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/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba Group Holding (9988 HK)</a> stock has rallied bigly over the last month and has gained 55% over that period.</li>
<li>That has led to <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</a>'s weight in 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>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI INDEX</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH INDEX</a> and HSIII Index rising above the cap of 8%/12% and passives will sell on 7 March.</li>
<li>We estimate passive trackers will need to sell US$1.2bn of stock due to capping. Shorts have been increasing, and quarterly results will be announced on 20 February.</li>
</ul>



Alibaba Group Holding (9988 HK) stock has rallied bigly over the last month and has gained 55% over that period.
That has led to Alibaba's weight in the HSI INDEX, HSCEI INDEX, HSTECH INDEX and HSIII Index rising above the cap of 8%/12% and passives will sell on 7 March.
We estimate passive trackers will need to sell US$1.2bn of stock due to capping. Shorts have been increasing, and quarterly results will be announced on 20 February.


Alibaba (9988 HK): Results This Week; Over US$1bn Passive Selling in 3 Weeks

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/china-mobile-ltd" target="_blank" data-smartkarma-citation="entities:27:1" rel="noopener">China Mobile (941 HK)</a> experienced a 6.8% increase over five consecutive positive weeks. This Insight builds on the work of quantitative analysis identifying resistance and support levels.</li>
<li>This Insight presents four different options strategies to combine quantitative insights with volatility and option analysis. </li>
<li>Option strategies cater for both bullish, bearish, or neutral views, and can be tailored to fit a given risk budget.</li>
</ul>



China Mobile (941 HK) experienced a 6.8% increase over five consecutive positive weeks. This Insight builds on the work of quantitative analysis identifying resistance and support levels.
This Insight presents four different options strategies to combine quantitative insights with volatility and option analysis. 
Option strategies cater for both bullish, bearish, or neutral views, and can be tailored to fit a given risk budget.


EQD | China Mobile (941 HK) - Four Option Strategies for the Extended Bull Run.

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.

Hang Seng China Enterprises Index / Equity Derivatives

<ul>
<li>HSCEI sets new 52-week high by a hair. Rally over the last 10 days ranks in the 97th percentile since 2000.</li>
<li>Spot and implied maintain a positive correlation which will see implieds come off should this rally reverse course. </li>
<li>We recommend two trades for those looking to tactically lighten positions into the rally.</li>
</ul>


HSCEI sets new 52-week high by a hair. Rally over the last 10 days ranks in the 97th percentile since 2000.
Spot and implied maintain a positive correlation which will see implieds come off should this rally reverse course. 
We recommend two trades for those looking to tactically lighten positions into the rally.


EQD| HSCEI Index Options Weekly (Feb 10-14): Tactical Hedges for an Extended Rally

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Quantitative Analysis

<ul>
<li>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> appears to be rising while the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)</a> has stalled. The two index often move in tandem.</li>
<li>We read the two markets with our models and we found that actually BOTH markets are equally overbought (according to price models, the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a> also according to time model).</li>
<li>So, there is no divergence, no arbitrage opportunity, the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> will not catch up with the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, both indices are going to pullback very soon.</li>
</ul>


The Hang Seng Index (HSI INDEX) appears to be rising while the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) has stalled. The two index often move in tandem.
We read the two markets with our models and we found that actually BOTH markets are equally overbought (according to price models, the HSI also according to time model).
So, there is no divergence, no arbitrage opportunity, the CSI 300 Index will not catch up with the HSI, both indices are going to pullback very soon.


HSI Rising, CSI 300 Stalled: No Divergence, No Arbitrage, Both Show a SELL Signal

Contemporary Amperex Technology (CATL) / Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/contemporary-amperex-technolog" target="_blank" data-smartkarma-citation="entities:24404:1" rel="noopener">Contemporary Amperex Technology (CATL) (300750 CH)</a> has announced plans for an H-share listing with media reports indicating a raise of at least US$5bn. Shareholders have approved the issuance.</li>
<li>
<a href="https://www.smartkarma.com/entities/contemporary-amperex-technolog" target="_blank" data-smartkarma-citation="entities:24404:1" rel="noopener">CATL (300750 CH)</a> was designated as a Chinese Military Company earlier this year by the U.S. Department of Defense but is still not on the NS-CMIC list.</li>
<li>The <a href="https://www.smartkarma.com/entities/contemporary-amperex-technolog" target="_blank" data-smartkarma-citation="entities:24404:1" rel="noopener">CATL (300750 CH)</a> H-shares should get Fast Entry to the global indices and <a href="https://www.smartkarma.com/entities/ishares-china-large-cap-etf" target="_blank" data-smartkarma-citation="entities:766:1" rel="noopener">iShares China Large-Cap (FXI US)</a> ETF. Inclusion in the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a> and <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a> will take longer.</li>
</ul>



Contemporary Amperex Technology (CATL) (300750 CH) has announced plans for an H-share listing with media reports indicating a raise of at least US$5bn. Shareholders have approved the issuance.

CATL (300750 CH) was designated as a Chinese Military Company earlier this year by the U.S. Department of Defense but is still not on the NS-CMIC list.
The CATL (300750 CH) H-shares should get Fast Entry to the global indices and iShares China Large-Cap (FXI US) ETF. Inclusion in the HSCEI and HSI will take longer.


CATL (300750 CH): Index Inclusion Post H-Share Listing

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)

Alibaba (9988 HK): Results This Week; Over US$1bn Passive Selling in 3 Weeks

The huge rally in Alibaba over the last month will lead to capping in the Hang Seng Indexes in March. We estimate passives need to sell US$1.2bn of...

Brian Freitas

EQD | China Mobile (941 HK) - Four Option Strategies for the Extended Bull Run.

China Mobile (941 HK) saw a 6.8% rise in five weeks. This insights details four options strategies based on resistance/support levels.

Gaudenz Schneider

EQD| HSCEI Index Options Weekly (Feb 10-14): Tactical Hedges for an Extended Rally

HSCEI hits new 52-week high, but implied volatility may decrease if rally reverses; two trades recommended to lighten positions.

John Ley

HSI Rising, CSI 300 Stalled: No Divergence, No Arbitrage, Both Show a SELL Signal

The HSI Index is rising, the CSI 300 Index has stalled, but both are equally very overbought. We see no arbitrage opportunity, a pullback is...

Nico Rosti

Alibaba (9988 HK): Results This Week; Over US$1bn Passive Selling in 3 Weeks

The huge rally in Alibaba over the last month will lead to capping in the Hang Seng Indexes in March. We estimate passives need to sell US$1.2bn of...

Brian Freitas

EQD | China Mobile (941 HK) - Four Option Strategies for the Extended Bull Run.

​China Mobile (941 HK) saw a 6.8% rise in five weeks. This insights details four options strategies based on resistance/support levels.

Gaudenz Schneider

EQD| HSCEI Index Options Weekly (Feb 10-14): Tactical Hedges for an Extended Rally

​HSCEI hits new 52-week high, but implied volatility may decrease if rally reverses; two trades recommended to lighten positions.

John Ley

HSI Rising, CSI 300 Stalled: No Divergence, No Arbitrage, Both Show a SELL Signal

​The HSI Index is rising, the CSI 300 Index has stalled, but both are equally very overbought. We see no arbitrage opportunity, a pullback is...

Nico Rosti

CATL (300750 CH): Index Inclusion Post H-Share Listing

CATL has filed its Application Proof with the HKEX for an H-share listing (https://www1.hkexnews.hk/app/sehk/2025/107127/documents...

Brian Freitas

China Mobile (941 HK) saw a 6.8% rise in five weeks. This insights details four options strategies based on resistance/support levels.

HSCEI hits new 52-week high, but implied volatility may decrease if rally reverses; two trades recommended to lighten positions.

The HSI Index is rising, the CSI 300 Index has stalled, but both are equally very overbought. We see no arbitrage opportunity, a pullback is...