will limit the free float of the stock. Half the IPO has been allotted to cornerstones.</li>
<li>
<a href="https://www.smartkarma.com/entities/zijin-gold" target="_blank" data-smartkarma-citation="entities:45448:1" rel="noopener">Zijin Gold</a> could be added to the HSCI via Fast Entry and to Stock Connect in October. Global index inclusion should take place in the first half of 2026.</li>
</ul>



Zijin Gold (2259 HK) is looking to raise up to HK$28.7bn (US$3.7bn) in its IPO, valuing the company at HK$191.6bn (US$24.6bn).

Zijin Mining (2899 HK) will hold between 85-86.7% of Zijin Gold and that will limit the free float of the stock. Half the IPO has been allotted to cornerstones.

Zijin Gold could be added to the HSCI via Fast Entry and to Stock Connect in October. Global index inclusion should take place in the first half of 2026.


Zijin Gold (2259 HK) IPO: HSCI Fast Entry; Quick Stock Connect Add; Global Indices Entry in 2026

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)

Selective Volatility Picks Emerge Across HSI Stocks

Rich vs. cheap volatility in Hong Kong’s top stocks: BYD trades rich, while Tencent and Xiaomi remain subdued, as options highlight growing...

Gaudenz Schneider

Sany Heavy (6031 HK) IPO: Big Cornerstone Allocation to Delay Global Index Inclusion

Sany Heavy could raise US$2.1bn in its HK IPO. Inclusion in Southbound Connect from 24 Nov. Global index and FXI inclusions in June and August next...

Brian Freitas

HK Strategy: How Low Can October Go?

Historically, the Hang Seng Index experiences losses in October, setting the stage for strong returns in November and December. Timing market...

Osbert Tang, CFA

Tariff Shock Sends HK Volatility Higher: Meituan (3690 HK) Looks Cheap, Alibaba (9988 HK) Stays Rich

Hong Kong volatility surged after U.S. tariff threats, with options pricing highlighting Meituan’s historically low implied volatility and elevated...

Gaudenz Schneider

Zijin Gold (2259 HK) IPO: HSCI Fast Entry; Quick Stock Connect Add; Global Indices Entry in 2026

Volume in Zijin Gold picked up yesterday following inclusion to Southbound Stock Connect. With Gold up again overnight, the stock could remain in...

Brian Freitas

Selective Volatility Picks Emerge Across HSI Stocks

Rich vs. cheap volatility in Hong Kong’s top stocks: BYD trades rich, while Tencent and Xiaomi remain subdued, as options highlight growing...

Gaudenz Schneider

Sany Heavy (6031 HK) IPO: Big Cornerstone Allocation to Delay Global Index Inclusion

Sany Heavy could raise US$2.1bn in its HK IPO. Inclusion in Southbound Connect from 24 Nov. Global index and FXI inclusions in June and August next...

Brian Freitas

HK Strategy: How Low Can October Go?

​Historically, the Hang Seng Index experiences losses in October, setting the stage for strong returns in November and December. Timing market...

Osbert Tang, CFA

Tariff Shock Sends HK Volatility Higher: Meituan (3690 HK) Looks Cheap, Alibaba (9988 HK) Stays Rich

Hong Kong volatility surged after U.S. tariff threats, with options pricing highlighting Meituan’s historically low implied volatility and elevated...

Gaudenz Schneider

Zijin Gold (2259 HK) IPO: HSCI Fast Entry; Quick Stock Connect Add; Global Indices Entry in 2026

Volume in Zijin Gold picked up yesterday following inclusion to Southbound Stock Connect. With Gold up again overnight, the stock could remain in...

Brian Freitas

Historically, the Hang Seng Index experiences losses in October, setting the stage for strong returns in November and December. Timing market...