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>A renewed tariff threat from Trump sparked a sharp, sell-off across North American Equity markets.</li>
<li>The sell off was broad based and accordingly we look at the performance of Asian Index ETF’s that trade in North America to help prepare for Monday’s price action.</li>
<li>Implied volatility, price and option volume are displayed for each symbol.</li>
</ul>


A renewed tariff threat from Trump sparked a sharp, sell-off across North American Equity markets.
The sell off was broad based and accordingly we look at the performance of Asian Index ETF’s that trade in North America to help prepare for Monday’s price action.
Implied volatility, price and option volume are displayed for each symbol.


Market Sell-Off (Oct 10): How Asian Index ETFs Responded to Market Slide

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>The June rebalance of the <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KraneShares CSI China Internet ETF (KWEB US)</a> will take place at the close of trading on 13 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/healthyway-inc" target="_blank" data-smartkarma-citation="entities:39862:1" rel="noopener">HealthyWay (2587 HK)</a> will be added to the ETF while <a href="https://www.smartkarma.com/entities/east-buy-holding-ltd" target="_blank" data-smartkarma-citation="entities:27796:1" rel="noopener">East Buy Holding (1797 HK)</a> will be deleted. The passive trading will offer an opportunity to exit positions.</li>
<li>There is a huge lock-up expiry in <a href="https://www.smartkarma.com/entities/healthyway-inc" target="_blank" data-smartkarma-citation="entities:39862:1" rel="noopener">HealthyWay (2587 HK)</a> on 30 June and the stock could drop ahead of that. Then it could drop some more after lock-up expiry.</li>
</ul>


The June rebalance of the KraneShares CSI China Internet ETF (KWEB US) will take place at the close of trading on 13 June.

HealthyWay (2587 HK) will be added to the ETF while East Buy Holding (1797 HK) will be deleted. The passive trading will offer an opportunity to exit positions.
There is a huge lock-up expiry in HealthyWay (2587 HK) on 30 June and the stock could drop ahead of that. Then it could drop some more after lock-up expiry.


KWEB Index Rebalance: HealthyWay In; East Buy Out

<ul>
<li>
<a href="https://www.smartkarma.com/entities/east-buy-holding-ltd" target="_blank" data-smartkarma-citation="entities:27796:1" rel="noopener">East Buy Holding (1797 HK)</a> was deleted from the <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index</a> in March and could be deleted from the <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KraneShares CSI China Internet ETF (KWEB US)</a> in June.</li>
<li>There are other ETFs that track the same index (and similar indices), and those trackers will be selling <a href="https://www.smartkarma.com/entities/east-buy-holding-ltd" target="_blank" data-smartkarma-citation="entities:27796:1" rel="noopener">East Buy Holding (1797 HK)</a> too.</li>
<li>There has been some short covering in the stock recently, but short interest is pretty high as a percentage of float. Watch out for short covering that offsets passive selling.</li>
</ul>



East Buy Holding (1797 HK) was deleted from the Hang Seng TECH Index in March and could be deleted from the KraneShares CSI China Internet ETF (KWEB US) in June.
There are other ETFs that track the same index (and similar indices), and those trackers will be selling East Buy Holding (1797 HK) too.
There has been some short covering in the stock recently, but short interest is pretty high as a percentage of float. Watch out for short covering that offsets passive selling.


East Buy Holdings (1797 HK): Potential KWEB Deletion in June

Event-Driven

<ul>
<li>The largest ETF inflows in the region have been in Taiwan as investors rush into indices that have higher dividend yields.</li>
<li>China had large inflows last year as markets floundered. With markets trading in a range over the last 6 months, those flows have reversed in Q1 this year.</li>
<li>Australia has seen net inflows this year, while there have been net outflows from Hong Kong, India and Japan focused ETFs.</li>
</ul>


The largest ETF inflows in the region have been in Taiwan as investors rush into indices that have higher dividend yields.
China had large inflows last year as markets floundered. With markets trading in a range over the last 6 months, those flows have reversed in Q1 this year.
Australia has seen net inflows this year, while there have been net outflows from Hong Kong, India and Japan focused ETFs.


ETF Flows in Q1: Inflows for Taiwan, Outflows for China

<ul>
<li>We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.</li>
<li>India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.</li>
<li>A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.</li>
</ul>


We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.
India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.
A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.


Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

United States

KraneShares CSI China Internet Fund is an exchange-traded fund incorporated in the USA. The fund tracks the CSI Overseas China Internet Index. It invests in a universe of publicly traded China-based companies whose primary business is in the Internet and Internet-related sectors. It attempts to offer exposure to companies that benefit from increasing consumption by China's growing middle class.

KraneShares CSI China Internet ETF (KWEB US)

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

KraneShares CSI China Internet ETF (KWEB US)

Market Sell-Off (Oct 10): How Asian Index ETFs Responded to Market Slide

The powerful surge in the silver price on Friday, which propelled it to new multi-year highs, has drawn significant market attention to placing...

John Ley

KWEB Index Rebalance: HealthyWay In; East Buy Out

HealthyWay replace East Buy in the KWEB ETF on 13 June. There is a huge lock-up expiry in HealthyWay on 30 June and the stock could drop before and...

Brian Freitas

East Buy Holdings (1797 HK): Potential KWEB Deletion in June

East Buy Holdings could be deleted from the KWEB in June. Shorts have been covering and there has been minimal increase in positioning recently....

Brian Freitas

ETF Flows in Q1: Inflows for Taiwan, Outflows for China

Taiwan has taken in the largest inflows in Q1 while the largest outflows are in China. The switch from EEM to IEMG continues. Redemptions from EMXC...

Brian Freitas

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)