Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>The issue with borrowing agreements is that contracts with conditions set later or changeable terms don’t count, creating uncertainty on how this will play out in practice.</li>
<li>Many borrowing agreements depend on recall timing for ownership recognition, even within the same day, creating confusion in practice.</li>
<li>Repayment period limits don't apply to internal desk-to-desk trades within the same firm. Other than those, no new updates today on reporting requirements, T+2 reporting window, or lending limits.</li>
</ul>


The issue with borrowing agreements is that contracts with conditions set later or changeable terms don’t count, creating uncertainty on how this will play out in practice.
Many borrowing agreements depend on recall timing for ownership recognition, even within the same day, creating confusion in practice.
Repayment period limits don't apply to internal desk-to-desk trades within the same firm. Other than those, no new updates today on reporting requirements, T+2 reporting window, or lending limits.


FSS's Short Selling Guidelines: Breaking Down the Key Violation Cases and What They Mean

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

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>Strong price action, Kospi rising 2.32% on Monday and finishing the week up 3.24%</li>
<li>Implied vol was virtually unchanged and historic vols came down in the move higher.</li>
<li>Kospi tends to have its largest monthly average absolute price change during January.</li>
</ul>


Strong price action, Kospi rising 2.32% on Monday and finishing the week up 3.24%
Implied vol was virtually unchanged and historic vols came down in the move higher.
Kospi tends to have its largest monthly average absolute price change during January.


EQD | Kospi Index Options Weekly -  January 06 - 10

<ul>
<li>KRX and FSS confirmed the NSDS is ready and account registration numbers will be issued, confirming short selling will resume on April 1st, despite no official FSC statement yet.</li>
<li>Today's buzz is about pre-registration for short selling, with FSS tracking accounts down to individual desks. This could limit short-selling flexibility, despite addressing the overseas lending issue.</li>
<li>Exposing too much info on short-selling accounts could shrink securities lending participants, causing supply-demand imbalances, spiking borrowing fees, and creating unique trading opportunities early on.</li>
</ul>


KRX and FSS confirmed the NSDS is ready and account registration numbers will be issued, confirming short selling will resume on April 1st, despite no official FSC statement yet.
Today's buzz is about pre-registration for short selling, with FSS tracking accounts down to individual desks. This could limit short-selling flexibility, despite addressing the overseas lending issue.
Exposing too much info on short-selling accounts could shrink securities lending participants, causing supply-demand imbalances, spiking borrowing fees, and creating unique trading opportunities early on.


Korea Short Selling Comeback: How Pre-Registering Accounts Will Affect the Trading Scene

<ul>
<li>The implied move for January is less than what has been historically experienced. Sixteen of the last 26 years have had price movement &gt; current implied move.</li>
<li>January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.</li>
<li>Trades at the current implied move historically would have been winners 61.5% of the time with the average winner being more than double the average loser. </li>
</ul>


The implied move for January is less than what has been historically experienced. Sixteen of the last 26 years have had price movement &gt; current implied move.
January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.
Trades at the current implied move historically would have been winners 61.5% of the time with the average winner being more than double the average loser. 


EQD | KOSPI 200 Index – Buy January Straddle

<ul>
<li>Kospi is now off 20% from its 52-week highs. Historic vols are picking up and implieds looking like good value given market dynamics.</li>
<li>Hedging increased with broad based positioning in Puts across out-of-the-money strikes.</li>
<li>Heavier volume in Puts with 53.2% of added open interest being Puts.</li>
</ul>


Kospi is now off 20% from its 52-week highs. Historic vols are picking up and implieds looking like good value given market dynamics.
Hedging increased with broad based positioning in Puts across out-of-the-money strikes.
Heavier volume in Puts with 53.2% of added open interest being Puts.


EQD | Kospi Index Options Weekly - December 16 - 20

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)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

FSS's Short Selling Guidelines: Breaking Down the Key Violation Cases and What They Mean

The FSS just dropped the official short selling guidelines today. In this post, I’ll break down the key violation cases and what they really mean.

Sanghyun Park

EQD | Kospi Index Options Weekly - January 06 - 10

Kospi shows strong price action, rising 2.32% on Monday and finishing the week up 3.24%, with implied vol unchanged and historic vols decreasing....

John Ley

Korea Short Selling Comeback: How Pre-Registering Accounts Will Affect the Trading Scene

This post offers an update on Korea's short selling resumption, focusing on how pre-registering short selling accounts will impact trading.

Sanghyun Park

EQD | KOSPI 200 Index – Buy January Straddle

January historically has high volatility and price movement. Trades at the current implied move would have been winners 61.5% of the time.

John Ley

EQD | Kospi Index Options Weekly - December 16 - 20

Kospi's 20% drop from 52-week highs prompts increased hedging through out-of-the-money Puts, with implied volatility offering good value vs normal...

John Ley

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

FSS's Short Selling Guidelines: Breaking Down the Key Violation Cases and What They Mean

The FSS just dropped the official short selling guidelines today. In this post, I’ll break down the key violation cases and what they really mean.

Sanghyun Park

EQD | Kospi Index Options Weekly - January 06 - 10

​Kospi shows strong price action, rising 2.32% on Monday and finishing the week up 3.24%, with implied vol unchanged and historic vols decreasing....

John Ley

Korea Short Selling Comeback: How Pre-Registering Accounts Will Affect the Trading Scene

This post offers an update on Korea's short selling resumption, focusing on how pre-registering short selling accounts will impact trading.

Sanghyun Park

EQD | KOSPI 200 Index – Buy January Straddle

​January historically has high volatility and price movement. Trades at the current implied move would have been winners 61.5% of the time.

John Ley

EQD | Kospi Index Options Weekly - December 16 - 20

​Kospi's 20% drop from 52-week highs prompts increased hedging through out-of-the-money Puts, with implied volatility offering good value vs normal...

John Ley

Kospi shows strong price action, rising 2.32% on Monday and finishing the week up 3.24%, with implied vol unchanged and historic vols decreasing....

January historically has high volatility and price movement. Trades at the current implied move would have been winners 61.5% of the time.

Kospi's 20% drop from 52-week highs prompts increased hedging through out-of-the-money Puts, with implied volatility offering good value vs normal...