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/vishal-mega-mart" target="_blank" data-smartkarma-citation="entities:44041:1" rel="noopener">Vishal Mega Mart (1620871D IN)</a> is looking to list on the exchanges by selling INR 80bn (US$943m) of stock at a valuation of INR 352bn (US$4.15bn).</li>
<li>Anchor allocations were completed on 10 December, the IPO opens today, and the stock is expected to start trading on 18 December. Grey market premium is around 25%.</li>
<li>The stock will not get Fast Entry to global indices. Inclusion at regular rebalances should take place in May and June 2025.</li>
</ul>



Vishal Mega Mart (1620871D IN) is looking to list on the exchanges by selling INR 80bn (US$943m) of stock at a valuation of INR 352bn (US$4.15bn).
Anchor allocations were completed on 10 December, the IPO opens today, and the stock is expected to start trading on 18 December. Grey market premium is around 25%.
The stock will not get Fast Entry to global indices. Inclusion at regular rebalances should take place in May and June 2025.


Vishal Mega Mart IPO: IPO Details & Index Entry Timing

Index Rebalance

<ul>
<li>Following the introduction of 45 stocks in the F&amp;O segment from 29 November, there will be big capping changes for the <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 (NIFTYJR INDEX)</a> in December.</li>
<li>We estimate one-way turnover of 21.9% leading to a one-way trade of INR 75bn (US$881m). There are 25 stocks with over 1x ADV to trade.</li>
<li>There could be changes to the index methodology announced in the next few months and that could result in the deletion of a couple of constituents in March.</li>
</ul>


Following the introduction of 45 stocks in the F&amp;O segment from 29 November, there will be big capping changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) in December.
We estimate one-way turnover of 21.9% leading to a one-way trade of INR 75bn (US$881m). There are 25 stocks with over 1x ADV to trade.
There could be changes to the index methodology announced in the next few months and that could result in the deletion of a couple of constituents in March.


Nifty Next50 Index Rebalance Preview: Big Capping Flows in December; Methodology Change Coming?

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> is in a steady bear market with political turmoil further depressing the outlook. Volatility increased in the near term, leading to an inverted term structure.</li>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">Nifty 50</a> is approaching its 50-day average from below. Call options profit from low implied volatility and present an attractive opportunity to profit on the upside.</li>
<li>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</a> continues to stand out as the index with positive correlation between implied volatility and index performance. Interestingly, the relationship is not symmetric between up- and down moves.</li>
</ul>


The KOSPI 200 is in a steady bear market with political turmoil further depressing the outlook. Volatility increased in the near term, leading to an inverted term structure.
The Nifty 50 is approaching its 50-day average from below. Call options profit from low implied volatility and present an attractive opportunity to profit on the upside.
The Hang Seng continues to stand out as the index with positive correlation between implied volatility and index performance. Interestingly, the relationship is not symmetric between up- and down moves.


EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Market & Forensics Analyst, Beat the Street

Nimish Maheshwari

Market & Forensics Analyst

Beat the Street

Beat The Street was founded by Nimish Maheshwari and Sudarshan Bhandari, both of whom are Chartered Accountants by Profession, known for their expert analysis in the fields of Business, Sectoral analysis, and Corporate governance.

With a strong social media presence of 45,000+ Subscribers across various platforms, they are considered trusted voices in the industry. Their insights and analysis have been featured in some of India’s most prominent publications, including the Economic Times, Dalal Street Investment Journal, The Morning Context, and The Ken.

Their analysis on Bankrupt & Insolvent companies has been instrumental in saving investors from significant losses. They have a keen eye for identifying red flags and has identified exclusive redflags earlier in Vedanta, Nykaa, Dhani Services, Adani and many more.

Read Business Not Stock Prices

Thematic (Sector/Industry)

<ul>
<li>India’s Q2 FY25 GDP growth fell to 5.4% YoY, the lowest in seven quarters, signaling mounting economic challenges.</li>
<li>Weak private consumption, sluggish investment, and subdued exports contributed to the slowdown. Manufacturing underperformed while agriculture and services provided some resilience.</li>
<li>The slowdown underscores vulnerabilities in consumption and investment cycles. Targeted policy measures are critical to sustaining long-term growth amid rising inflation and global uncertainties.</li>
</ul>


India’s Q2 FY25 GDP growth fell to 5.4% YoY, the lowest in seven quarters, signaling mounting economic challenges.
Weak private consumption, sluggish investment, and subdued exports contributed to the slowdown. Manufacturing underperformed while agriculture and services provided some resilience.
The slowdown underscores vulnerabilities in consumption and investment cycles. Targeted policy measures are critical to sustaining long-term growth amid rising inflation and global uncertainties.


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.

<ul>
<li>We introduce a new section this month showing implied vol vs average absolute December price movement. A good way to screen for straddle candidates for the month ahead.</li>
<li>Implied vols came in hard in November with the US election and the FOMC in the rear-view mirror.</li>
<li>Price performance across markets especially strong in the final week of the month with SP500, Nifty and SPASX200 postive on the month ~ 70% of the time. </li>
</ul>


We introduce a new section this month showing implied vol vs average absolute December price movement. A good way to screen for straddle candidates for the month ahead.
Implied vols came in hard in November with the US election and the FOMC in the rear-view mirror.
Price performance across markets especially strong in the final week of the month with SP500, Nifty and SPASX200 postive on the month ~ 70% of the time. 


EQD | Asia December Vol Roadmap - The Big Exhale

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)

Vishal Mega Mart IPO: IPO Details & Index Entry Timing

Vishal Mega Mart is looking to list by selling INR 80bn of stock at a valuation of INR 352bn. No Fast Entry. Global index inclusion will take place...

Brian Freitas

Nifty Next50 Index Rebalance Preview: Big Capping Flows in December; Methodology Change Coming?

The introduction of new F&O contracts will result in an estimated 21.9% turnover and a one-way trade of INR 75bn (US$881m) for the Nifty Next50...

Brian Freitas

EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Option strategies with a focus on Asia. The Kospi 200 in a bear market amid political turmoil. Nifty 50 approaching its 50-day average in a bullish...

Gaudenz Schneider

A Deep Dive into the Recent GDP Slowdown

India's Q2 FY25 GDP growth drops to 5.4% YoY, highlighting economic challenges with weak consumption, investment, and exports. Targeted policy...

Nimish Maheshwari

EQD | Asia December Vol Roadmap - The Big Exhale

New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

John Ley

Vishal Mega Mart IPO: IPO Details & Index Entry Timing

Vishal Mega Mart is looking to list by selling INR 80bn of stock at a valuation of INR 352bn. No Fast Entry. Global index inclusion will take place...

Brian Freitas

Nifty Next50 Index Rebalance Preview: Big Capping Flows in December; Methodology Change Coming?

The introduction of new F&O contracts will result in an estimated 21.9% turnover and a one-way trade of INR 75bn (US$881m) for the Nifty Next50...

Brian Freitas

EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Option strategies with a focus on Asia. The Kospi 200 in a bear market amid political turmoil. Nifty 50 approaching its 50-day average in a bullish...

Gaudenz Schneider

A Deep Dive into the Recent GDP Slowdown

​India's Q2 FY25 GDP growth drops to 5.4% YoY, highlighting economic challenges with weak consumption, investment, and exports. Targeted policy...

Nimish Maheshwari

EQD | Asia December Vol Roadmap - The Big Exhale

​New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

John Ley

India's Q2 FY25 GDP growth drops to 5.4% YoY, highlighting economic challenges with weak consumption, investment, and exports. Targeted policy...

New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...