Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

<ul>
<li>During yesterday's Option expiration day, <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a> experienced an intra-day swing of 4.1%.</li>
<li>Trading in the afternoon oscillated around the prominent 500 strike level. Around 66% of calls and 2% of puts expired in the money.</li>
<li>Volume was lower than in the preceding days; a total of 38 million shares were traded, with the morning session accounting for 53% of the volume.</li>
</ul>


During yesterday's Option expiration day, Tencent (700 HK) experienced an intra-day swing of 4.1%.
Trading in the afternoon oscillated around the prominent 500 strike level. Around 66% of calls and 2% of puts expired in the money.
Volume was lower than in the preceding days; a total of 38 million shares were traded, with the morning session accounting for 53% of the volume.


Tencent (700 HK): Expiry-Day Recap; Intra-Day Swing of 4.1%.

Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/li-auto-inc-3dbe6187-544f-40dd-b9f9-72fba9c0110e" target="_blank" data-smartkarma-citation="entities:33811:1" rel="noopener">Li Auto (2015 HK)</a> has surged recently due to the announcement of its new Li i8 model, accompanied by a significant rise in implied volatility.</li>
<li>The elevated implied volatility, with one- and two-month levels above the 90th and 80th percentiles respectively, presents an opportunity for bearish and neutral investors to sell call options.</li>
<li>March and April expirations are preferred due to the earnings release in May. </li>
</ul>



Li Auto (2015 HK) has surged recently due to the announcement of its new Li i8 model, accompanied by a significant rise in implied volatility.
The elevated implied volatility, with one- and two-month levels above the 90th and 80th percentiles respectively, presents an opportunity for bearish and neutral investors to sell call options.
March and April expirations are preferred due to the earnings release in May. 


Li Auto (2015 HK): Short Calls To Capitalize on High Volatility Amid Cautious Outlook

<ul>
<li>
<a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a> stock options expiring on Thursday, February 27, show a concentration of approximately 40,000 open contracts at the 500 strike price, currently at the money. 
</li>
<li>The open interest at the 500 strike may increase volatility and trading activity near expiry if the stock price hovers around 500, possibly leading to amplified intraday price swings.</li>
<li>At the last monthly expiry in January the stock experienced intraday price swings of 2.5%.</li>
</ul>



Tencent (700 HK) stock options expiring on Thursday, February 27, show a concentration of approximately 40,000 open contracts at the 500 strike price, currently at the money. 

The open interest at the 500 strike may increase volatility and trading activity near expiry if the stock price hovers around 500, possibly leading to amplified intraday price swings.
At the last monthly expiry in January the stock experienced intraday price swings of 2.5%.


Tencent - 27 Feb Options Expiry: Potentially Volatile Session Due to 500 Strike Open Interest

<ul>
<li>This Insight analyses <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a>tailor-made option strategies traded over the last five trading days on the Hong Kong Exchange. Strategy highlights and volatility context are provided.</li>
<li>These traders tailor structures to risk budgets and take calculated bets. Diagonal call spreads are popular, many self-financing (0% premium). This strategy can play the 18 March earnings date.
</li>
<li>Call spreads can indicate where bullish traders see limits to the upside. The most bullish trade suggests a peak of up to 710 HKD by the end of March.</li>
</ul>


This Insight analyses Tencent (700 HK)tailor-made option strategies traded over the last five trading days on the Hong Kong Exchange. Strategy highlights and volatility context are provided.
These traders tailor structures to risk budgets and take calculated bets. Diagonal call spreads are popular, many self-financing (0% premium). This strategy can play the 18 March earnings date.

Call spreads can indicate where bullish traders see limits to the upside. The most bullish trade suggests a peak of up to 710 HKD by the end of March.


Tencent (700 HK): Top Trades: Strategies That Stand Out

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>
<a href="https://www.smartkarma.com/entities/zto-express-cayman-inc" target="_blank" data-smartkarma-citation="entities:33488:1" rel="noopener">ZTO Express Cayman (2057 HK)</a> will be added 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> next week and to a global index couple of weeks after that.</li>
<li>Despite passives needing to buy more than 5% of float inside a month, the stock has barely budged in a rallying China market.</li>
<li>The increase in cumulative excess volume has been very gradual, indicative of low positioning in the stock. With a lot to buy over the next few weeks, that could change.</li>
</ul>



ZTO Express Cayman (2057 HK) will be added to the Hang Seng China Enterprises Index (HSCEI INDEX) next week and to a global index couple of weeks after that.
Despite passives needing to buy more than 5% of float inside a month, the stock has barely budged in a rallying China market.
The increase in cumulative excess volume has been very gradual, indicative of low positioning in the stock. With a lot to buy over the next few weeks, that could change.


ZTO Express (2057 HK): Not Delivering Despite Double Index Inclusion

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)

Tencent (700 HK): Expiry-Day Recap; Intra-Day Swing of 4.1%.

Tencent (700 HK) saw a 4.1% swing on option expiration day, with trading around the 500 strike level and majority of calls expiring in the money....

Gaudenz Schneider

Li Auto (2015 HK): Short Calls To Capitalize on High Volatility Amid Cautious Outlook

With premiums of up to 9% in one month (113% p.a.), Li Auto's price surge and high implied volatility create a call selling opportunity for...

Gaudenz Schneider

Tencent - 27 Feb Options Expiry: Potentially Volatile Session Due to 500 Strike Open Interest

Tencent (700 HK) stock options expiring 27 Feb show a concentration of open contracts at the 500 strike price, potentially leading to increased...

Gaudenz Schneider

Tencent (700 HK): Top Trades: Strategies That Stand Out

Analysis of option strategies for Tencent (700 HK) on the Hong Kong Exchange in the context of upcoming earnings. Bullish traders eyeing a...

Gaudenz Schneider

ZTO Express (2057 HK): Not Delivering Despite Double Index Inclusion

ZTO Express is an inclusion to the HSCEI and a global index. Passive trackers will buy over 5% of float. Short interest has jumped, and the stock...

Brian Freitas

Tencent (700 HK): Expiry-Day Recap; Intra-Day Swing of 4.1%.

​Tencent (700 HK) saw a 4.1% swing on option expiration day, with trading around the 500 strike level and majority of calls expiring in the money....

Gaudenz Schneider

Li Auto (2015 HK): Short Calls To Capitalize on High Volatility Amid Cautious Outlook

With premiums of up to 9% in one month (113% p.a.), ​Li Auto's price surge and high implied volatility create a call selling opportunity for...

Gaudenz Schneider

Tencent - 27 Feb Options Expiry: Potentially Volatile Session Due to 500 Strike Open Interest

​Tencent (700 HK) stock options expiring 27 Feb show a concentration of open contracts at the 500 strike price, potentially leading to increased...

Gaudenz Schneider

Tencent (700 HK): Top Trades: Strategies That Stand Out

​Analysis of option strategies for Tencent (700 HK) on the Hong Kong Exchange in the context of upcoming earnings. Bullish traders eyeing a...

Gaudenz Schneider

ZTO Express (2057 HK): Not Delivering Despite Double Index Inclusion

ZTO Express is an inclusion to the HSCEI and a global index. Passive trackers will buy over 5% of float. Short interest has jumped, and the stock...

Brian Freitas

Tencent (700 HK) saw a 4.1% swing on option expiration day, with trading around the 500 strike level and majority of calls expiring in the money....

With premiums of up to 9% in one month (113% p.a.), Li Auto's price surge and high implied volatility create a call selling opportunity for...

Tencent (700 HK) stock options expiring 27 Feb show a concentration of open contracts at the 500 strike price, potentially leading to increased...

Analysis of option strategies for Tencent (700 HK) on the Hong Kong Exchange in the context of upcoming earnings. Bullish traders eyeing a...