Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.</li>
<li>Market Specific commentary and option opportunities for <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a>, <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a>, <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 (NDX INDEX)</a>, <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 (SPX INDEX),</a> and more.</li>
<li>Volatility analytics plus upcoming events and market holidays to the end of January as reference data.</li>
</ul>


The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.
Market Specific commentary and option opportunities for NIFTY Index (NIFTY INDEX), S&amp;P/ASX 200 (AS51 INDEX), Nikkei 225 (NKY INDEX), Nasdaq-100 (NDX INDEX), S&amp;P 500 (SPX INDEX), and more.
Volatility analytics plus upcoming events and market holidays to the end of January as reference data.


EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

Chief Executive Officer, Emmer Capital Partners Limited

Manishi Raychaudhuri

Chief Executive Officer

Emmer Capital Partners Limited

Emmer Capital Partners is an Asia Pacific focused financial advisory firm engaging in strategic financial asset allocation advice, bespoke thematic research and advising early-stage companies and connecting them to investors. Emmer Capital provides macro-economic and multi-asset investment strategy inputs to institutions, family offices, private wealth managers, private equity, and corporate boards directly and through independent research platforms. Emmer Capital also advises a wide range of startup companies on fund raising and business strategy. Emmer Capital's active engagement with the print and electronic media reaches a broad spectrum of investors across the globe.

Cross Asset Strategy

<ul>
<li>Asia is cheap relative to the US - trading at less than 40% of US's P/BV - but that's because Asia's ROE has consistently declined relative to US's.</li>
<li>Over the next couple of years Asian ROEs are forecast to revive relative to the US's but all Asian markets are not forecast to participate in this recovery.</li>
<li>The "ROE Winners" (rising forecast ROEs) are Korea, Taiwan, India, Malaysia. Indonesia to stay flat but solidly higher than Asian average. We are skeptical of HK/China and Thailand's ROE recovery.</li>
</ul>


Asia is cheap relative to the US - trading at less than 40% of US's P/BV - but that's because Asia's ROE has consistently declined relative to US's.
Over the next couple of years Asian ROEs are forecast to revive relative to the US's but all Asian markets are not forecast to participate in this recovery.
The "ROE Winners" (rising forecast ROEs) are Korea, Taiwan, India, Malaysia. Indonesia to stay flat but solidly higher than Asian average. We are skeptical of HK/China and Thailand's ROE recovery.


Asian Equities: Be Selective - Focus on The "ROE Winners"

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.

<ul>
<li>Move away from short gamma levels and position covering help push HSI implied vols lower on the week. </li>
<li>Short dated Puts are still very active in HSCEI at the 6300 and 6800 strikes. </li>
<li>Both HSI and HSCEI implied vols are trading about 2 points above their pre-stimulus levels. </li>
</ul>


Move away from short gamma levels and position covering help push HSI implied vols lower on the week. 
Short dated Puts are still very active in HSCEI at the 6300 and 6800 strikes. 
Both HSI and HSCEI implied vols are trading about 2 points above their pre-stimulus levels. 


EQD | Hong Kong Index Options Weekly - HSI and HSCEI

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>In a surprise, <a href="https://www.smartkarma.com/entities/midea-group-co-ltd" target="_blank" data-smartkarma-citation="entities:43993:1" rel="noopener">Midea Group (300 HK)</a> will replace <a href="https://www.smartkarma.com/entities/weibo-corp" target="_blank" data-smartkarma-citation="entities:35280:1" rel="noopener">Weibo (9898 HK)</a> in 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 (HSTECH INDEX)</a> after the close of trading on 6 December.</li>
<li>Estimated one-way turnover at the rebalance is 4.5% resulting in a round-trip trade of HK$11.72bn (US$1.51bn). Passives need to buy 9x ADV in <a href="https://www.smartkarma.com/entities/midea-group-co-ltd" target="_blank" data-smartkarma-citation="entities:43993:1" rel="noopener">Midea Group (300 HK)</a>.</li>
<li>The <a href="https://www.smartkarma.com/entities/midea-group-co-ltd-a" target="_blank" data-smartkarma-citation="entities:16185:1" rel="noopener">Midea Group Co Ltd A (000333 CH)</a> / <a href="https://www.smartkarma.com/entities/midea-group-co-ltd" target="_blank" data-smartkarma-citation="entities:43993:1" rel="noopener">Midea Group (300 HK)</a> premium could drop due to the index inclusion providing an entry point into an AH expansion trade.</li>
</ul>


In a surprise, Midea Group (300 HK) will replace Weibo (9898 HK) in the Hang Seng TECH Index (HSTECH INDEX) after the close of trading on 6 December.
Estimated one-way turnover at the rebalance is 4.5% resulting in a round-trip trade of HK$11.72bn (US$1.51bn). Passives need to buy 9x ADV in Midea Group (300 HK).
The Midea Group Co Ltd A (000333 CH) / Midea Group (300 HK) premium could drop due to the index inclusion providing an entry point into an AH expansion trade.


HSTECH Index Rebalance: Midea (300 HK) Replaces Weibo (9898 HK); US$1.5bn Round-Trip Trade

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/kuaishou-technology" target="_blank" data-smartkarma-citation="entities:29725:1" rel="noopener">Kuaishou Technology (1024 HK)</a> and <a href="https://www.smartkarma.com/entities/new-oriental-education-techn" target="_blank" data-smartkarma-citation="entities:32210:1" rel="noopener">New Oriental Education (9901 HK)</a> will be added to 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</a> in December while <a href="https://www.smartkarma.com/entities/new-world-development" target="_blank" data-smartkarma-citation="entities:7037:1" rel="noopener">New World Development (17 HK)</a> will be deleted.</li>
<li>Estimated one-way turnover is 2.7% and the estimated round-trip trade is HK$10.89bn (US$1.4bn) with over 1 day of ADV to trade in the adds and the delete.</li>
<li>The index committee has net added 1 stock to 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</a> this year to go from 82 to 83 constituents. Reaching the 100-member target will drag into 2026.</li>
</ul>



Kuaishou Technology (1024 HK) and New Oriental Education (9901 HK) will be added to the Hang Seng Index in December while New World Development (17 HK) will be deleted.
Estimated one-way turnover is 2.7% and the estimated round-trip trade is HK$10.89bn (US$1.4bn) with over 1 day of ADV to trade in the adds and the delete.
The index committee has net added 1 stock to the Hang Seng Index this year to go from 82 to 83 constituents. Reaching the 100-member target will drag into 2026.


Hang Seng Index (HSI) Rebalance: Still Baby Steps to Get to 100 Members

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)

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Gaudenz Schneider

Asian Equities: Be Selective - Focus on The "ROE Winners"

Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...

Manishi Raychaudhuri

EQD | Hong Kong Index Options Weekly - HSI and HSCEI

HSI implied vols decrease as short gamma positions in up-strike calls are covered. HSCEI still seeing increased activity in short dated 6300 and...

John Ley

HSTECH Index Rebalance: Midea (300 HK) Replaces Weibo (9898 HK); US$1.5bn Round-Trip Trade

Midea Group replaces Weibo in the HSTECH in Dec. Passives need to buy ~9% of the real float in Midea and that could lead to a drop in the AH...

Brian Freitas

Hang Seng Index (HSI) Rebalance: Still Baby Steps to Get to 100 Members

Kuaishou and New Oriental Ed are adds and NWD is a delete. Positioning is generally low and the stocks could move in the short-term before relative...

Brian Freitas

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

​US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Gaudenz Schneider

Asian Equities: Be Selective - Focus on The "ROE Winners"

​Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...

Manishi Raychaudhuri

EQD | Hong Kong Index Options Weekly - HSI and HSCEI

HSI implied vols decrease as short gamma positions in up-strike calls are covered. HSCEI still seeing increased activity in short dated 6300 and...

John Ley

HSTECH Index Rebalance: Midea (300 HK) Replaces Weibo (9898 HK); US$1.5bn Round-Trip Trade

Midea Group replaces Weibo in the HSTECH in Dec. Passives need to buy ~9% of the real float in Midea and that could lead to a drop in the AH...

Brian Freitas

Hang Seng Index (HSI) Rebalance: Still Baby Steps to Get to 100 Members

Kuaishou and New Oriental Ed are adds and NWD is a delete. Positioning is generally low and the stocks could move in the short-term before relative...

Brian Freitas

US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...