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

<ul>
<li>KRX’s night-time derivatives market goes live Monday, June 9. With Eurex ties ending June 5, this shift to in-house trading could bring flow and liquidity changes worth planning for. </li>
<li>KRX is doubling its night session lineup from 5 to 10 products, adding KOSDAQ 150 futures/options, Mini KOSPI 200 options, and 3- and 10-year KTB futures.</li>
<li>KRX is tightening overall price limits for night sessions but doubling real-time order bands—aiming to curb big swings while keeping trades flowing smoothly despite thinner liquidity.</li>
</ul>


KRX’s night-time derivatives market goes live Monday, June 9. With Eurex ties ending June 5, this shift to in-house trading could bring flow and liquidity changes worth planning for. 
KRX is doubling its night session lineup from 5 to 10 products, adding KOSDAQ 150 futures/options, Mini KOSPI 200 options, and 3- and 10-year KTB futures.
KRX is tightening overall price limits for night sessions but doubling real-time order bands—aiming to curb big swings while keeping trades flowing smoothly despite thinner liquidity.


KRX's In-House Derivatives Night Session: Schedule, Operational Details & Trading Considerations

<ul>
<li>The FSS is banning arb trades under the MM book, requiring separate books for any arb positions to keep them distinct from MM flow.</li>
<li>Most local shops lack the resources to set up a separate arb desk. Splitting teams, creating new workflows, and hiring extra staff isn’t feasible given their tight P&amp;L.</li>
<li>Building a tracker for MM dropouts could spot dislocations, as the crackdown creates short-term inefficiencies—if we’re dialed in, there’s alpha to be made.</li>
</ul>


The FSS is banning arb trades under the MM book, requiring separate books for any arb positions to keep them distinct from MM flow.
Most local shops lack the resources to set up a separate arb desk. Splitting teams, creating new workflows, and hiring extra staff isn’t feasible given their tight P&amp;L.
Building a tracker for MM dropouts could spot dislocations, as the crackdown creates short-term inefficiencies—if we’re dialed in, there’s alpha to be made.


FSS Bans Arb in Local MM Books: Identifying Opportunities from Short-Term Inefficiencies

<ul>
<li>For March KOSPI 200 futures, expect a 0.95% to 1% yield for spot-futures arbitrage, with contango depending on year-end ex-div trends and passive inflows.</li>
<li>Passive inflows into the value-up index in January and spillover effects into K200 futures, potentially fueling year-end contango due to overlap with KOSPI 200.</li>
<li>Prop trader dynamics are cooling off: Tax-driven buying in December, selling in January likely to ease, reducing the past backwardation. Without it, expect higher volatility in K200 futures.</li>
</ul>


For March KOSPI 200 futures, expect a 0.95% to 1% yield for spot-futures arbitrage, with contango depending on year-end ex-div trends and passive inflows.
Passive inflows into the value-up index in January and spillover effects into K200 futures, potentially fueling year-end contango due to overlap with KOSPI 200.
Prop trader dynamics are cooling off: Tax-driven buying in December, selling in January likely to ease, reducing the past backwardation. Without it, expect higher volatility in K200 futures.


Digging into the Year-End Divvy Arbitrage Game in Korea's Market

<ul>
<li>Ssangyong C&amp;E will be excluded in June pre-delisting due to the float rate rule. Replacement will be chosen from the highest market cap existing constituents excluded in the June review.</li>
<li>Likely owing to the recent expansion of macro variables in the local market, a clear correlation between results and price impact is not observed even at the screening period's conclusion.</li>
<li>There's a chance of price impact closer to the effective date, suggesting potentially more effective basket trading. However, short instrument absence necessitates using market indices as hedges.</li>
</ul>


Ssangyong C&amp;E will be excluded in June pre-delisting due to the float rate rule. Replacement will be chosen from the highest market cap existing constituents excluded in the June review.
Likely owing to the recent expansion of macro variables in the local market, a clear correlation between results and price impact is not observed even at the screening period's conclusion.
There's a chance of price impact closer to the effective date, suggesting potentially more effective basket trading. However, short instrument absence necessitates using market indices as hedges.


Addressing Areas of Confusion Surrounding the KOSPI 200 June Rebalancing

Head of Research and Global Chief Strategist, Steno Research

Andreas Steno

Head of Research and Global Chief Strategist

Macro and Geopolitical Research House

Steno Research

Steno Research is a new macro and geopolitical research house. We are based out of Copenhagen, Denmark, but have an international team and a strong network of sources and partners around the world. The team is lead by Andreas Steno, previous global head of strategy at Nordea Bank, and Mikkel Rosenvold, former chief consultant in the Danish Ministry of Finance.

Cross Asset Strategy

<ul><li>The cyclical rotation is slowly but slowly rolling and if central banks add rate cuts to this mix, we are staring directly into the melt up.</li><li>Welcome to our weekly Portfolio Watch, where we assess the tradeable themes and discuss our portfolio composition.</li><li>In this revamped version of the series, we will touch upon the developments in our Macro Alpha Portfolio and our Digital Assets Portfolio.</li></ul>

The cyclical rotation is slowly but slowly rolling and if central banks add rate cuts to this mix, we are staring directly into the melt up.Welcome to our weekly Portfolio Watch, where we assess the tradeable themes and discuss our portfolio composition.In this revamped version of the series, we will touch upon the developments in our Macro Alpha Portfolio and our Digital Assets Portfolio.

Portfolio Watch: What if We Add a Rate Cut to This Fire..

Mini Kospi 200 Futures (KMS1 INDEX)

KRX's In-House Derivatives Night Session: Schedule, Operational Details & Trading Considerations

This post covers KRX's in-house night session for derivatives, focusing on the schedule, operations, and key trading considerations.

Sanghyun Park

FSS Bans Arb in Local MM Books: Identifying Opportunities from Short-Term Inefficiencies

This post covers the FSS's ban on arb trading in local brokerages' market making books, highlighting the potential opportunities that may arise...

Sanghyun Park

Digging into the Year-End Divvy Arbitrage Game in Korea's Market

This post delves into the year-end dividend arbitrage landscape in the Korean stock market, shedding light on the shifting dynamics that are...

Sanghyun Park

Addressing Areas of Confusion Surrounding the KOSPI 200 June Rebalancing

This post aims to provide clarity on several aspects of confusion surrounding the KOSPI 200 regular rebalancing in June.

Sanghyun Park

Portfolio Watch: What if We Add a Rate Cut to This Fire..

The cyclical rotation is slowly but slowly rolling and if central banks add rate cuts to this mix, we are staring directly into the melt...

Steno Research