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>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

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>IVs seesawed through the week on account of the Fed meeting. Trading up to 12.7% going into the meeting &amp; selling-off to 11.4% thereafter.</li>
<li>Vol-Curve Term-structure in Contango post Fed meeting - Nifty50 vol curve sheds its inversion &amp; BankNifty vol curve loses its kinked-shape</li>
<li>BankNifty Smile &amp; Skew characteristics extend relative to previous weeks - despite falling IVs &amp; strengthening index.</li>
</ul>


IVs seesawed through the week on account of the Fed meeting. Trading up to 12.7% going into the meeting &amp; selling-off to 11.4% thereafter.
Vol-Curve Term-structure in Contango post Fed meeting - Nifty50 vol curve sheds its inversion &amp; BankNifty vol curve loses its kinked-shape
BankNifty Smile &amp; Skew characteristics extend relative to previous weeks - despite falling IVs &amp; strengthening index.


EQD / NSE Vol Update / IVs Ride the Fed Seesaw

<ul>
<li>IVs traded lower as risk sentiment received a boost. Markdown in risk-premia confirms earlier premise that the early-September Vol-spike was a seasonality driven event</li>
<li>Vol-Curve Term-structure going into the Fed meeting - Slightly inverted for Nifty50 options &amp; exhibiting V-shape kinked curve for BankNifty options</li>
<li>Volatility Regime Model for BankNifty has switched to "Low &amp; Down", while Nifty50 options retain their "High &amp; Down" vol-state. </li>
</ul>


IVs traded lower as risk sentiment received a boost. Markdown in risk-premia confirms earlier premise that the early-September Vol-spike was a seasonality driven event
Vol-Curve Term-structure going into the Fed meeting - Slightly inverted for Nifty50 options &amp; exhibiting V-shape kinked curve for BankNifty options
Volatility Regime Model for BankNifty has switched to "Low &amp; Down", while Nifty50 options retain their "High &amp; Down" vol-state. 


EQD / NSE Vol Update / As Suspected ... Risk-Premia Unable to Hold Its Bid

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>FED has finally decided to cut the interest rate by 50 bps and plans to another 50 bps cut in 2024.</li>
<li>By end of 2025, policymakers expect 100 bps cut in rate and in 2026 another 50 bps cut.</li>
<li>We analyse the impact of the rate cut on Indian Markets, and GDP.</li>
</ul>


FED has finally decided to cut the interest rate by 50 bps and plans to another 50 bps cut in 2024.
By end of 2025, policymakers expect 100 bps cut in rate and in 2026 another 50 bps cut.
We analyse the impact of the rate cut on Indian Markets, and GDP.


Thematic Report : Impact of Rate Cut on Markets

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

<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> closed down last week, but if the rally restarts from here it would be good to analyse the pattern trend, to estimate how high it could go.</li>
<li>The current WEEKLY pattern favors uptrend that last for 2 or 3 weeks up in a row, on average, and up to 5 consecutive weeks up in a row.</li>
<li>Some additional reasoning is necessary to highlight the strongest resistance levels, we will do it in the insight.</li>
</ul>


The NIFTY Index closed down last week, but if the rally restarts from here it would be good to analyse the pattern trend, to estimate how high it could go.
The current WEEKLY pattern favors uptrend that last for 2 or 3 weeks up in a row, on average, and up to 5 consecutive weeks up in a row.
Some additional reasoning is necessary to highlight the strongest resistance levels, we will do it in the insight.


EQD | The NIFTY Potential Upside From Here

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)

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

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

EQD / NSE Vol Update / IVs Ride the Fed Seesaw

IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

AceGama Advisors

EQD / NSE Vol Update / As Suspected ... Risk-Premia Unable to Hold Its Bid

IVs lower as risk sentiment improves; Volatility regime shifts to "Low & Down" for BankNifty, "High & Down" retained for Nifty50 options. Fed...

AceGama Advisors

Thematic Report : Impact of Rate Cut on Markets

Thematic Report: How Interest Rate Cut Impacts Indian Markets, GDP and FII Flows. FED has decided to cut the interest rate by 50bps and expects...

Nimish Maheshwari

EQD | The NIFTY Potential Upside From Here

The NIFTY Index closed down last week, but if the rally restarts this week, our Weekly patterns model suggest the uptrend may last 2-3 weeks on...

Nico Rosti

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

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

EQD / NSE Vol Update / IVs Ride the Fed Seesaw

​IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

AceGama Advisors

EQD / NSE Vol Update / As Suspected ... Risk-Premia Unable to Hold Its Bid

​IVs lower as risk sentiment improves; Volatility regime shifts to "Low & Down" for BankNifty, "High & Down" retained for Nifty50 options. Fed...

AceGama Advisors

Thematic Report : Impact of Rate Cut on Markets

Thematic Report: How Interest Rate Cut Impacts Indian Markets, GDP and FII Flows. FED has decided to cut the interest rate by 50bps and expects...

Nimish Maheshwari

EQD | The NIFTY Potential Upside From Here

​The NIFTY Index closed down last week, but if the rally restarts this week, our Weekly patterns model suggest the uptrend may last 2-3 weeks on...

Nico Rosti

IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

IVs lower as risk sentiment improves; Volatility regime shifts to "Low & Down" for BankNifty, "High & Down" retained for Nifty50 options. Fed...

The NIFTY Index closed down last week, but if the rally restarts this week, our Weekly patterns model suggest the uptrend may last 2-3 weeks on...