Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>
US steel and aluminum tariffs (effective 12 March US time) will take effect on March 13 across the Asia-Pacific region. Volatility can be expected in Japan, South Korea, India, China.</li>
<li>Major quarterly derivatives expirations will occur on March 13 in Japan (Nikkei 225, TOPIX, Stocks), South Korea (KOSPI 200, KOSDAQ 150, Stocks), and India (BSE Stock Futures and Options).</li>
<li>Earnings announcements for <a href="https://www.smartkarma.com/entities/aia-group-ltd" target="_blank" data-smartkarma-citation="entities:14895:1" rel="noopener">AIA Group (1299 HK)</a> and <a href="https://www.smartkarma.com/entities/li-auto-inc-3dbe6187-544f-40dd-b9f9-72fba9c0110e" target="_blank" data-smartkarma-citation="entities:33811:1" rel="noopener">Li Auto (2015 HK/LI US)</a> are scheduled for March 14, while India's markets will be closed that day for the Holi holiday.</li>
</ul>



US steel and aluminum tariffs (effective 12 March US time) will take effect on March 13 across the Asia-Pacific region. Volatility can be expected in Japan, South Korea, India, China.
Major quarterly derivatives expirations will occur on March 13 in Japan (Nikkei 225, TOPIX, Stocks), South Korea (KOSPI 200, KOSDAQ 150, Stocks), and India (BSE Stock Futures and Options).
Earnings announcements for AIA Group (1299 HK) and Li Auto (2015 HK/LI US) are scheduled for March 14, while India's markets will be closed that day for the Holi holiday.


<ul>
<li>The United States' tariff against Mexico and Canada, effective March 4, 2025, could disrupt global markets, with potential volatility spikes similar to early February's events.</li>
<li>
<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</a> and <a href="https://www.smartkarma.com/entities/ftse-100-index-ukx" target="_blank" data-smartkarma-citation="entities:22904:1" rel="noopener">FTSE 100</a>: low implied volatility offers opportunities for protective puts, </li>
<li>
<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> and <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>: an volatility premium suggests a relative value volatility arbitrage play. </li>
</ul>


The United States' tariff against Mexico and Canada, effective March 4, 2025, could disrupt global markets, with potential volatility spikes similar to early February's events.

S&amp;P/ASX 200 and FTSE 100: low implied volatility offers opportunities for protective puts, 

KOSPI 200 and Nikkei 225: an volatility premium suggests a relative value volatility arbitrage play. 


Global Option Implied Volatility - Opportunities in S&P/ASX 200, KOSPI 200, Nikkei 225, FTSE 100.

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>Just over halfway through the review period for the June rebalance 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 (KOSDQ150 INDEX)</a>, there could be 10 constituent changes.</li>
<li>The estimated impact on the potential inclusions ranges from 0.03-3.6 days of ADV while the impact on the potential deletions varies from 0.8-4.3 days of ADV.</li>
<li>The list of forecast adds and deletes has been fairly stable over the last month. The forecast adds have run up at a blistering pace and outperformed the forecast deletes.</li>
</ul>


Just over halfway through the review period for the June rebalance of the KOSDAQ 150 Index (KOSDQ150 INDEX), there could be 10 constituent changes.
The estimated impact on the potential inclusions ranges from 0.03-3.6 days of ADV while the impact on the potential deletions varies from 0.8-4.3 days of ADV.
The list of forecast adds and deletes has been fairly stable over the last month. The forecast adds have run up at a blistering pace and outperformed the forecast deletes.


KOSDAQ150 Index Rebalance Preview: 10 Changes a Side; Strong Outperformance

<ul>
<li>Global option markets present a diverse picture, offering a broad opportunity set.</li>
<li>Several markets make for good hedging-candidates after a strong January and amid cheap options.</li>
<li>Although several Indian indices show high implied volatility, contextual analysis indicates volatility may be fairly priced relative to their bear trends.</li>
</ul>


Global option markets present a diverse picture, offering a broad opportunity set.
Several markets make for good hedging-candidates after a strong January and amid cheap options.
Although several Indian indices show high implied volatility, contextual analysis indicates volatility may be fairly priced relative to their bear trends.


EQD | Global Option Implied Volatility - Option Opportunities Across the Regions

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

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

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)

The Week Ahead in Options - 10 March

US steel and aluminum tariffs to impact Asia-Pacific markets on March 13. Quarterly derivatives expirations in Japan, South Korea, and India....

Gaudenz Schneider

Global Option Implied Volatility - Opportunities in S&P/ASX 200, KOSPI 200, Nikkei 225, FTSE 100.

US tariffs on Mexico and Canada effective 4 March as a potentially adverse market event. S&P/ASX 200 and FTSE 100 offer protective put opportunities.

Gaudenz Schneider

KOSDAQ150 Index Rebalance Preview: 10 Changes a Side; Strong Outperformance

There could be 10 changes for the index in June. The inclusion of two names depends on the index committee. The forecast adds have run up strongly...

Brian Freitas

EQD | Global Option Implied Volatility - Option Opportunities Across the Regions

Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...

Gaudenz Schneider

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

The Week Ahead in Options - 10 March

​US steel and aluminum tariffs to impact Asia-Pacific markets on March 13. Quarterly derivatives expirations in Japan, South Korea, and India....

Gaudenz Schneider

Global Option Implied Volatility - Opportunities in S&P/ASX 200, KOSPI 200, Nikkei 225, FTSE 100.

​US tariffs on Mexico and Canada effective 4 March as a potentially adverse market event. S&P/ASX 200 and FTSE 100 offer protective put opportunities.

Gaudenz Schneider

KOSDAQ150 Index Rebalance Preview: 10 Changes a Side; Strong Outperformance

There could be 10 changes for the index in June. The inclusion of two names depends on the index committee. The forecast adds have run up strongly...

Brian Freitas

EQD | Global Option Implied Volatility - Option Opportunities Across the Regions

​Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...

Gaudenz Schneider

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

US steel and aluminum tariffs to impact Asia-Pacific markets on March 13. Quarterly derivatives expirations in Japan, South Korea, and India....

US tariffs on Mexico and Canada effective 4 March as a potentially adverse market event. S&P/ASX 200 and FTSE 100 offer protective put opportunities.

Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...