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>
<a href="https://www.smartkarma.com/entities/lenskart-solutions" target="_blank" data-smartkarma-citation="entities:45634:1" rel="noopener">Lenskart Solutions (0370405Z IN)</a> is looking to list on the exchanges by selling 181.05m shares via a primary and secondary offering to raise US$829m at a valuation of US$7.95bn.</li>
<li>The price band has been set at INR 382-402/share, and the issue is likely to price at the top end of the range.</li>
<li>The stock will not get Fast Entry to global indices. Inclusion at regular rebalances will commence in June 2026 but flow will be small given the low float.</li>
</ul>



Lenskart Solutions (0370405Z IN) is looking to list on the exchanges by selling 181.05m shares via a primary and secondary offering to raise US$829m at a valuation of US$7.95bn.
The price band has been set at INR 382-402/share, and the issue is likely to price at the top end of the range.
The stock will not get Fast Entry to global indices. Inclusion at regular rebalances will commence in June 2026 but flow will be small given the low float.


Lenskart IPO: Earliest Index Inclusion in June

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> is scheduled to report its FY 2026 Q2 results on Saturday, 18 October 2025.
</li>
<li>
Highlight: Consensus sees EPS near INR 11.3 and revenue around INR 437 Bn; options imply a ±2.3% move, above the historical ±1.7% average.</li>
<li>
Portfolio Impact: As the largest constituent of the Nifty 50 and BSE Sensex, HDFC's earnings will be closely watched and could set the tone for the broader market.</li>
</ul>



HDFC Bank (HDFCB IN) is scheduled to report its FY 2026 Q2 results on Saturday, 18 October 2025.


Highlight: Consensus sees EPS near INR 11.3 and revenue around INR 437 Bn; options imply a ±2.3% move, above the historical ±1.7% average.

Portfolio Impact: As the largest constituent of the Nifty 50 and BSE Sensex, HDFC's earnings will be closely watched and could set the tone for the broader market.


HDFC Bank (HDFCB IN) Set to Report Q2 Results Ahead of Diwali Break

<ul>
<li>
<a href="https://www.smartkarma.com/entities/icici-bank-ltd" target="_blank" data-smartkarma-citation="entities:547:1" rel="noopener">ICICI Bank (ICICIBC IN</a> / <a href="https://www.smartkarma.com/entities/icici-bank-ltd-spon-adr" target="_blank" data-smartkarma-citation="entities:556:1" rel="noopener">IBN US)</a> is scheduled to report its Q2 results on Saturday, 18 October 2025.</li>
<li>
Highlight: In recent years, the bank has consistently beat analysts' expectations and often posted a positive performance post-earnings.</li>
<li>
Portfolio Impact: As a Nifty 50 and BSE Sensex heavyweight, earnings-day moves ripple across the benchmark, making results market-relevant beyond the single stock.</li>
</ul>



ICICI Bank (ICICIBC IN / IBN US) is scheduled to report its Q2 results on Saturday, 18 October 2025.

Highlight: In recent years, the bank has consistently beat analysts' expectations and often posted a positive performance post-earnings.

Portfolio Impact: As a Nifty 50 and BSE Sensex heavyweight, earnings-day moves ripple across the benchmark, making results market-relevant beyond the single stock.


ICICI Bank (ICICIBC IN / IBN US) Earnings Preview: Strong Track Record Points to Post-Result Gains

<ul>
<li>
<a href="https://www.smartkarma.com/entities/infosys-ltd" target="_blank" data-smartkarma-citation="entities:267:1" rel="noopener">Infosys (INFO IN</a> / INFY US) reports Q1 FY26 results on Thursday, 16 October 2025 at 15:45 IST; earnings days historically triggered outsized price moves.</li>
<li>
Expect Volatility: Results have historically driven price swings of up to ±9%. Options imply a ±3.5% swing. Implied volatility is expected to drop significantly post earnings.</li>
<li>
Portfolio Impact: As a Nifty 50 and BSE Sensex heavyweight, earnings-day moves ripple across the benchmark, making results market-relevant beyond the single stock.</li>
</ul>



Infosys (INFO IN / INFY US) reports Q1 FY26 results on Thursday, 16 October 2025 at 15:45 IST; earnings days historically triggered outsized price moves.

Expect Volatility: Results have historically driven price swings of up to ±9%. Options imply a ±3.5% swing. Implied volatility is expected to drop significantly post earnings.

Portfolio Impact: As a Nifty 50 and BSE Sensex heavyweight, earnings-day moves ripple across the benchmark, making results market-relevant beyond the single stock.


Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Equity Derivatives

<ul>
<li>October seasonals, despite their reputation, show most markets with better than 60% odds of finishing higher albeit with meager returns. </li>
<li>Volatility trends have diverged, with implied vols climbing even as realized vols fell, raising questions about early signs of risk sensitivity.</li>
<li>Implied vols on most markets have been trending higher vs the SP500 despite the US being ground zero for policy uncertainty.</li>
</ul>


October seasonals, despite their reputation, show most markets with better than 60% odds of finishing higher albeit with meager returns. 
Volatility trends have diverged, with implied vols climbing even as realized vols fell, raising questions about early signs of risk sensitivity.
Implied vols on most markets have been trending higher vs the SP500 despite the US being ground zero for policy uncertainty.


Monthly Macro Markets (October): Diverging Volatility Trends Highlight Risk Sensitivity

India

The NIFTY 50 index is National Stock Exchange of India's benchmark stock market index for Indian equity market. Nifty is owned and managed by India Index Services and Products (IISL), which is a wholly owned subsidiary of the NSE Strategic Investment Corporation Limited.

NIFTY Index (NIFTY INDEX)

Lenskart IPO: Earliest Index Inclusion in June

The Lenskart IPO will raise US$829m and value the company at US$7.95bn. Float is lower than 15%. That means no Fast Entry and the earliest global...

Brian Freitas

HDFC Bank (HDFCB IN) Set to Report Q2 Results Ahead of Diwali Break

HDFC Bank will report FY2026 Q2 results on Saturday, 18 October 2025, with options prices implying a larger post-earnings move than historical...

Gaudenz Schneider

ICICI Bank (ICICIBC IN / IBN US) Earnings Preview: Strong Track Record Points to Post-Result Gains

Watch for ICICI Bank’s Q2 FY2026 results on 18 October 2025. The bank’s consistent earnings beats and strong post-result record could sway the...

Gaudenz Schneider

Infosys (INFO IN) Q2 Results:

Infosys will report Q2 results on Thu,16 Oct. Historically significant price swings potentially impacting Nifty 50 and BSE Sensex. Option markets...

Gaudenz Schneider

Monthly Macro Markets (October): Diverging Volatility Trends Highlight Risk Sensitivity

Despite October’s reputation for turmoil, history points to gains, though volatility signals have begun to diverge underscoring possible increasing...

John Ley

Lenskart IPO: Earliest Index Inclusion in June

The Lenskart IPO will raise US$829m and value the company at US$7.95bn. Float is lower than 15%. That means no Fast Entry and the earliest global...

Brian Freitas

HDFC Bank (HDFCB IN) Set to Report Q2 Results Ahead of Diwali Break

HDFC Bank will report FY2026 Q2 results on Saturday, 18 October 2025, with options prices implying a larger post-earnings move than historical...

Gaudenz Schneider

ICICI Bank (ICICIBC IN / IBN US) Earnings Preview: Strong Track Record Points to Post-Result Gains

Watch for ICICI Bank’s Q2 FY2026 results on 18 October 2025. The bank’s consistent earnings beats and strong post-result record could sway the...

Gaudenz Schneider

Infosys (INFO IN) Q2 Results:

​Infosys will report Q2 results on Thu,16 Oct. Historically significant price swings potentially impacting Nifty 50 and BSE Sensex. Option markets...

Gaudenz Schneider

Monthly Macro Markets (October): Diverging Volatility Trends Highlight Risk Sensitivity

Despite October’s reputation for turmoil, history points to gains, though volatility signals have begun to diverge underscoring possible increasing...

John Ley

Infosys will report Q2 results on Thu,16 Oct. Historically significant price swings potentially impacting Nifty 50 and BSE Sensex. Option markets...