Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics (005930 KS)</a> stabilised in the first half of August, gaining 4.6%, while the 2x Leveraged Index rose 6.8%.</li>
<li>Despite the rebound, leveraged ETFs recorded KRW 372bn of net outflows, reducing combined AUM by 2% in August MTD.</li>
<li>Investor flows—not performance alone—are driving AUM. Their effect on demand for Samsung shares may be amplified or offset by the ETFs’ daily leverage rebalancing.</li>
</ul>



Samsung Electronics (005930 KS) stabilised in the first half of August, gaining 4.6%, while the 2x Leveraged Index rose 6.8%.
Despite the rebound, leveraged ETFs recorded KRW 372bn of net outflows, reducing combined AUM by 2% in August MTD.
Investor flows—not performance alone—are driving AUM. Their effect on demand for Samsung shares may be amplified or offset by the ETFs’ daily leverage rebalancing.


Samsung Elec (005930 KS): August Gains Fail to Stem 2x Leveraged ETF Outflows

<ul>
<li>Following large moves in <a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK hynix (000660 KS)</a> , CSOP will allow leverage across its twelve single-asset 2x leveraged products to fall as low as 1.1x.</li>
<li>Flexible leverage in the largest listed leveraged product on SK hynix may reduce hedging and rebalancing pressure during periods of market stress.</li>
<li>The change adds manager discretion, may limit participation in subsequent rebounds and reinforces that these are ultra-short-term trading products.</li>
</ul>


Following large moves in SK hynix (000660 KS) , CSOP will allow leverage across its twelve single-asset 2x leveraged products to fall as low as 1.1x.
Flexible leverage in the largest listed leveraged product on SK hynix may reduce hedging and rebalancing pressure during periods of market stress.
The change adds manager discretion, may limit participation in subsequent rebounds and reinforces that these are ultra-short-term trading products.


SK Hynix (000660 KS): Large Moves Prompt Largest 2x Product to Reduce Leverage

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

Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/uti-inc-korea" target="_blank" data-smartkarma-citation="entities:25496:1" rel="noopener">UTI Inc/Korea (179900 KS)</a> has been added to the Investment Attention Issue list on 24 March. That could mean <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> deletion later this week.</li>
<li>As the highest ranked non-constituent from the Information Technology sector at the December rebalance, <a href="https://www.smartkarma.com/entities/itcenglobal-co-ltd" target="_blank" data-smartkarma-citation="entities:45928:1" rel="noopener">ITCENGLOBAL (124500 KS)</a> could be added to the index.</li>
<li>Expect <a href="https://www.smartkarma.com/entities/uti-inc-korea" target="_blank" data-smartkarma-citation="entities:25496:1" rel="noopener">UTI Inc/Korea (179900 KS)</a> to make new lows today, while <a href="https://www.smartkarma.com/entities/itcenglobal-co-ltd" target="_blank" data-smartkarma-citation="entities:45928:1" rel="noopener">ITCENGLOBAL (124500 KS)</a> could reverse some of the losses from the last 8 trading sessions.</li>
</ul>



UTI Inc/Korea (179900 KS) has been added to the Investment Attention Issue list on 24 March. That could mean KOSDAQ 150 Index (KOSDQ150 INDEX) deletion later this week.
As the highest ranked non-constituent from the Information Technology sector at the December rebalance, ITCENGLOBAL (124500 KS) could be added to the index.
Expect UTI Inc/Korea (179900 KS) to make new lows today, while ITCENGLOBAL (124500 KS) could reverse some of the losses from the last 8 trading sessions.


KOSDAQ150 Index Adhoc Rebalance: ITCenGlobal (124500) Could Replace UTI (179900) In 3 Days

<ul>
<li>Higen RNM (160190 KQ) was added to the Investment Attention Issue list on 17 March and traded down 27.7%. Then came the announcement of 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> deletion.</li>
<li>As the highest ranked non-constituent from the industrials sector at the December rebalance, <a href="https://www.smartkarma.com/entities/hyundai-hyms-co-ltd" target="_blank" data-smartkarma-citation="entities:40444:1" rel="noopener">Hyundai Hyms (460930 KS)</a> will be added 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> at the close on 25 March.</li>
<li>Historically, intra-review inclusions have moved higher between announcement and implementation and there has been reversion post the index inclusion.</li>
</ul>


Higen RNM (160190 KQ) was added to the Investment Attention Issue list on 17 March and traded down 27.7%. Then came the announcement of the KOSDAQ 150 Index deletion.
As the highest ranked non-constituent from the industrials sector at the December rebalance, Hyundai Hyms (460930 KS) will be added to the KOSDAQ150 Index at the close on 25 March.
Historically, intra-review inclusions have moved higher between announcement and implementation and there has been reversion post the index inclusion.


KOSDAQ150 Index Adhoc Rebalance: Hyundai Hyms (460930 KQ) To Replace Higen RNM (160190 KQ)

<ul>
<li>
<a href="https://www.smartkarma.com/entities/mezzion-pharma-co-ltd" target="_blank" data-smartkarma-citation="entities:11423:1" rel="noopener">Mezzion Pharma (140410 KS)</a> was added to the Investment Attention Issue list on 17 March and traded down 21%. Then came the announcement of 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> deletion.</li>
<li>As the highest ranked non-constituent from the Healthcare sector at the December rebalance, Curiox BioSystems (445680 KQ) will be added 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> at the close on 19 March.</li>
<li>Historically, intra-review inclusions have moved higher between announcement and implementation and there has been reversion post the index inclusion.</li>
</ul>



Mezzion Pharma (140410 KS) was added to the Investment Attention Issue list on 17 March and traded down 21%. Then came the announcement of the KOSDAQ 150 Index deletion.
As the highest ranked non-constituent from the Healthcare sector at the December rebalance, Curiox BioSystems (445680 KQ) will be added to the KOSDAQ150 Index at the close on 19 March.
Historically, intra-review inclusions have moved higher between announcement and implementation and there has been reversion post the index inclusion.


KOSDAQ150 Index Adhoc Rebalance: Curiox Bio (445680 KQ) To Replace Mezzion Pharma (140410 KQ)

South Korea

KOSDAQ 150 Index is a base index for futures trading to hedge risks in KOSDAQ market. Base period and base index : Jan 4, 2010, 1,000p

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KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)

Samsung Elec (005930 KS): August Gains Fail to Stem 2x Leveraged ETF Outflows

Samsung Electronics gained 4.6% in early August, but KRW 372bn of 2x leveraged ETF outflows cut AUM by 2%. Flows are shaping ETF-driven demand for...

Gaudenz Schneider

SK Hynix (000660 KS): Large Moves Prompt Largest 2x Product to Reduce Leverage

Large moves in SK Hynix prompt its largest 2x leveraged product to reduce leverage, easing hedging and rebalancing pressure while adding manager...

Gaudenz Schneider

KOSDAQ150 Index Adhoc Rebalance: ITCenGlobal (124500) Could Replace UTI (179900) In 3 Days

UTI has been added to the Investment Attention list and could be deleted from the KOSDAQ150 at the close 26 March. ITCenGlobal has the highest...

Brian Freitas

KOSDAQ150 Index Adhoc Rebalance: Hyundai Hyms (460930 KQ) To Replace Higen RNM (160190 KQ)

Higen RNM has been added to the Investment Attention list and will be deleted from the KOSDAQ150 Index. Hyundai Hyms will be added to the index....

Brian Freitas

KOSDAQ150 Index Adhoc Rebalance: Curiox Bio (445680 KQ) To Replace Mezzion Pharma (140410 KQ)

Mezzion Pharma has been added to the Investment Attention list and will be deleted from the KOSDAQ150 Index. Curiox Biosystems will be added to the...

Brian Freitas

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