Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>KRX-Listed 2x daily leveraged ETFs on <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> have suffered from volatile mean-reverting moves, with the leverage index down sharply since launch.</li>
<li>
AUM is starting to feel the pressure, declining in the first half of July after peaking on 25 June, while several consecutive days of outflows suggest investor demand has weakened.</li>
<li>
ETF flows remain relevant for underlying liquidity, while the inverse 2x product has gained AUM in July as Samsung Elec declined, highlighting a shift toward downside exposure.</li>
</ul>


KRX-Listed 2x daily leveraged ETFs on Samsung Electronics (005930 KS) have suffered from volatile mean-reverting moves, with the leverage index down sharply since launch.

AUM is starting to feel the pressure, declining in the first half of July after peaking on 25 June, while several consecutive days of outflows suggest investor demand has weakened.

ETF flows remain relevant for underlying liquidity, while the inverse 2x product has gained AUM in July as Samsung Elec declined, highlighting a shift toward downside exposure.


Samsung Electronics (005930 KS): Leveraged ETF AUM Comes Under Pressure

<ul>
<li>KRX-Listed 2x leveraged ETFs on <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>have seen combined AUM more than triple since launch, driven more by net inflows than by share-price appreciation.</li>
<li>
<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>  gained 19.2% since 27 May, while the KRX SK hynix Leverage Index rose only 27.5%, highlighting that realised long-term leverage can differ significantly from 2x.</li>
<li>Leveraged ETF flows have become meaningful relative to <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>’s daily liquidity, with implied underlying exposure reaching as much as 8.0% of daily traded value.</li>
</ul>


KRX-Listed 2x leveraged ETFs on SK hynix (000660 KS)have seen combined AUM more than triple since launch, driven more by net inflows than by share-price appreciation.

SK hynix (000660 KS)  gained 19.2% since 27 May, while the KRX SK hynix Leverage Index rose only 27.5%, highlighting that realised long-term leverage can differ significantly from 2x.
Leveraged ETF flows have become meaningful relative to SK Hynix (000660 KS)’s daily liquidity, with implied underlying exposure reaching as much as 8.0% of daily traded value.


SK Hynix (000660 KS): Leveraged ETF AUM Triples as Flows Move Into Focus

<ul>
<li>
<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> options positioning is extremely call-heavy, with the put/call ratio near extremes on both open interest and volume, indicating overwhelming call-side dominance.</li>
<li>
Call trading activity accelerated sharply on 8–9 June, reinforcing the imbalance, although open interest has since declined partly due to the 11 June expiry.</li>
<li>
The imbalance comes amid extraordinary stock momentum and rich volatility, with SK hynix up sharply year-to-date, 1-month ATM IV near 130%, and July call OI concentrated in deep ITM strikes.</li>
</ul>



SK Hynix (000660 KS) options positioning is extremely call-heavy, with the put/call ratio near extremes on both open interest and volume, indicating overwhelming call-side dominance.

Call trading activity accelerated sharply on 8–9 June, reinforcing the imbalance, although open interest has since declined partly due to the 11 June expiry.

The imbalance comes amid extraordinary stock momentum and rich volatility, with SK hynix up sharply year-to-date, 1-month ATM IV near 130%, and July call OI concentrated in deep ITM strikes.


SK Hynix (000660 KS): Calls Outnumber Puts 100:1 as Put/Call Ratio Hits Extremes

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

Mini Kospi 200 Futures (KMS1 INDEX)

Samsung Electronics (005930 KS): Leveraged ETF AUM Comes Under Pressure

Samsung Electronics’ leveraged ETF AUM is coming under pressure as volatility bites, outflows emerge, and inverse exposure gains traction.

Gaudenz Schneider

SK Hynix (000660 KS): Leveraged ETF AUM Triples as Flows Move Into Focus

AUM in KRX-listed 2x daily leveraged ETFs on SK hynix has more than tripled since launch, driven mainly by net inflows as ETF flows become more...

Gaudenz Schneider

SK Hynix (000660 KS): Calls Outnumber Puts 100:1 as Put/Call Ratio Hits Extremes

SK hynix options show extreme call-side dominance, with calls outnumbering puts 100:1 on open interest as AI-driven momentum pushes volatility higher.

Gaudenz Schneider

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