Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>August MTD marks the first monthly outflow since launch: <a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK hynix (000660 KS)</a> 2x leveraged ETFs combined AUM fell 20% to KRW 4.2tn amid KRW 777bn in net outflows.</li>
<li>The 2x Leveraged Index fell 4.7% despite the underlying stock remaining broadly flat, reflecting performance drag in a sideways market.</li>
<li>The 2x inverse ETF lost 12.8% despite a broadly flat underlying stock, highlighting the risks of holding daily-reset products beyond very short trading periods.</li>
</ul>


August MTD marks the first monthly outflow since launch: SK hynix (000660 KS) 2x leveraged ETFs combined AUM fell 20% to KRW 4.2tn amid KRW 777bn in net outflows.
The 2x Leveraged Index fell 4.7% despite the underlying stock remaining broadly flat, reflecting performance drag in a sideways market.
The 2x inverse ETF lost 12.8% despite a broadly flat underlying stock, highlighting the risks of holding daily-reset products beyond very short trading periods.


SK Hynix (000660 KS): 2x Leveraged ETFs Record First Monthly Net Outflow

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

<ul>
<li>We present a WEEKLY tactical global macro recap/analysis for several markets and stocks we track, grouped by sector.</li>
<li>We apply our quantitative models to each instrument's trend, to determine which stocks/markets are just starting a trend, are in the middle of it, or are about to end it.</li>
<li>
<a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent</a> is oversold, while <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> , <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>, <a href="https://www.smartkarma.com/entities/hitachi-ltd" target="_blank" data-smartkarma-citation="entities:7797:1" rel="noopener">Hitachi Ltd</a>, <a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics</a>, <a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK Hynix</a>, <a href="https://www.smartkarma.com/entities/advantest-corp" target="_blank" data-smartkarma-citation="entities:18107:1" rel="noopener">Advantest Corp</a>, <a href="https://www.smartkarma.com/entities/hanwha-solutions" target="_blank" data-smartkarma-citation="entities:8656:1" rel="noopener">Hanwha Solutions</a>, <a href="https://www.smartkarma.com/entities/spdr-gold-shares" target="_blank" data-smartkarma-citation="entities:8632:1" rel="noopener">GLD</a> are overbought. Details per sector are displayed in the insight.</li>
</ul>


We present a WEEKLY tactical global macro recap/analysis for several markets and stocks we track, grouped by sector.
We apply our quantitative models to each instrument's trend, to determine which stocks/markets are just starting a trend, are in the middle of it, or are about to end it.

Tencent is oversold, while KOSPI 200 , Nikkei 225, Hitachi Ltd, Samsung Electronics, SK Hynix, Advantest Corp, Hanwha Solutions, GLD are overbought. Details per sector are displayed in the insight.


WEEKLY Tactical Recap: Tencent, SK Hynix, Samsung, KS200, Hitachi, Advantest Corp, Hanwa Solutions

<ul>
<li>
<a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics (005930 KS)</a> stabilised in the first half of August, gaining 4.6%, while the 2x Leveraged Index rose 6.8%.</li>
<li>Despite the rebound, leveraged ETFs recorded KRW 372bn of net outflows, reducing combined AUM by 2% in August MTD.</li>
<li>Investor flows—not performance alone—are driving AUM. Their effect on demand for Samsung shares may be amplified or offset by the ETFs’ daily leverage rebalancing.</li>
</ul>



Samsung Electronics (005930 KS) stabilised in the first half of August, gaining 4.6%, while the 2x Leveraged Index rose 6.8%.
Despite the rebound, leveraged ETFs recorded KRW 372bn of net outflows, reducing combined AUM by 2% in August MTD.
Investor flows—not performance alone—are driving AUM. Their effect on demand for Samsung shares may be amplified or offset by the ETFs’ daily leverage rebalancing.


Samsung Elec (005930 KS): August Gains Fail to Stem 2x Leveraged ETF Outflows

Chart based progressive global trading strategies, Chart Partners

Thomas Schroeder

Chart based progressive global trading strategies

Chart Partners

Chart Partners objective is to discover medium-term cycle turns and profit opportunities before they unfold, within structural trends while preserving capital with clear degrees of risk. We have real return ideas. 

Markets are dynamic and trading systems must reflect this. It is crucial to determine underlying correlations and lead-lag relationships within global markets and the impact on linked instruments. Our weekly Chartonics product gives you short-term trading strategies that can be applied within the medium and longer term macro trends that are mapped out in our strategy updates. 

Our methodology fuses global market variables and isolates drivers in trends. We specialize in FX, index trade in NY and Asia with a focus on Asian stocks. 

Technical Analysis

<ul>
<li>Japan and Korea are meeting rally objective action points. NKY 28,500 touted as the level to short. Korea meeting the 337/338 upper wedge range target to lock in some gains.</li>
<li>Japan has formed previous tops below 29,000. Korea will need to backfill and likely retest the top of the rising wedge given the impulsive nature of the rise. </li>
<li>These topping patterns show conviction to form bigger cycle peaks into late April ahead of a more negative phase in May. Factor in final SPX push to 4,200-20.</li>
</ul>


Japan and Korea are meeting rally objective action points. NKY 28,500 touted as the level to short. Korea meeting the 337/338 upper wedge range target to lock in some gains.
Japan has formed previous tops below 29,000. Korea will need to backfill and likely retest the top of the rising wedge given the impulsive nature of the rise. 
These topping patterns show conviction to form bigger cycle peaks into late April ahead of a more negative phase in May. Factor in final SPX push to 4,200-20.


<ul>
<li>Since 2x leveraged ETFs linked to <a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK hynix (000660 KS)</a> launched in late May, volatility in the underlying stock has increased significantly.</li>
<li>Although daily rebalancing can amplify price moves, the data do not indicate that it does so systematically.</li>
<li>Overnight and intraday returns are largely uncorrelated across the sample, although they tend to reinforce each other on days with extreme moves.</li>
</ul>


Since 2x leveraged ETFs linked to SK hynix (000660 KS) launched in late May, volatility in the underlying stock has increased significantly.
Although daily rebalancing can amplify price moves, the data do not indicate that it does so systematically.
Overnight and intraday returns are largely uncorrelated across the sample, although they tend to reinforce each other on days with extreme moves.


SK Hynix (000660 KS): 130% Volatility and 2x Leveraged ETF Rebalancing

South Korea

The KOSPI 200 Index is a capitalization-weighted index of 200 Korean stocks which make up 93% of the total market value of the Korea Stock Exchange. The index was developed with a base value of 100 as of January 3, 1990.

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

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Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

SK Hynix (000660 KS): 2x Leveraged ETFs Record First Monthly Net Outflow

With combined assets down 20% in August MTD, SK hynix-linked 2x leveraged ETFs recorded their first net outflow since launch as sideways trading...

Gaudenz Schneider

WEEKLY Tactical Recap: Tencent, SK Hynix, Samsung, KS200, Hitachi, Advantest Corp, Hanwa Solutions

Weekly Global Macro Recap Probability Analysis: we apply our model to identify trend formation and exhaustion across Asian and US equities.

Nico Rosti

Samsung Elec (005930 KS): August Gains Fail to Stem 2x Leveraged ETF Outflows

Samsung Electronics gained 4.6% in early August, but KRW 372bn of 2x leveraged ETF outflows cut AUM by 2%. Flows are shaping ETF-driven demand for...

Gaudenz Schneider

Japan and Korea Action Levels

Japan and Korea are meeting rally objective action points. NKY 28,500 touted as the level to short. Korea meeting the 337/338 upper wedge range...

Thomas Schroeder

SK Hynix (000660 KS): 130% Volatility and 2x Leveraged ETF Rebalancing

This Insight examines the extent to which daily rebalancing by 2x leveraged ETFs accounts for the recent surge in SK hynix’s volatility.

Gaudenz Schneider

Price Gauge

52-week Range

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