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

Event-Driven

<ul>
<li>At the upcoming AGM, <a href="https://www.smartkarma.com/entities/rio-tinto-ltd" target="_blank" data-smartkarma-citation="entities:13:1" rel="noopener">Rio Tinto Ltd</a> and <a href="https://www.smartkarma.com/entities/rio-tinto-plc" target="_blank" data-smartkarma-citation="entities:22114:1" rel="noopener">Rio Tinto PLC</a> shareholders will vote on the company commencing a review on the benefits vs costs of Unification.</li>
<li>Palliser Capital has been pushing for Unification while the Rio Tinto Board has recommended that shareholders vote against Resolution 21/24 citing tax costs among other reasons.</li>
<li>If the Unification completes, S&amp;P/ASX trackers will need to buy <a href="https://www.smartkarma.com/entities/rio-tinto-ltd" target="_blank" data-smartkarma-citation="entities:13:1" rel="noopener">Rio Tinto Ltd (RIO AU)</a> while <a href="https://www.smartkarma.com/entities/ftse-100-index-ukx" target="_blank" data-smartkarma-citation="entities:22904:1" rel="noopener">UKX Index (UKX INDEX)</a> trackers will sell <a href="https://www.smartkarma.com/entities/rio-tinto-plc" target="_blank" data-smartkarma-citation="entities:22114:1" rel="noopener">Rio Tinto PLC (RIO LN)</a>. Net positive.</li>
</ul>


At the upcoming AGM, Rio Tinto Ltd and Rio Tinto PLC shareholders will vote on the company commencing a review on the benefits vs costs of Unification.
Palliser Capital has been pushing for Unification while the Rio Tinto Board has recommended that shareholders vote against Resolution 21/24 citing tax costs among other reasons.
If the Unification completes, S&amp;P/ASX trackers will need to buy Rio Tinto Ltd (RIO AU) while UKX Index (UKX INDEX) trackers will sell Rio Tinto PLC (RIO LN). Net positive.


Rio Tinto (RIO AU/RIO LN): Unification Index Flows

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>
<a href="https://www.smartkarma.com/entities/anz-group-holdings-ltd" target="_blank" data-smartkarma-citation="entities:40898:1" rel="noopener">ANZ Group Holdings (ANZ AU)</a> is set to announce its First Quarter APS 330 Release on Thursday 20 February 2025.</li>
<li>Traders can trade the event through 20 February 2025 listed options (monthly expiration). Strategies discussed reflect different expectations of market reactions, with risk implications.</li>
<li>Historically, ANZ has experienced an average price move of 1.9% following profit announcements. Option markets anticipate a similar move this time.</li>
</ul>



ANZ Group Holdings (ANZ AU) is set to announce its First Quarter APS 330 Release on Thursday 20 February 2025.
Traders can trade the event through 20 February 2025 listed options (monthly expiration). Strategies discussed reflect different expectations of market reactions, with risk implications.
Historically, ANZ has experienced an average price move of 1.9% following profit announcements. Option markets anticipate a similar move this time.


EQD | ANZ Group Holdings (ANZ AU): Anticipated Price Swings on Q1 Announcement on 20 Feb 2025

Equity Derivatives

<ul>
<li>The Reserve Bank of Australia is set to announce its Monetary Policy on 18 February. The current RBA rate stands at 4.35% with no change since 2024. </li>
<li>The market is expecting a 0.25% rate cut. Options expiring on 20 February provide an instrument to trade this event. </li>
<li>Option pricing is in-line with historical <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 (AS51 INDEX)</a> moves on days after expected rate changes. Contrarians expecting no change might find value in put options.</li>
</ul>


The Reserve Bank of Australia is set to announce its Monetary Policy on 18 February. The current RBA rate stands at 4.35% with no change since 2024. 
The market is expecting a 0.25% rate cut. Options expiring on 20 February provide an instrument to trade this event. 
Option pricing is in-line with historical S&amp;P/ASX 200 (AS51 INDEX) moves on days after expected rate changes. Contrarians expecting no change might find value in put options.


Eqd | S&P/ASX 200 (AS51 INDEX) - RBA Decision: Will the Anticipated Rate Cut Drive the Market?

<ul>
<li>
<a href="https://www.smartkarma.com/entities/westpac-banking-corp" target="_blank" data-smartkarma-citation="entities:444:1" rel="noopener">Westpac Banking (WBC AU)</a> is set to announce its 2025 First Quarter Trading Update on 17 February. </li>
<li>Options expiring 20 February can provide an indication of the size of the move expected on the day, as well as directional bias.</li>
<li>The options market expects a 2.1% to 2.6% move in either direction until 20 February, in-line with historic moves. Peers have so far performed positively on reporting days this month.</li>
</ul>



Westpac Banking (WBC AU) is set to announce its 2025 First Quarter Trading Update on 17 February. 
Options expiring 20 February can provide an indication of the size of the move expected on the day, as well as directional bias.
The options market expects a 2.1% to 2.6% move in either direction until 20 February, in-line with historic moves. Peers have so far performed positively on reporting days this month.


EQD | Westpac Banking (WBC AU) - Expected Move on Profit Announcement and Option Insights

<ul>
<li>Today, the <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 (AS51 INDEX)</a> reached a new all-time high while implied volatility is near record low levels. The combination makes for a good opportunity to hedge.</li>
<li>Volatility assessment trough conventional volatility metrics and one new chart not seen anywhere else.</li>
<li>An actionable example of a put option hedge is presented, striking a balance between protection and cost.</li>
</ul>


Today, the S&amp;P/ASX 200 (AS51 INDEX) reached a new all-time high while implied volatility is near record low levels. The combination makes for a good opportunity to hedge.
Volatility assessment trough conventional volatility metrics and one new chart not seen anywhere else.
An actionable example of a put option hedge is presented, striking a balance between protection and cost.


EQD | S&P/ASX 200 Option Strategy -  Today's All-Time-High Calls for Proactive Hedging

Australia

National Australia Bank Limited is an international banking group which operates in Australia, New Zealand, Europe, Asia and the United States.  The Group offers banking services, credit and access card facilities, leasing, housing and general finance, international and investment banking, wealth and funds management, life insurance and custodian, trustee and nominee services.

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

National Australia Bank (NAB AU)

Rio Tinto (RIO AU/RIO LN): Unification Index Flows

Palliser Capital is pushing for Unification of RIO AU/ RIO LN. We are still a long way away from possible completion. There will be big index flows...

Brian Freitas

EQD | ANZ Group Holdings (ANZ AU): Anticipated Price Swings on Q1 Announcement on 20 Feb 2025

ANZ Group Holdings to release First Quarter APS 330 on 20 Feb 2025. Traders can use listed options to discover option-implied price swings and...

Gaudenz Schneider

Eqd | S&P/ASX 200 (AS51 INDEX) - RBA Decision: Will the Anticipated Rate Cut Drive the Market?

The RBA is expected to announce a 0.25% rate cut on 18 February, with options providing a trading opportunity for contrarians who believe there...

Gaudenz Schneider

EQD | Westpac Banking (WBC AU) - Expected Move on Profit Announcement and Option Insights

Westpac Banking (WBC AU) to announce 2025 Q1 Trading Update on 17 Feb. Peers have seen positive performance on reporting days this month. Options...

Gaudenz Schneider

EQD | S&P/ASX 200 Option Strategy - Today's All-Time-High Calls for Proactive Hedging

See an innovative and novel chart. Today's S&P/ASX 200 new all-time high in combination with record low volatility presents a good opportunity to...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Rio Tinto (RIO AU/RIO LN): Unification Index Flows

Palliser Capital is pushing for Unification of RIO AU/ RIO LN. We are still a long way away from possible completion. There will be big index flows...

Brian Freitas

EQD | ANZ Group Holdings (ANZ AU): Anticipated Price Swings on Q1 Announcement on 20 Feb 2025

​ANZ Group Holdings to release First Quarter APS 330 on 20 Feb 2025. Traders can use listed options to discover option-implied price swings and...

Gaudenz Schneider

Eqd | S&P/ASX 200 (AS51 INDEX) - RBA Decision: Will the Anticipated Rate Cut Drive the Market?

​The RBA is expected to announce a 0.25% rate cut on 18 February, with options providing a trading opportunity for contrarians who believe there...

Gaudenz Schneider

EQD | Westpac Banking (WBC AU) - Expected Move on Profit Announcement and Option Insights

​Westpac Banking (WBC AU) to announce 2025 Q1 Trading Update on 17 Feb. Peers have seen positive performance on reporting days this month. Options...

Gaudenz Schneider

EQD | S&P/ASX 200 Option Strategy - Today's All-Time-High Calls for Proactive Hedging

See an innovative and novel chart. Today's ​S&P/ASX 200 new all-time high in combination with record low volatility presents a good opportunity to...

Gaudenz Schneider

ANZ Group Holdings to release First Quarter APS 330 on 20 Feb 2025. Traders can use listed options to discover option-implied price swings and...

The RBA is expected to announce a 0.25% rate cut on 18 February, with options providing a trading opportunity for contrarians who believe there...

Westpac Banking (WBC AU) to announce 2025 Q1 Trading Update on 17 Feb. Peers have seen positive performance on reporting days this month. Options...

See an innovative and novel chart. Today's S&P/ASX 200 new all-time high in combination with record low volatility presents a good opportunity to...