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>Kospi rallied strongly this week, reaching 8-month highs and showing strong relative strength as other indices stalled out.</li>
<li>Volatility firmed up across the board amid sharp price action and strong demand for Calls.</li>
<li>Volatility dynamics this week differed notably from recent directional moves.</li>
</ul>


Kospi rallied strongly this week, reaching 8-month highs and showing strong relative strength as other indices stalled out.
Volatility firmed up across the board amid sharp price action and strong demand for Calls.
Volatility dynamics this week differed notably from recent directional moves.


Kospi Index Options Weekly (May 26 – 30): Index Surges as Call Demand Drives Vol Higher

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>Korea Exchange announced its <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> rebalance changes on 27 May, <a href="https://www.smartkarma.com/profiles/sanghyun-park" target="_blank" data-smartkarma-citation="accounts:354" rel="noopener">Sanghyun Park</a> and <a href="https://www.smartkarma.com/profiles/douglas-kim" target="_blank" data-smartkarma-citation="accounts:342" rel="noopener">Douglas Kim</a> wrote extensively about this, here we want to focus purely on the tactical strategy.</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> pulled back last week, then surged on Monday and stagnated on Tuesday, the index <strong>has plenty of room to go higher according to our model.</strong>
</li>
<li>According to our model,<strong> the number of rallies vastly offset the number of pullbacks when this pattern is encountered (=pullbacks are rare), this could be read as a bullish indication.</strong>
</li>
</ul>


Korea Exchange announced its KOSPI 200 rebalance changes on 27 May, Sanghyun Park and Douglas Kim wrote extensively about this, here we want to focus purely on the tactical strategy.
The KOSPI 200 INDEX pulled back last week, then surged on Monday and stagnated on Tuesday, the index has plenty of room to go higher according to our model.

According to our model, the number of rallies vastly offset the number of pullbacks when this pattern is encountered (=pullbacks are rare), this could be read as a bullish indication.



KOSPI 200 Tactical Outlook After Index Rebalancing

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>ETF trading topped 50% of KOSPI turnover in April—a first outside the March 2020 COVID crash—rising nearly 14 percentage points month-to-month despite a sharp overall volume drop.</li>
<li>Despite a 30% drop in KOSPI volume, leveraged and inverse ETFs surged 28% and 34%, led by ‘KODEX Leverage’ and ‘KODEX 200 Futures Inverse 2X’ hitting top ADV ranks.</li>
<li>Some local traders see opportunities in spot market dislocations amid volatility, futures rollovers, and ETF-driven supply-demand imbalances likely to persist from last month’s surge.</li>
</ul>


ETF trading topped 50% of KOSPI turnover in April—a first outside the March 2020 COVID crash—rising nearly 14 percentage points month-to-month despite a sharp overall volume drop.
Despite a 30% drop in KOSPI volume, leveraged and inverse ETFs surged 28% and 34%, led by ‘KODEX Leverage’ and ‘KODEX 200 Futures Inverse 2X’ hitting top ADV ranks.
Some local traders see opportunities in spot market dislocations amid volatility, futures rollovers, and ETF-driven supply-demand imbalances likely to persist from last month’s surge.


Surge in ETF Trading Share on KOSPI: Spot Dislocation Opportunities from Leverage Trades

<ul>
<li>According to market information confirmed so far, the resumption is set for July 1st, and short selling will be restricted to the constituents of KOSPI 200 and KOSDAQ 150.</li>
<li>The surge in trading volume likely stemmed from the return of long-short positions post-short-selling ban, leading to an overall market volume increase.</li>
<li>Another critical factor is the buying pressure on value-up stocks resuming in early July. We should aim at the price impacts of intersecting long-short flows and value-up stock purchases.</li>
</ul>


According to market information confirmed so far, the resumption is set for July 1st, and short selling will be restricted to the constituents of KOSPI 200 and KOSDAQ 150.
The surge in trading volume likely stemmed from the return of long-short positions post-short-selling ban, leading to an overall market volume increase.
Another critical factor is the buying pressure on value-up stocks resuming in early July. We should aim at the price impacts of intersecting long-short flows and value-up stock purchases.


July Short Selling Resumption in Korea: Local Market Info & Trading Considerations

<ul>
<li>Lee Bok-hyun hopes for short selling to resume by late June. Given his influence on the Value-up policy, it's likely to happen.</li>
<li>Lee expects key tax incentives for the value-up program to be included in the July tax reform bill, showing a market-friendly stance.</li>
<li>Yesterday's New York event had a very positive atmosphere with more attendees than expected, showing genuine investor interest, likely ensuring sustained interest in Korea's Value-up program.</li>
</ul>


Lee Bok-hyun hopes for short selling to resume by late June. Given his influence on the Value-up policy, it's likely to happen.
Lee expects key tax incentives for the value-up program to be included in the July tax reform bill, showing a market-friendly stance.
Yesterday's New York event had a very positive atmosphere with more attendees than expected, showing genuine investor interest, likely ensuring sustained interest in Korea's Value-up program.


FSS Head's Aggressive Remarks for Value-Up at NY Event, Incl. Short Selling Resumption Late June

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)

Kospi Index Options Weekly (May 26 – 30): Index Surges as Call Demand Drives Vol Higher

Kospi hits 8-month high, shows relative strength vs other indices. Volatility increases with strong demand for Calls and is becoming more...

John Ley

KOSPI 200 Tactical Outlook After Index Rebalancing

The fresh KOSPI 200 rebalance changes may affect tactical strategies, this insight examines the index's current outlook using our probabilistic...

Nico Rosti

July Short Selling Resumption in Korea: Local Market Info & Trading Considerations

This post provides information circulating in Korea's local market about the resumption of short selling in July and its potential trading...

Sanghyun Park

FSS Head's Aggressive Remarks for Value-Up at NY Event, Incl. Short Selling Resumption Late June

This post delivers Korea FSS Head (Lee Bok-hyun)'s very aggressive remarks for the Value-up program at yesterday's investors meeting in New York....

Sanghyun Park

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Kospi Index Options Weekly (May 26 – 30): Index Surges as Call Demand Drives Vol Higher

​Kospi hits 8-month high, shows relative strength vs other indices. Volatility increases with strong demand for Calls and is becoming more...

John Ley

KOSPI 200 Tactical Outlook After Index Rebalancing

The fresh KOSPI 200 rebalance changes may affect tactical strategies, this insight examines the index's current outlook using our probabilistic...

Nico Rosti

Surge in ETF Trading Share on KOSPI: Spot Dislocation Opportunities from Leverage Trades

This post covers a sharp rise in ETF trading share on KOSPI: Spot market dislocation opportunities driven by a surge in index leverage trading.

Sanghyun Park

July Short Selling Resumption in Korea: Local Market Info & Trading Considerations

This post provides information circulating in Korea's local market about the resumption of short selling in July and its potential trading...

Sanghyun Park

FSS Head's Aggressive Remarks for Value-Up at NY Event, Incl. Short Selling Resumption Late June

This post delivers Korea FSS Head (Lee Bok-hyun)'s very aggressive remarks for the Value-up program at yesterday's investors meeting in New York....

Sanghyun Park

Kospi hits 8-month high, shows relative strength vs other indices. Volatility increases with strong demand for Calls and is becoming more...