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>12 ETFs (9 passive and 3 active) and 1 ETN tracking the Korea Value-Up Index will start trading on the KRX on 4 November.</li>
<li>At listing, the combined AUM across the 13 products is KRW 511bn (US$370m). So not a lot of impact on the stocks in the index.</li>
<li>The expectation is that there will be a lot of money that starts to track the index after the ETF listing. Looking at Japan, that is not a success story.</li>
</ul>


12 ETFs (9 passive and 3 active) and 1 ETN tracking the Korea Value-Up Index will start trading on the KRX on 4 November.
At listing, the combined AUM across the 13 products is KRW 511bn (US$370m). So not a lot of impact on the stocks in the index.
The expectation is that there will be a lot of money that starts to track the index after the ETF listing. Looking at Japan, that is not a success story.


Korea Value-Up ETFs: Listing on 4 Nov with US$370m AUM

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>Global equity markets have experienced falling prices and increasing volatility over the past week. Some markets were affected more than others.</li>
<li>Hedging opportunities in the <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>, the <a href="https://www.smartkarma.com/entities/ftse-100-index-ukx" target="_blank" data-smartkarma-citation="entities:22904:1" rel="noopener">FTSE 100 Index (UKX INDEX)</a>, or the Swiss Market Index; all with sub-13% implied volatility.</li>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> experienced some of the largest market and volatility moves in international comparison, with more turbulence likely ahead following the Japanese elections.</li>
</ul>


Global equity markets have experienced falling prices and increasing volatility over the past week. Some markets were affected more than others.
Hedging opportunities in the S&amp;P/ASX 200 (AS51 INDEX), the FTSE 100 Index (UKX INDEX), or the Swiss Market Index; all with sub-13% implied volatility.
The Nikkei 225 (NKY INDEX) experienced some of the largest market and volatility moves in international comparison, with more turbulence likely ahead following the Japanese elections.


EQD | Global Option Implied Volatility - Nikkei 225, Nifty 50, S&P/ASX 200, S&P 500, SMI, FTSE 100

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> in the last 2 weeks has been modestly drifting downwards, after a brief recovery rally. </li>
<li>The 2 main possible scenarios for the next 2-3 weeks in our view are either a rally, or a mini-crash (keep reading and we will explain why).</li>
<li>At the moment our models are not signaling an oversold scenario, however that could change as this coming week begins. </li>
</ul>


The KOSPI 200 INDEX in the last 2 weeks has been modestly drifting downwards, after a brief recovery rally. 
The 2 main possible scenarios for the next 2-3 weeks in our view are either a rally, or a mini-crash (keep reading and we will explain why).
At the moment our models are not signaling an oversold scenario, however that could change as this coming week begins. 


EQD | KOSPI 200 Time to Crash? or Time to Bounce?

<ul>
<li>The KRX announced the 100 constituents of the much-awaited Korea Value-Up Index on 24 September. There were hits and misses but broad consensus was that the index is a miss.</li>
<li>Following market feedback, the KRX could conduct a special rebalance of the index in December. But this could be after the launch of ETFs tracking the index.</li>
<li>With a big overlap and similar characteristics as 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>, there could be limited assets benchmarked to the Korea Value-Up Index in the short-term.</li>
</ul>


The KRX announced the 100 constituents of the much-awaited Korea Value-Up Index on 24 September. There were hits and misses but broad consensus was that the index is a miss.
Following market feedback, the KRX could conduct a special rebalance of the index in December. But this could be after the launch of ETFs tracking the index.
With a big overlap and similar characteristics as the KOSPI 200 Index, there could be limited assets benchmarked to the Korea Value-Up Index in the short-term.


Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>While the short-selling ban for 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> will remain in place until the first months of 2025, that does not prevent the index from pulling back.</li>
<li>Pullbacks, in this context, are an opportunity to buy, in the hope the index will rise higher from its current position.</li>
<li>Our models right now are showing a short-term WEEKLY OVERBOUGHT scenario coming in the next 2 weeks. Keep reading for more details.</li>
</ul>


While the short-selling ban for the KOSPI 200 INDEX will remain in place until the first months of 2025, that does not prevent the index from pulling back.
Pullbacks, in this context, are an opportunity to buy, in the hope the index will rise higher from its current position.
Our models right now are showing a short-term WEEKLY OVERBOUGHT scenario coming in the next 2 weeks. Keep reading for more details.


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)

Korea Value-Up ETFs: Listing on 4 Nov with US$370m AUM

12 ETFs (9 passive and 3 active) and 1 ETN tracking the Korea Value-Up Index will start trading on the KRX on 4 November. Total assets at launch...

Brian Freitas

EQD | Global Option Implied Volatility - Nikkei 225, Nifty 50, S&P/ASX 200, S&P 500, SMI, FTSE 100

Global equity markets have seen falling prices and rising volatility. Hedging opportunities exist in the FTSE 100, SMI, and S&P/ASX 200. The...

Gaudenz Schneider

EQD | KOSPI 200 Time to Crash? or Time to Bounce?

The KOSPI 200 Index has been drifting modestly downwards for 2 weeks, now we see a fork: either a rally or a mini-crash, from next week.

Nico Rosti

Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

The Korea Value-Up Index is very similar to the KOSPI200 Index. That could mean not a lot of passive assets tracking the index. Stocks with the...

Brian Freitas

EQD | KOSPI 200 May Pullback Soon...

Pullbacks on the KOSPI 200 INDEX are currently a buy opportunity, given the short-selling ban still in place. We predict a short-term WEEKLY...

Nico Rosti

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Korea Value-Up ETFs: Listing on 4 Nov with US$370m AUM

12 ETFs (9 passive and 3 active) and 1 ETN tracking the Korea Value-Up Index will start trading on the KRX on 4 November. Total assets at launch...

Brian Freitas

EQD | Global Option Implied Volatility - Nikkei 225, Nifty 50, S&P/ASX 200, S&P 500, SMI, FTSE 100

​Global equity markets have seen falling prices and rising volatility. Hedging opportunities exist in the FTSE 100, SMI, and S&P/ASX 200. The...

Gaudenz Schneider

EQD | KOSPI 200 Time to Crash? or Time to Bounce?

​The KOSPI 200 Index has been drifting modestly downwards for 2 weeks, now we see a fork: either a rally or a mini-crash, from next week.

Nico Rosti

Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

The Korea Value-Up Index is very similar to the KOSPI200 Index. That could mean not a lot of passive assets tracking the index. Stocks with the...

Brian Freitas

EQD | KOSPI 200 May Pullback Soon...

Pullbacks on the KOSPI 200 INDEX are currently a buy opportunity, given the short-selling ban still in place. We predict a short-term WEEKLY...

Nico Rosti

Global equity markets have seen falling prices and rising volatility. Hedging opportunities exist in the FTSE 100, SMI, and S&P/ASX 200. The...

The KOSPI 200 Index has been drifting modestly downwards for 2 weeks, now we see a fork: either a rally or a mini-crash, from next week.