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>Eight months after shareholders approved the transfer from the KOSDAQ to the KOSPI market, <a href="https://www.smartkarma.com/entities/ecopro-bm-co-ltd" target="_blank" data-smartkarma-citation="entities:27873:1" rel="noopener">Ecopro BM (247540 KS)</a> has submitted the application for section transfer to the KRX.</li>
<li>Given historical precedent, the transfer could take place in February. <a href="https://www.smartkarma.com/entities/ecopro-bm-co-ltd" target="_blank" data-smartkarma-citation="entities:27873:1" rel="noopener">Ecopro BM</a>'s deletion will mean an inclusion to the <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ150 Index</a> to maintain the number of index constituents at 150.</li>
<li>
<a href="https://www.smartkarma.com/entities/ecopro-bm-co-ltd" target="_blank" data-smartkarma-citation="entities:27873:1" rel="noopener">Ecopro BM (247540 KS)</a> will be deleted from 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> leading to passive selling and some short covering. Then will come the inclusion to 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>.</li>
</ul>


Eight months after shareholders approved the transfer from the KOSDAQ to the KOSPI market, Ecopro BM (247540 KS) has submitted the application for section transfer to the KRX.
Given historical precedent, the transfer could take place in February. Ecopro BM's deletion will mean an inclusion to the KOSDAQ150 Index to maintain the number of index constituents at 150.

Ecopro BM (247540 KS) will be deleted from the KOSDAQ 150 Index leading to passive selling and some short covering. Then will come the inclusion to the KOSPI 200 Index.


Ecopro BM (247540 KS): Index Implications as KOSPI Transfer Nears

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

<ul>
<li>We introduce a new section this month showing implied vol vs average absolute December price movement. A good way to screen for straddle candidates for the month ahead.</li>
<li>Implied vols came in hard in November with the US election and the FOMC in the rear-view mirror.</li>
<li>Price performance across markets especially strong in the final week of the month with SP500, Nifty and SPASX200 postive on the month ~ 70% of the time. </li>
</ul>


We introduce a new section this month showing implied vol vs average absolute December price movement. A good way to screen for straddle candidates for the month ahead.
Implied vols came in hard in November with the US election and the FOMC in the rear-view mirror.
Price performance across markets especially strong in the final week of the month with SP500, Nifty and SPASX200 postive on the month ~ 70% of the time. 


EQD | Asia December Vol Roadmap - The Big Exhale

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.</li>
<li>Market Specific commentary and option opportunities for <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a>, <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>, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a>, <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 (NDX INDEX)</a>, <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 (SPX INDEX),</a> and more.</li>
<li>Volatility analytics plus upcoming events and market holidays to the end of January as reference data.</li>
</ul>


The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.
Market Specific commentary and option opportunities for NIFTY Index (NIFTY INDEX), S&amp;P/ASX 200 (AS51 INDEX), Nikkei 225 (NKY INDEX), Nasdaq-100 (NDX INDEX), S&amp;P 500 (SPX INDEX), and more.
Volatility analytics plus upcoming events and market holidays to the end of January as reference data.


EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

Chief Executive Officer, Emmer Capital Partners Limited

Manishi Raychaudhuri

Chief Executive Officer

Emmer Capital Partners Limited

Emmer Capital Partners is an Asia Pacific focused financial advisory firm engaging in strategic financial asset allocation advice, bespoke thematic research and advising early-stage companies and connecting them to investors. Emmer Capital provides macro-economic and multi-asset investment strategy inputs to institutions, family offices, private wealth managers, private equity, and corporate boards directly and through independent research platforms. Emmer Capital also advises a wide range of startup companies on fund raising and business strategy. Emmer Capital's active engagement with the print and electronic media reaches a broad spectrum of investors across the globe.

Cross Asset Strategy

<ul>
<li>Asia is cheap relative to the US - trading at less than 40% of US's P/BV - but that's because Asia's ROE has consistently declined relative to US's.</li>
<li>Over the next couple of years Asian ROEs are forecast to revive relative to the US's but all Asian markets are not forecast to participate in this recovery.</li>
<li>The "ROE Winners" (rising forecast ROEs) are Korea, Taiwan, India, Malaysia. Indonesia to stay flat but solidly higher than Asian average. We are skeptical of HK/China and Thailand's ROE recovery.</li>
</ul>


Asia is cheap relative to the US - trading at less than 40% of US's P/BV - but that's because Asia's ROE has consistently declined relative to US's.
Over the next couple of years Asian ROEs are forecast to revive relative to the US's but all Asian markets are not forecast to participate in this recovery.
The "ROE Winners" (rising forecast ROEs) are Korea, Taiwan, India, Malaysia. Indonesia to stay flat but solidly higher than Asian average. We are skeptical of HK/China and Thailand's ROE recovery.


Asian Equities: Be Selective - Focus on The "ROE Winners"

Korea/Asia, Events, IPOs, Douglas Research Advisory

Douglas Kim

Korea/Asia, Events, IPOs

Douglas Research Advisory

<ul>
<li>On 19 November, the Financial Services Commission (FSC) announced major rule changes on corporate mergers and acquisitions have been approved by the Korean government.</li>
<li>Revised rules have three specific goals: Improve rules on calculating and determining merger prices when M&amp;As take place between nonaffiliated business entities, strengthen disclosure duties, and improve external evaluation system.</li>
<li>If the Korean government is really serious about making positive rule changes, they need to apply these new laws not just for NON-AFFILIATED companies but more importantly for AFFIILATED companies.</li>
</ul>


On 19 November, the Financial Services Commission (FSC) announced major rule changes on corporate mergers and acquisitions have been approved by the Korean government.
Revised rules have three specific goals: Improve rules on calculating and determining merger prices when M&amp;As take place between nonaffiliated business entities, strengthen disclosure duties, and improve external evaluation system.
If the Korean government is really serious about making positive rule changes, they need to apply these new laws not just for NON-AFFILIATED companies but more importantly for AFFIILATED companies.


Major M&A Rule Changes Approved by the Korean Government

South Korea

The KOSPI Index is a capitalization-weighted index of all common shares on the Korean Stock Exchanges. The Index was developed with a base value of 100 as of January 4, 1980. Note: The preferred shares are excluded in calculating the KOSPI Index from June 14, 2002. 

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Korea Stock Exchange Kospi Index (KOSPI INDEX)

Ecopro BM (247540 KS): Index Implications as KOSPI Transfer Nears

EcoproBM's section transfer application is with the KRX; approval could come in Jan/Feb. LS Marine could be added to the KOSDAQ150 Index while...

Brian Freitas

EQD | Asia December Vol Roadmap - The Big Exhale

New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

John Ley

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Gaudenz Schneider

Asian Equities: Be Selective - Focus on The "ROE Winners"

Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...

Manishi Raychaudhuri

Major M&A Rule Changes Approved by the Korean Government

On 19 November, the Financial Services Commission (FSC) announced major rule changes on corporate mergers and acquisitions have been approved by...

Douglas Kim

Ecopro BM (247540 KS): Index Implications as KOSPI Transfer Nears

EcoproBM's section transfer application is with the KRX; approval could come in Jan/Feb. LS Marine could be added to the KOSDAQ150 Index while...

Brian Freitas

EQD | Asia December Vol Roadmap - The Big Exhale

​New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

John Ley

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

​US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Gaudenz Schneider

Asian Equities: Be Selective - Focus on The "ROE Winners"

​Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...

Manishi Raychaudhuri

Major M&A Rule Changes Approved by the Korean Government

On 19 November, the Financial Services Commission (FSC) announced major rule changes on corporate mergers and acquisitions have been approved by...

Douglas Kim

New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...