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

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

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

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.

Equity Derivatives

<ul>
<li>Third week in a row with declining participation in the rally.</li>
<li>Information technology the hottest sector with all names up more than double digits, all but 2 stocks closing at a 52-week high and median implied vols at 96th percentile.</li>
<li>Single Stock option volume registers the two highest days in the last 3 months but Call trading as a percentage of the total slipped week over week.</li>
</ul>


Third week in a row with declining participation in the rally.
Information technology the hottest sector with all names up more than double digits, all but 2 stocks closing at a 52-week high and median implied vols at 96th percentile.
Single Stock option volume registers the two highest days in the last 3 months but Call trading as a percentage of the total slipped week over week.


EQD | Hong Kong Single Stock Options Weekly (February 02 – 07): Rally Narrows, Info Tech Hot

Hang Seng China Enterprises Index / Equity Derivatives

<ul>
<li>Big rally for HSCEI, rising 5.44% which puts the move at the 92nd percentile for all weekly moves since 2000.</li>
<li>Implied vols appear to have hit a wall and may find short-term gains on a continued rally difficult from this point.</li>
<li>We expect implied vol to be more sensitive to lower moves in spot from here and will struggle to rise from here. </li>
</ul>


Big rally for HSCEI, rising 5.44% which puts the move at the 92nd percentile for all weekly moves since 2000.
Implied vols appear to have hit a wall and may find short-term gains on a continued rally difficult from this point.
We expect implied vol to be more sensitive to lower moves in spot from here and will struggle to rise from here. 


EQD | HSCEI Index Options Weekly (Feb 02-07): 92nd Percentile 1-Week Move

Articles from Caixin Global, Caixin Global

Caixin Global

Articles from Caixin Global

Caixin is a media group dedicated to providing financial and business news through periodicals, online content, mobile apps, conferences, books and TV/video programs. Caixin aims to blaze a trail that helps traditional media prosper in the new media age through integrated multimedia platforms.

News from Caixin

Cross Asset Strategy

<ul><li>Travel / In Depth: Gulf states roll out the welcome mat for Chinese tourists as focus shifts from oil</li><li>Hong Kong /: Hong Kong stocks rebound after sharp drop as Trump’s tariff war weighs on markets</li><li>Google /: China launches antitrust probe into Google’s market dominance</li></ul>

Travel / In Depth: Gulf states roll out the welcome mat for Chinese tourists as focus shifts from oilHong Kong /: Hong Kong stocks rebound after sharp drop as Trump’s tariff war weighs on marketsGoogle /: China launches antitrust probe into Google’s market dominance

CX Daily: Gulf States Roll Out the Welcome Mat for Chinese Tourists as Focus Shifts From Oil 

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)

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

EQD | Hong Kong Single Stock Options Weekly (February 02 – 07): Rally Narrows, Info Tech Hot

Participation declines for the third consecutive week, with information technology sector leading the charge. Single stock option volume surges,...

John Ley

EQD | HSCEI Index Options Weekly (Feb 02-07): 92nd Percentile 1-Week Move

HSCEI had a big rally, but implied vols may struggle to see short-term gains as they may have hit a wall and will be more sensitive to lower spot...

John Ley

CX Daily: Gulf States Roll Out the Welcome Mat for Chinese Tourists as Focus Shifts From Oil

Travel / In Depth: Gulf states roll out the welcome mat for Chinese tourists as focus shifts from oil Amid a global green push, Middle Eastern...

Caixin Global

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

EQD | Hong Kong Single Stock Options Weekly (February 02 – 07): Rally Narrows, Info Tech Hot

Participation declines for the third consecutive week, with information technology sector leading the charge. Single stock option volume surges,...

John Ley

EQD | HSCEI Index Options Weekly (Feb 02-07): 92nd Percentile 1-Week Move

​HSCEI had a big rally, but implied vols may struggle to see short-term gains as they may have hit a wall and will be more sensitive to lower spot...

John Ley

CX Daily: Gulf States Roll Out the Welcome Mat for Chinese Tourists as Focus Shifts From Oil

Travel / In Depth: Gulf states roll out the welcome mat for Chinese tourists as focus shifts from oil Amid a global green push, Middle Eastern...

Caixin Global

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...

HSCEI had a big rally, but implied vols may struggle to see short-term gains as they may have hit a wall and will be more sensitive to lower spot...