Derivatives and Quantitative Strategist

Gaudenz Schneider

Macroeconomics

<ul>
<li>
India: RBI rate decision on 9 April, 0.25% cut expected.</li>
<li>
CPI Release: Several economies release CPI data next week, while central banks update their forecasts and scenarios with the recently released US tariffs.</li>
<li>
Monthly Option Expiries: in India (BSE Stock options), Japan (Nikkei, Topix, Stocks), and South Korea (Kospi 200). The BSE moved the expiry one day forward due to a holiday.</li>
</ul>



India: RBI rate decision on 9 April, 0.25% cut expected.

CPI Release: Several economies release CPI data next week, while central banks update their forecasts and scenarios with the recently released US tariffs.

Monthly Option Expiries: in India (BSE Stock options), Japan (Nikkei, Topix, Stocks), and South Korea (Kospi 200). The BSE moved the expiry one day forward due to a holiday.


Market Movers: Key Dates at a Glance (7 - 13 April)

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Cross Asset Strategy

<ul>
<li>That “Oh sh#t moment” has just struck many investors in US markets</li>
<li>Within Hong Kong , Tech most at risk as investors take profit</li>
<li>Our alternative sector selection  has performed both absolutely and in relative terms</li>
</ul>


That “Oh sh#t moment” has just struck many investors in US markets
Within Hong Kong , Tech most at risk as investors take profit
Our alternative sector selection  has performed both absolutely and in relative terms


Investors Have that “Oh Sh#t Moment” - Part 1:  Hong Kong Strategy

Equity Derivatives

<ul>
<li>
Asia-Pac Performance: The Indian market bucketed the down trend with the Nifty 50 declining only 0.35% with stable implied volatility. The Nikkei 225, on the other hand,dropped 2.8%. </li>
<li>
US and European Decline: The US market saw the largest decline, with implied volatility rising by 8%. European indices showed mixed results, with the EuroStoxx 50 reacting strongly.</li>
<li>
Gold vs. Bitcoin: Gold (GLD US ETF) proved to be a better store of value, while Bitcoin joined the US indices in higher volatility.</li>
</ul>



Asia-Pac Performance: The Indian market bucketed the down trend with the Nifty 50 declining only 0.35% with stable implied volatility. The Nikkei 225, on the other hand,dropped 2.8%. 

US and European Decline: The US market saw the largest decline, with implied volatility rising by 8%. European indices showed mixed results, with the EuroStoxx 50 reacting strongly.

Gold vs. Bitcoin: Gold (GLD US ETF) proved to be a better store of value, while Bitcoin joined the US indices in higher volatility.


Chart of the Day: Implied Volatility Soars Globally, US and Bitcoin Hit Hardest

<ul>
<li>Over the past five trading days, <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a> multi-leg option strategies showcased a variety of approaches. Strategy highlights and volatility context are provided.</li>
<li>With short-term implied volatility below its median, long volatility strategies dominate, with a balanced mix of bullish and bearish positions. </li>
<li>Open interest spread across monthly and quarterly expiries, with some notable strategies taking advantage of longer expiration dates, and a steep negatively sloped skew $475.</li>
</ul>


Over the past five trading days, Tencent (700 HK) multi-leg option strategies showcased a variety of approaches. Strategy highlights and volatility context are provided.
With short-term implied volatility below its median, long volatility strategies dominate, with a balanced mix of bullish and bearish positions. 
Open interest spread across monthly and quarterly expiries, with some notable strategies taking advantage of longer expiration dates, and a steep negatively sloped skew $475.


Tencent (700 HK): Volatility Plays and Skew Top Trades

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>Hang Seng Indexes has announced a change in the FreeFloat-Adjusted Factor (FAF) methodology for Secondary Listings that will be implemented from the next rebalance in June.</li>
<li>
<a href="https://www.smartkarma.com/entities/netease-inc" target="_blank" data-smartkarma-citation="entities:29030:1" rel="noopener">NetEase (9999 HK)</a>, <a href="https://www.smartkarma.com/entities/baidu-inc-a55ca720-5968-48f0-8194-ac94390d065c" target="_blank" data-smartkarma-citation="entities:32212:1" rel="noopener">Baidu (9888 HK)</a>, <a href="https://www.smartkarma.com/entities/trip-com-group-ltd-23a341d0-4f63-4175-a8c5-ee990906cacd" target="_blank" data-smartkarma-citation="entities:36424:1" rel="noopener">Trip.com (9961 HK)</a>, <a href="https://www.smartkarma.com/entities/nio-inc-2d526675-c878-4104-840f-87fed1735e85" target="_blank" data-smartkarma-citation="entities:35652:1" rel="noopener">NIO (9866 HK)</a>, <a href="https://www.smartkarma.com/entities/new-oriental-education-techn" target="_blank" data-smartkarma-citation="entities:32210:1" rel="noopener">New Oriental Education &amp; Techn (9901 HK)</a> and <a href="https://www.smartkarma.com/entities/weibo-corp" target="_blank" data-smartkarma-citation="entities:35280:1" rel="noopener">Weibo (9898 HK)</a> benefit; <a href="https://www.smartkarma.com/entities/gds-holdings-ltd" target="_blank" data-smartkarma-citation="entities:32157:1" rel="noopener">GDS Holdings (9698 HK)</a> loses out.</li>
<li>The FAF changes along with capping changes will result in a round-trip trade of HK$34.2bn (US$4.4bn) at the June rebalance with the largest turnover for the <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index</a>. </li>
</ul>


Hang Seng Indexes has announced a change in the FreeFloat-Adjusted Factor (FAF) methodology for Secondary Listings that will be implemented from the next rebalance in June.

NetEase (9999 HK), Baidu (9888 HK), Trip.com (9961 HK), NIO (9866 HK), New Oriental Education &amp; Techn (9901 HK) and Weibo (9898 HK) benefit; GDS Holdings (9698 HK) loses out.
The FAF changes along with capping changes will result in a round-trip trade of HK$34.2bn (US$4.4bn) at the June rebalance with the largest turnover for the Hang Seng TECH Index. 


Hang Seng Indexes: FAF Methodology Change for Secondary Listings; Over US$1bn to Buy in NetEase

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)

Market Movers: Key Dates at a Glance (7 - 13 April)

RBI expected to cut rates in India, CPI data and option expiries in focus for several economies next week. Exchange holiday in India.

Gaudenz Schneider

Investors Have that “Oh Sh#t Moment” - Part 1: Hong Kong Strategy

Investors in US markets face a sudden realization, with Hong Kong Tech most vulnerable as profit-taking occurs. Our alternative sector selection...

Rikki Malik

Chart of the Day: Implied Volatility Soars Globally, US and Bitcoin Hit Hardest

Indian market remains stable amidst Asia-Pac decline, while Japan is the worst performer in the region. US sees largest drop, Gold outperforms...

Gaudenz Schneider

Tencent (700 HK): Volatility Plays and Skew Top Trades

Strategies show dominance of long volatility approaches with a mix of bullish and bearish positions, taking advantage of longer expiration dates...

Gaudenz Schneider

Hang Seng Indexes: FAF Methodology Change for Secondary Listings; Over US$1bn to Buy in NetEase

The big buys are up in the last week: NetEase (+3.75%), Baidu (+2.1%), Trip.com (+1.8%) while the headline indices are down: HSI (-1.1%), HSCEI (...

Brian Freitas

Market Movers: Key Dates at a Glance (7 - 13 April)

​RBI expected to cut rates in India, CPI data and option expiries in focus for several economies next week. Exchange holiday in India.

Gaudenz Schneider

Investors Have that “Oh Sh#t Moment” - Part 1: Hong Kong Strategy

​Investors in US markets face a sudden realization, with Hong Kong Tech most vulnerable as profit-taking occurs. Our alternative sector selection...

Rikki Malik

Chart of the Day: Implied Volatility Soars Globally, US and Bitcoin Hit Hardest

​Indian market remains stable amidst Asia-Pac decline, while Japan is the worst performer in the region. US sees largest drop, Gold outperforms...

Gaudenz Schneider

Tencent (700 HK): Volatility Plays and Skew Top Trades

Strategies show dominance of long volatility approaches with a mix of bullish and bearish positions, taking advantage of longer expiration dates...

Gaudenz Schneider

Hang Seng Indexes: FAF Methodology Change for Secondary Listings; Over US$1bn to Buy in NetEase

The big buys are up in the last week: NetEase (+3.75%), Baidu (+2.1%), Trip.com (+1.8%) while the headline indices are down: HSI (-1.1%), HSCEI (...

Brian Freitas

RBI expected to cut rates in India, CPI data and option expiries in focus for several economies next week. Exchange holiday in India.

Investors in US markets face a sudden realization, with Hong Kong Tech most vulnerable as profit-taking occurs. Our alternative sector selection...

Indian market remains stable amidst Asia-Pac decline, while Japan is the worst performer in the region. US sees largest drop, Gold outperforms...