Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<ul>
<li>I confirmed that Posco DX will be incorporated into the KOSPI 200 IT Sector Index. The implementation date for this is also scheduled for March 15th.</li>
<li>The direct flow size from the KOSPI 200 IT into Posco DX is approximately 0.3x ADTV, implying a noteworthy price impact on March 14th, concentrated from 2:00 PM to close. </li>
<li>When designing Posco DX's March 14 KOSPI 200 inclusion flow setup, we must also proactively design strategies to capture flows from the KOSPI 200 IT within a narrow time window.</li>
</ul>


I confirmed that Posco DX will be incorporated into the KOSPI 200 IT Sector Index. The implementation date for this is also scheduled for March 15th.
The direct flow size from the KOSPI 200 IT into Posco DX is approximately 0.3x ADTV, implying a noteworthy price impact on March 14th, concentrated from 2:00 PM to close. 
When designing Posco DX's March 14 KOSPI 200 inclusion flow setup, we must also proactively design strategies to capture flows from the KOSPI 200 IT within a narrow time window.


Posco DX Included in KOSPI 200 IT Sector Index: Exploring Flow Trading Implications

Samsung KODEX Top5Plus Total Return ETF / Event-Driven

<ul>
<li>Korea's financial authorities prompted LPs to refrain from providing liquidity to ETFs through short-selling. This has resulted in a significant increase in both the frequency and magnitude of tracking errors.</li>
<li>Therefore, it's time to actively explore this from an arbitrage trading standpoint. ETF arbitrage involves straightforward steps: purchasing and redeeming ETFs, followed by selling the underlying shares in the market.</li>
<li>The focus should be particularly directed towards sector ETFs that include a select few large-cap stocks carrying single-stock futures.</li>
</ul>


Korea's financial authorities prompted LPs to refrain from providing liquidity to ETFs through short-selling. This has resulted in a significant increase in both the frequency and magnitude of tracking errors.
Therefore, it's time to actively explore this from an arbitrage trading standpoint. ETF arbitrage involves straightforward steps: purchasing and redeeming ETFs, followed by selling the underlying shares in the market.
The focus should be particularly directed towards sector ETFs that include a select few large-cap stocks carrying single-stock futures.


Investigating Arbitrage Trading Potential to Exploit ETF Tracking Error Widening in Korea

<ul>
<li>KRX did not acknowledge any business relevance between SK Square and the Semicon industry, leading to its exclusion from the KRX Semicon after the GICS change.</li>
<li>We should consider the strong possibility that this same approach will be applied in the upcoming December KOSPI 200 IT rebalancing.</li>
<li>If we observe a somewhat unusual downward trend in SK Square's price from the 15th, this could be seen as a hint foretelling the announcement of SK Square's exclusion.</li>
</ul>


KRX did not acknowledge any business relevance between SK Square and the Semicon industry, leading to its exclusion from the KRX Semicon after the GICS change.
We should consider the strong possibility that this same approach will be applied in the upcoming December KOSPI 200 IT rebalancing.
If we observe a somewhat unusual downward trend in SK Square's price from the 15th, this could be seen as a hint foretelling the announcement of SK Square's exclusion.


Exploring Fresh Flow Trading Prospects for SK Square: Targeting Exclusion from KOSPI 200 IT

<ul>
<li>The fact that KS200 IT has a significantly higher AUM provides a flow trading opportunity. This is due to the change in GICS for Kakao Pay from IT to Financials.</li>
<li>It has been observed that Kakao Pay's DTV has recently decreased significantly. This may result in the flow size reaching up to 1.4 times DTV.</li>
<li>It is advisable to design an outright short position for day trading purposes. Additionally, a more aggressive approach can be considered by combining a long position on Samsung SDS.</li>
</ul>


The fact that KS200 IT has a significantly higher AUM provides a flow trading opportunity. This is due to the change in GICS for Kakao Pay from IT to Financials.
It has been observed that Kakao Pay's DTV has recently decreased significantly. This may result in the flow size reaching up to 1.4 times DTV.
It is advisable to design an outright short position for day trading purposes. Additionally, a more aggressive approach can be considered by combining a long position on Samsung SDS.


Official Results of KOSPI 200 Sector Indices Rebalancing: Kakao Pay's Sector Change Confirmed

Mirae Asset Tiger 200 It ETF / Event-Driven

<ul>
<li>In KOSPI 200 IT Sector Index rebalancing in June, we should consider using Samsung SDS as a hedge for short positions on KakaoPay from a day trading perspective.</li>
<li>The expected performance of traditional flow trading based on passive impact has become uncertain due to flexible rebalancing trading by local pensions and short selling resumption on K200 new entrants.</li>
<li>As such, flow events on these sector indices that are still pretty much under the radar in the market could be a meaningful alternative for us.</li>
</ul>


In KOSPI 200 IT Sector Index rebalancing in June, we should consider using Samsung SDS as a hedge for short positions on KakaoPay from a day trading perspective.
The expected performance of traditional flow trading based on passive impact has become uncertain due to flexible rebalancing trading by local pensions and short selling resumption on K200 new entrants.
As such, flow events on these sector indices that are still pretty much under the radar in the market could be a meaningful alternative for us.


An Alternative Flow Trading Angle for K200 Rebalancing in June

South Korea

Mirae Asset Tiger 200 IT ETF is an ETF established in South Korea.The Fund's objective is to trackthe performance of the Kospi200 IT Sector Index. The funds invests at least 80% of its assets in domestic equities.

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Mirae Asset Tiger 200 It ETF (139260 KP)

Posco DX Included in KOSPI 200 IT Sector Index: Exploring Flow Trading Implications

I verified Posco DX's inclusion in the KOSPI 200 IT Sector Index, effective March 15th, via KRX channels. This post delves into the flow trading...

Sanghyun Park

Investigating Arbitrage Trading Potential to Exploit ETF Tracking Error Widening in Korea

This post investigates arbitrage trading potential to capitalize on the tracking error widening in South Korean local ETFs.

Sanghyun Park

Exploring Fresh Flow Trading Prospects for SK Square: Targeting Exclusion from KOSPI 200 IT

The post delves into new flow trading opportunities for SK Square, with a focus on its possibility of being excluded from KOSPI 200 IT in December.

Sanghyun Park

Official Results of KOSPI 200 Sector Indices Rebalancing: Kakao Pay's Sector Change Confirmed

This post presents the official results of KOSPI 200 sector indices in June and advises trading setups on Kakao Pay, which is confirmed to move...

Sanghyun Park

An Alternative Flow Trading Angle for K200 Rebalancing in June

This post investigates an alternative trading angle on flow events associated with the KOSPI 200 regular rebalancing in June.

Sanghyun Park

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