Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/kotak-mahindra-bank-ltd" target="_blank" data-smartkarma-citation="entities:126:1" rel="noopener">Kotak Mahindra Bank (KMB IN)</a> vs. <a href="https://www.smartkarma.com/entities/bajaj-finance-ltd" target="_blank" data-smartkarma-citation="entities:8950:1" rel="noopener">Bajaj Finance (BAF IN)</a> price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Going long <a href="https://www.smartkarma.com/entities/kotak-mahindra-bank-ltd" target="_blank" data-smartkarma-citation="entities:126:1" rel="noopener">Kotak Mahindra Bank (KMB IN)</a> and short <a href="https://www.smartkarma.com/entities/bajaj-finance-ltd" target="_blank" data-smartkarma-citation="entities:8950:1" rel="noopener">Bajaj Finance (BAF IN)</a> targets a 9% return, with the long position supported by cheaper valuations.</li>
<li>
Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.</li>
</ul>



Context: The Kotak Mahindra Bank (KMB IN) vs. Bajaj Finance (BAF IN) price-ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Kotak Mahindra Bank (KMB IN) and short Bajaj Finance (BAF IN) targets a 9% return, with the long position supported by cheaper valuations.

Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.


Long Kotak Mahindra (KMB IN) Vs. Short Bajaj Finance (BAF IN): Statistical Arbitrage in Indian Banks

Equity Derivatives

<ul>
<li>September brings heavy index rebalancing activity. <a href="https://www.smartkarma.com/entities/pop-mart-international-group-l" target="_blank" data-smartkarma-citation="entities:29016:1" rel="noopener">Pop Mart (9992 HK)</a> will join both the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> and the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI INDEX)</a>.</li>
<li>
The Fed is widely expected to cut rates and Asia-Pac peers (BoJ, RBA, RBI) are also meeting.</li>
<li>
Why Read: Plan ahead and take into account known market events when making investment and trading decision.</li>
</ul>


September brings heavy index rebalancing activity. Pop Mart (9992 HK) will join both the Hang Seng Index (HSI INDEX) and the Hang Seng China Enterprises Index (HSCEI INDEX).

The Fed is widely expected to cut rates and Asia-Pac peers (BoJ, RBA, RBI) are also meeting.

Why Read: Plan ahead and take into account known market events when making investment and trading decision.


Index Changes and Rate Cuts: Key Events in September 2025

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 review period for the Nifty 100 Low Volatility 30 Index ends on 29 August. The changes will be announced mid-September and implemented at the close on 29 September.</li>
<li>Two potential constituent changes, volatility changes and capping changes will result in one-way turnover of 10.7% resulting in a round-trip trade of INR 12.6bn (US$145m).</li>
<li>The forecast deletions will also have sell flows from the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NSE Nifty Next 50 Index</a> and/or the <a href="https://www.smartkarma.com/entities/nifty-100-index" target="_blank" data-smartkarma-citation="entities:36051:1" rel="noopener">Nifty 100 Index</a>, so the impact will add up.</li>
</ul>


The review period for the Nifty 100 Low Volatility 30 Index ends on 29 August. The changes will be announced mid-September and implemented at the close on 29 September.
Two potential constituent changes, volatility changes and capping changes will result in one-way turnover of 10.7% resulting in a round-trip trade of INR 12.6bn (US$145m).
The forecast deletions will also have sell flows from the NIFTY Index, NSE Nifty Next 50 Index and/or the Nifty 100 Index, so the impact will add up.


NIFTY100 Low Volatility 30 Index Rebalance Preview: 2 Changes as Review Cutoff Nears

<ul>
<li>In May, SEBI recommended changes to the minimum number of constituents for non-benchmark indices and the capping for those indices. The recommendations have to be implemented by 3 November.</li>
<li>There is a high probability that NSE Indices implements the changes for the <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index (NSEBANK INDEX)</a> at the September rebalance. Nothing has been announced yet though.</li>
<li>If implemented in September, <a href="https://www.smartkarma.com/entities/yes-bank-ltd" target="_blank" data-smartkarma-citation="entities:767:1" rel="noopener">Yes Bank</a> and <a href="https://www.smartkarma.com/entities/union-bank-of-india" target="_blank" data-smartkarma-citation="entities:546:1" rel="noopener">Union Bank Of India</a> could be added to the index. Estimated one-way turnover is 22.35% and the round-trip trade is INR 149bn (US$1.7bn). </li>
</ul>


In May, SEBI recommended changes to the minimum number of constituents for non-benchmark indices and the capping for those indices. The recommendations have to be implemented by 3 November.
There is a high probability that NSE Indices implements the changes for the NSE Nifty Bank Index (NSEBANK INDEX) at the September rebalance. Nothing has been announced yet though.
If implemented in September, Yes Bank and Union Bank Of India could be added to the index. Estimated one-way turnover is 22.35% and the round-trip trade is INR 149bn (US$1.7bn). 


NIFTY Bank Index: Big Flows & The Upcoming Methodology Change

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/uco-bank" target="_blank" data-smartkarma-citation="entities:9669:1" rel="noopener">UCO Bank (UCO IN)</a> vs. <a href="https://www.smartkarma.com/entities/central-bank-of-india" target="_blank" data-smartkarma-citation="entities:544:1" rel="noopener">Central Bank Of India (CBOI IN)</a> price-ratio has deviated two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Both stocks are trading near 52-week lows, opening a window for a statistically supported mean-reversion setup.</li>
<li>
Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.</li>
</ul>



Context: The UCO Bank (UCO IN) vs. Central Bank Of India (CBOI IN) price-ratio has deviated two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Both stocks are trading near 52-week lows, opening a window for a statistically supported mean-reversion setup.

Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.


UCO Bank (UCO IN) Vs. Central Bank Of India (CBOI IN): Statistical Edge in India Bank Pair Trade

India

Nifty Bank Index is a free-float capitalization-weighted index comprised of the most liquid and large capitalized Indian Banking stocks. The index will have 12 stocks from the banking sector, which trade on the National Stock Exchange. The index was developed with a base value of 1000 as of January 1, 2000.

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
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Dividend (Yield)	0.00

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

Long Kotak Mahindra (KMB IN) Vs. Short Bajaj Finance (BAF IN): Statistical Arbitrage in Indian Banks

Pair trade targeting a 9% return, leveraging valuation gaps and mean-reversion dynamics between Kotak Mahindra and Bajaj Finance.

Gaudenz Schneider

Index Changes and Rate Cuts: Key Events in September 2025

September packs in index rebalances, quarterly expiries, central bank calls, and Fed drama—keeping markets busy amid a light holiday calendar.

Gaudenz Schneider

NIFTY100 Low Volatility 30 Index Rebalance Preview: 2 Changes as Review Cutoff Nears

Two constituent changes, volatility/capping changes result in one-way turnover of 10.7% and a round-trip trade of US$145m. There will be a LOT more...

Brian Freitas

NIFTY Bank Index: Big Flows & The Upcoming Methodology Change

SEBI recommended changes need to be implemented by 3 Nov. That could be done at the Sep rebal. YES Bank, Union Bank are potential adds. HDFCB,...

Brian Freitas

UCO Bank (UCO IN) Vs. Central Bank Of India (CBOI IN): Statistical Edge in India Bank Pair Trade

Tight historical correlation sets the stage for a high-probability reversal in this India bank pair. Quant signals highlight an attractive mean...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)