Derivatives and Quantitative Strategist

Gaudenz Schneider

Macroeconomics

<ul>
<li>
India: RBI rate decision on 9 April, 0.25% cut expected.</li>
<li>
CPI Release: Several economies release CPI data next week, while central banks update their forecasts and scenarios with the recently released US tariffs.</li>
<li>
Monthly Option Expiries: in India (BSE Stock options), Japan (Nikkei, Topix, Stocks), and South Korea (Kospi 200). The BSE moved the expiry one day forward due to a holiday.</li>
</ul>



India: RBI rate decision on 9 April, 0.25% cut expected.

CPI Release: Several economies release CPI data next week, while central banks update their forecasts and scenarios with the recently released US tariffs.

Monthly Option Expiries: in India (BSE Stock options), Japan (Nikkei, Topix, Stocks), and South Korea (Kospi 200). The BSE moved the expiry one day forward due to a holiday.


Market Movers: Key Dates at a Glance (7 - 13 April)

Equity Derivatives

<ul>
<li>
Asia-Pac Performance: The Indian market bucketed the down trend with the Nifty 50 declining only 0.35% with stable implied volatility. The Nikkei 225, on the other hand,dropped 2.8%. </li>
<li>
US and European Decline: The US market saw the largest decline, with implied volatility rising by 8%. European indices showed mixed results, with the EuroStoxx 50 reacting strongly.</li>
<li>
Gold vs. Bitcoin: Gold (GLD US ETF) proved to be a better store of value, while Bitcoin joined the US indices in higher volatility.</li>
</ul>



Asia-Pac Performance: The Indian market bucketed the down trend with the Nifty 50 declining only 0.35% with stable implied volatility. The Nikkei 225, on the other hand,dropped 2.8%. 

US and European Decline: The US market saw the largest decline, with implied volatility rising by 8%. European indices showed mixed results, with the EuroStoxx 50 reacting strongly.

Gold vs. Bitcoin: Gold (GLD US ETF) proved to be a better store of value, while Bitcoin joined the US indices in higher volatility.


Chart of the Day: Implied Volatility Soars Globally, US and Bitcoin Hit Hardest

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>Short notional ticked higher on the KOSPI and KOSDAQ markets and is expected to continue increasing over the next few months.</li>
<li>Since the resumption of short selling, foreign holdings of Korean equities have increased from 29.26% to 29.3%.</li>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX)</a> to <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX)</a> ratio has stayed stable over the last 3 trading days.</li>
</ul>


Short notional ticked higher on the KOSPI and KOSDAQ markets and is expected to continue increasing over the next few months.
Since the resumption of short selling, foreign holdings of Korean equities have increased from 29.26% to 29.3%.
The Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX) to KOSDAQ 150 Index (KOSDQ150 INDEX) ratio has stayed stable over the last 3 trading days.


Korea Short Selling: What Happened on Day 1?

Index Rebalance

<ul>
<li>With the averaging period for the April rebalance now complete, we forecast just 1 change for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.</li>
<li>Based on the passive assets tracking the index, there will be between 0.8-2.2x ADV to trade in the forecast changes.</li>
<li>The resumption of short selling makes it easier to position for these events. That could also result in the shorts moving a lot ahead of implementation.</li>
</ul>


With the averaging period for the April rebalance now complete, we forecast just 1 change for the FnGuide Semiconductor Top10 Index at the upcoming rebalance.
Based on the passive assets tracking the index, there will be between 0.8-2.2x ADV to trade in the forecast changes.
The resumption of short selling makes it easier to position for these events. That could also result in the shorts moving a lot ahead of implementation.


FnGuide Semiconductor Top10 Index Rebalance Preview: Just One Change Likely

<ul>
<li>Short selling in Korea resumes in a couple of hours. Expect heightened volatility for a few days before things settle down.</li>
<li>Foreign investors have increased their holdings over the last five weeks and there could be further buying in select stocks on stock price drops.</li>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 INDEX</a> has outperformed the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index</a>, and the forecast index deletes have underperformed the indices indicating that there will be positioning for the short-sell resumption.</li>
</ul>


Short selling in Korea resumes in a couple of hours. Expect heightened volatility for a few days before things settle down.
Foreign investors have increased their holdings over the last five weeks and there could be further buying in select stocks on stock price drops.
The KOSPI 200 INDEX has outperformed the KOSDAQ 150 Index, and the forecast index deletes have underperformed the indices indicating that there will be positioning for the short-sell resumption.


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)

Market Movers: Key Dates at a Glance (7 - 13 April)

RBI expected to cut rates in India, CPI data and option expiries in focus for several economies next week. Exchange holiday in India.

Gaudenz Schneider

Chart of the Day: Implied Volatility Soars Globally, US and Bitcoin Hit Hardest

Indian market remains stable amidst Asia-Pac decline, while Japan is the worst performer in the region. US sees largest drop, Gold outperforms...

Gaudenz Schneider

Korea Short Selling: What Happened on Day 1?

Short notional has increased as has foreign ownership of Korean equities. Stock selection will become increasingly important. The forecast index...

Brian Freitas

FnGuide Semiconductor Top10 Index Rebalance Preview: Just One Change Likely

Jusung Engineering could replace Wonik IPS in the index next week. Passives need to trade between 0.8-2.2x ADV in the stocks. The resumption of...

Brian Freitas

Korea Short Selling: Off to the Races

Data indicates positioning in different types of trades ranging from index pairs to forecast index deletions and stocks with high forward PEs. Some...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Market Movers: Key Dates at a Glance (7 - 13 April)

​RBI expected to cut rates in India, CPI data and option expiries in focus for several economies next week. Exchange holiday in India.

Gaudenz Schneider

Chart of the Day: Implied Volatility Soars Globally, US and Bitcoin Hit Hardest

​Indian market remains stable amidst Asia-Pac decline, while Japan is the worst performer in the region. US sees largest drop, Gold outperforms...

Gaudenz Schneider

Korea Short Selling: What Happened on Day 1?

Short notional has increased as has foreign ownership of Korean equities. Stock selection will become increasingly important. The forecast index...

Brian Freitas

FnGuide Semiconductor Top10 Index Rebalance Preview: Just One Change Likely

Jusung Engineering could replace Wonik IPS in the index next week. Passives need to trade between 0.8-2.2x ADV in the stocks. The resumption of...

Brian Freitas

Korea Short Selling: Off to the Races

Data indicates positioning in different types of trades ranging from index pairs to forecast index deletions and stocks with high forward PEs. Some...

Brian Freitas

RBI expected to cut rates in India, CPI data and option expiries in focus for several economies next week. Exchange holiday in India.

Indian market remains stable amidst Asia-Pac decline, while Japan is the worst performer in the region. US sees largest drop, Gold outperforms...