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 Index / Equity Derivatives

<ul>
<li>Kospi rebounds from weak performance at the start the week to finish essentially unchanged.</li>
<li>1M implied vol came off 2.3 points and is now at the 22nd percentile over the past year.</li>
<li>Thursday’s 1.44% gain saw overwhelming Call activity with 3.6 Calls trading for every Put.</li>
</ul>


Kospi rebounds from weak performance at the start the week to finish essentially unchanged.
1M implied vol came off 2.3 points and is now at the 22nd percentile over the past year.
Thursday’s 1.44% gain saw overwhelming Call activity with 3.6 Calls trading for every Put.


EQD | Kospi Index Options Weekly (January 13 – 17): Heavy Call Volume on Thursday’s Gain.

<ul>
<li>Samsung Electronics stock has been an underperformer outright and also relative to Kospi200 as an overhang of catalysts has weighed on performance.</li>
<li>Implied vols are at the 88th percentile over the last 3 years and are at the top of their range relative to Kospi200.</li>
<li>We recommend 4 different ways to position in front of these catalysts and the large stock buy-back that was announced in November. </li>
</ul>


Samsung Electronics stock has been an underperformer outright and also relative to Kospi200 as an overhang of catalysts has weighed on performance.
Implied vols are at the 88th percentile over the last 3 years and are at the top of their range relative to Kospi200.
We recommend 4 different ways to position in front of these catalysts and the large stock buy-back that was announced in November. 


EQD | Samsung Electronics – How to Position Amid a Plethora of Catalysts

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>
<a href="https://www.smartkarma.com/entities/lg-cns-co-ltd" target="_blank" data-smartkarma-citation="entities:35945:1" rel="noopener">LG CNS (LGCNSZ KS)</a> is looking to raise up to KRW 1,199bn (US$830m), valuing the company at KRW 6 trillion (US$4.15bn) at the top end of the IPO price range.</li>
<li>As a member of the IT sector, inclusion in the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI200 Index</a> will only take place via Fast Entry (near impossible) or as a large-scale company.</li>
<li>Inclusion in global indices could commence in September 2025 and will be easier if the identity of the pre-IPO minority shareholders is disclosed or if the strategic investors sell.</li>
</ul>



LG CNS (LGCNSZ KS) is looking to raise up to KRW 1,199bn (US$830m), valuing the company at KRW 6 trillion (US$4.15bn) at the top end of the IPO price range.
As a member of the IT sector, inclusion in the KOSPI200 Index will only take place via Fast Entry (near impossible) or as a large-scale company.
Inclusion in global indices could commence in September 2025 and will be easier if the identity of the pre-IPO minority shareholders is disclosed or if the strategic investors sell.


LG CNS IPO: Limited Float Pushes Back Passive Buying

Index Rebalance

<ul>
<li>Early in the review period, we forecast 3 changes for the FnGuide Semiconductor Top10 Index at the April rebalance.</li>
<li>Based on the passive assets tracking the index, there will be between 0.6-1.6x ADV to buy in the adds and between 2-4.7x ADV to sell in the deletes.</li>
<li>The forecast adds have outperformed the forecast deletes by a wide margin over the short-term and the medium-term. There could be more prior to the end of the review period.</li>
</ul>


Early in the review period, we forecast 3 changes for the FnGuide Semiconductor Top10 Index at the April rebalance.
Based on the passive assets tracking the index, there will be between 0.6-1.6x ADV to buy in the adds and between 2-4.7x ADV to sell in the deletes.
The forecast adds have outperformed the forecast deletes by a wide margin over the short-term and the medium-term. There could be more prior to the end of the review period.


FnGuide Semiconductor Top10 Index Rebalance Preview: Three Changes as Adds Rally Bigly

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Quantitative Analysis

<ul>
<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 interrupted its rally in July 2024 and it may appear ready to restart rallying, however in the very short term we have 2 possible scenarios.</li>
<li>SCENARIO 1: the index may rally a bit higher, towards 356, but it would be quite overbought, like &gt;85% probability of reversal.</li>
<li>SCENARIO 2: the index could pullback at the beginning of the next week (or before this week's end),  and then, after a modest pullback, start a longer-term uptrend.</li>
</ul>


The KOSPI 200 INDEX has interrupted its rally in July 2024 and it may appear ready to restart rallying, however in the very short term we have 2 possible scenarios.
SCENARIO 1: the index may rally a bit higher, towards 356, but it would be quite overbought, like &gt;85% probability of reversal.
SCENARIO 2: the index could pullback at the beginning of the next week (or before this week's end),  and then, after a modest pullback, start a longer-term uptrend.


The KOSPI Is Not Out of the Woods: WEEKLY Overbought Model Suggests an Impending Pullback

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)

EQD | Kospi Index Options Weekly (January 13 – 17): Heavy Call Volume on Thursday’s Gain.

Kospi rebounds after a soft start to finish flat after strong Thursday gains, with high Call activity and decreased implied volatility.

John Ley

EQD | Samsung Electronics – How to Position Amid a Plethora of Catalysts

Samsung Electronics stock has underperformed due to catalysts, with high implied vols. Recommendations given for positioning ahead of catalysts...

John Ley

LG CNS IPO: Limited Float Pushes Back Passive Buying

The subscription period runs from 21-22 January. Shares will reportedly be offered at KRW 61900, the top end of the IPO range. Demand was said to...

Brian Freitas

FnGuide Semiconductor Top10 Index Rebalance Preview: Three Changes as Adds Rally Bigly

There could be 3 changes for the FnGuide Semiconductor Top10 Index at the April rebalance. Passives need to trade 0.6-4.7x ADV in the changes. The...

Brian Freitas

The KOSPI Is Not Out of the Woods: WEEKLY Overbought Model Suggests an Impending Pullback

The KOSPI 200 Index seems ready to restart long-term uptrending, but we see 2 possible scenarios in the short term: an extension of the current...

Nico Rosti

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD | Kospi Index Options Weekly (January 13 – 17): Heavy Call Volume on Thursday’s Gain.

​Kospi rebounds after a soft start to finish flat after strong Thursday gains, with high Call activity and decreased implied volatility.

John Ley

EQD | Samsung Electronics – How to Position Amid a Plethora of Catalysts

​Samsung Electronics stock has underperformed due to catalysts, with high implied vols. Recommendations given for positioning ahead of catalysts...

John Ley

LG CNS IPO: Limited Float Pushes Back Passive Buying

The subscription period runs from 21-22 January. Shares will reportedly be offered at KRW 61900, the top end of the IPO range. Demand was said to...

Brian Freitas

FnGuide Semiconductor Top10 Index Rebalance Preview: Three Changes as Adds Rally Bigly

There could be 3 changes for the FnGuide Semiconductor Top10 Index at the April rebalance. Passives need to trade 0.6-4.7x ADV in the changes. The...

Brian Freitas

The KOSPI Is Not Out of the Woods: WEEKLY Overbought Model Suggests an Impending Pullback

​The KOSPI 200 Index seems ready to restart long-term uptrending, but we see 2 possible scenarios in the short term: an extension of the current...

Nico Rosti

Kospi rebounds after a soft start to finish flat after strong Thursday gains, with high Call activity and decreased implied volatility.

Samsung Electronics stock has underperformed due to catalysts, with high implied vols. Recommendations given for positioning ahead of catalysts...

The KOSPI 200 Index seems ready to restart long-term uptrending, but we see 2 possible scenarios in the short term: an extension of the current...