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/hyundai-motor-india-ltd" target="_blank" data-smartkarma-citation="entities:40900:1" rel="noopener">Hyundai Motor India (1342Z IN)</a> is looking to list on the exchanges by selling up to INR 279bn (US$3.3bn) of stock at a valuation of up to INR 1,593bn (US$19bn).</li>
<li>The anchor allocations will be completed early next week, and the stock is expected to start trading on 22 October.</li>
<li>The stock will not get Fast Entry to global indices. Inclusion at regular rebalances should take place in February and June next year.</li>
</ul>



Hyundai Motor India (1342Z IN) is looking to list on the exchanges by selling up to INR 279bn (US$3.3bn) of stock at a valuation of up to INR 1,593bn (US$19bn).
The anchor allocations will be completed early next week, and the stock is expected to start trading on 22 October.
The stock will not get Fast Entry to global indices. Inclusion at regular rebalances should take place in February and June next year.


Hyundai Motor India: Index Entry Timing for India's Biggest IPO

Head of Trading/ Partner, AceGama Advisors

Sankalp Singh

Head of Trading/ Partner

Proprietary Trading Desk

AceGama Advisors

Trading desk specializing in the Listed & OTC options strategies for risk management & investment purposes.

Equity Derivatives

<ul>
<li>Nifty50 Monthly IVs post +2.6 vol jump as risk premia gets marked higher on return from 02.10.2024 holiday - China-induced Index selloff &amp; FII Options-buying being the main drivers.</li>
<li>Vol Term-Structure has switched from Contango to Backwardation in the front end for Nifty50 options. BankNifty Vol Curve flattens due to 11th hour IV markdown. </li>
<li>Options Market looks ill-prepared for another leg lower in indices - Smile &amp; Skew subdued in spite of IV-jump.</li>
</ul>


Nifty50 Monthly IVs post +2.6 vol jump as risk premia gets marked higher on return from 02.10.2024 holiday - China-induced Index selloff &amp; FII Options-buying being the main drivers.
Vol Term-Structure has switched from Contango to Backwardation in the front end for Nifty50 options. BankNifty Vol Curve flattens due to 11th hour IV markdown. 
Options Market looks ill-prepared for another leg lower in indices - Smile &amp; Skew subdued in spite of IV-jump.


EQD / NSE Vol Update / Skew & Smile Unmoved by Equity Selloff - Options Market Ill-Prepared for More

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>Our <a href="https://www.smartkarma.com/insights/eqd-the-nifty-potential-upside-from-here" target="_blank" rel="noopener">last insight</a> predicted quite precisely what happened to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> during the last 3 weeks (our forecast was a 3-5 weeks rally, around +4%/+5% higher).</li>
<li>After 3 weeks up in a row, last week the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> pulled back - <strong>the question obviously now is: would this be a good time to enter/re-enter the trade LONG</strong>?</li>
<li>The answer, as always, lies in our Market Reversal Matrix models, keep reading to find out...</li>
</ul>


Our last insight predicted quite precisely what happened to the NIFTY Index during the last 3 weeks (our forecast was a 3-5 weeks rally, around +4%/+5% higher).
After 3 weeks up in a row, last week the NIFTY pulled back - the question obviously now is: would this be a good time to enter/re-enter the trade LONG?
The answer, as always, lies in our Market Reversal Matrix models, keep reading to find out...


<ul>
<li>Nifty50 IVs have finally cracked below 11.0% levels - in spite of upcoming event-risks. Moves lower have been exacerbated by the holiday shortened week.   </li>
<li>Vol-Regime Model has switched to "Low &amp; Down" vol-state in Nifty50. Tactical implications:  Short Vega exposure less favourable going forward.</li>
<li>Risk premia selloff has driven Vol Term-Structure deeper into Contango. Smile &amp; Skew characteristics have compressed in congruence with lower IVs.</li>
</ul>


Nifty50 IVs have finally cracked below 11.0% levels - in spite of upcoming event-risks. Moves lower have been exacerbated by the holiday shortened week.   
Vol-Regime Model has switched to "Low &amp; Down" vol-state in Nifty50. Tactical implications:  Short Vega exposure less favourable going forward.
Risk premia selloff has driven Vol Term-Structure deeper into Contango. Smile &amp; Skew characteristics have compressed in congruence with lower IVs.


EQD / NSE Vol Update / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

<ul>
<li>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">Nifty Next 50 Index</a>, <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</a>, CNXIT Index, Nifty Midcap 150 Index, Nifty100 Low Volatility30 Index and the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF</a> rebalance at the close tomorrow.</li>
<li>The round-trip trade across the indices is US$3.3bn and there are 13 stocks with over 1 day of ADV to trade from passive trackers.</li>
<li>Stocks with the largest inflows are <a href="https://www.smartkarma.com/entities/trent-ltd" target="_blank" data-smartkarma-citation="entities:8410:1" rel="noopener">Trent</a>, <a href="https://www.smartkarma.com/entities/bharat-electronics-ltd" target="_blank" data-smartkarma-citation="entities:6636:1" rel="noopener">Bharat Electronics</a>, <a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank</a>, <a href="https://www.smartkarma.com/entities/bharat-heavy-electricals" target="_blank" data-smartkarma-citation="entities:460:1" rel="noopener">Bharat Heavy Electricals</a>, <a href="https://www.smartkarma.com/entities/oil-natural-gas-corp-ltd" target="_blank" data-smartkarma-citation="entities:3456:1" rel="noopener">Oil &amp; Natural Gas Corp</a>, <a href="https://www.smartkarma.com/entities/coal-india-ltd" target="_blank" data-smartkarma-citation="entities:9117:1" rel="noopener">Coal India</a>, <a href="https://www.smartkarma.com/entities/hindustan-aeronautics-ltd" target="_blank" data-smartkarma-citation="entities:26747:1" rel="noopener">Hindustan Aeronautics</a> and <a href="https://www.smartkarma.com/entities/interglobe-aviation-ltd" target="_blank" data-smartkarma-citation="entities:24877:1" rel="noopener">InterGlobe Aviation</a>.</li>
</ul>


The NIFTY Index, Nifty Next 50 Index, NSE Nifty Bank Index, CNXIT Index, Nifty Midcap 150 Index, Nifty100 Low Volatility30 Index and the CPSE ETF rebalance at the close tomorrow.
The round-trip trade across the indices is US$3.3bn and there are 13 stocks with over 1 day of ADV to trade from passive trackers.
Stocks with the largest inflows are Trent, Bharat Electronics, Canara Bank, Bharat Heavy Electricals, Oil &amp; Natural Gas Corp, Coal India, Hindustan Aeronautics and InterGlobe Aviation.


NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

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)

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Hyundai Motor is looking to raise up to INR279bn (US$3.32bn) via an OFS, valuing Hyundai Motor India at US$19bn. No index Fast Entry expected with...

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​The NIFTY Index closed the week down, now the question is: IS THIS A GOOD TIME TO (RE)ENTER LONG? As always, the Market Reversal Matrix models...

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EQD / NSE Vol Update / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

Release of SEBI Board meeting (30.09.2024) for upheaval of the Options Market. Implications to Market Structure are massive. A few projections -...

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The next rebalance of the Nifty family of indices takes place at the close on 27 Sep. The round-trip trade is US$3.3bn and there are 13 stocks with...

Brian Freitas

Options Markets see increased IV-levels post China-induced equities selloff. But market left ill-prepared for further downside as Smile & Skew...

The NIFTY Index closed the week down, now the question is: IS THIS A GOOD TIME TO (RE)ENTER LONG? As always, the Market Reversal Matrix models...