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 group of 7 shareholders are looking to sell 61.3m shares in <a href="https://www.smartkarma.com/entities/murata-manufacturing-co-ltd" target="_blank" data-smartkarma-citation="entities:11649:1" rel="noopener">Murata Manufacturing (6981 JP)</a> to raise JPY 143.8bn (US$916m). That is 3.3% of shares outstanding.</li>
<li>The shares are being offered at a price range of JPY 2296-2345.5/share, a discount of 5-7% to the last close of the stock.</li>
<li>With the offering less than 5% of shares outstanding and less than US$1bn in size, there is no immediate passive buying and there could be further weakness in the stock.</li>
</ul>


A group of 7 shareholders are looking to sell 61.3m shares in Murata Manufacturing (6981 JP) to raise JPY 143.8bn (US$916m). That is 3.3% of shares outstanding.
The shares are being offered at a price range of JPY 2296-2345.5/share, a discount of 5-7% to the last close of the stock.
With the offering less than 5% of shares outstanding and less than US$1bn in size, there is no immediate passive buying and there could be further weakness in the stock.


Murata Manufacturing (6981 JP) - No Immediate Passive Buying Could Lead to More Weakness

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

Mitsubishi UFJ Financial (MUFG) / Technical Analysis

<ul>
<li>Our bullish outlook on global equities (MSCI ACWI) remains intact. Actionable Themes today include Financials, Energy, and Consumer Discretionary (European Luxury Retailers)</li>
<li>We view this pullback as a buying opportunity and we are watching for $116-$117 support to hold on ACWI-US; this is an important resistance-turned-support level dating back to July 2024.</li>
<li>Europe and Japan are on the cusp of major breakouts above critical resistance levels of 5000-5120 on the EURO STOXX 50 and 2740-2820 on the TOPIX</li>
</ul>


Our bullish outlook on global equities (MSCI ACWI) remains intact. Actionable Themes today include Financials, Energy, and Consumer Discretionary (European Luxury Retailers)
We view this pullback as a buying opportunity and we are watching for $116-$117 support to hold on ACWI-US; this is an important resistance-turned-support level dating back to July 2024.
Europe and Japan are on the cusp of major breakouts above critical resistance levels of 5000-5120 on the EURO STOXX 50 and 2740-2820 on the TOPIX


Opportunity Within Europe and Japan; EURO STOXX 50 and TOPIX/Nikkei 225 Near Major Breakouts

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>Gold is historically a strong January performer, rising 65% of the time. Nifty declines 70% of the time in January with all January’s since 2019 negative.</li>
<li>Wide gap in Kospi vs Nikkei implied vol when viewed in light of their respective price performances over the past 1 and 3 months.</li>
<li>Most markets typically see peak volatility in the first week of the month with prices typically trading heavy in the 2nd half of the month.</li>
</ul>


Gold is historically a strong January performer, rising 65% of the time. Nifty declines 70% of the time in January with all January’s since 2019 negative.
Wide gap in Kospi vs Nikkei implied vol when viewed in light of their respective price performances over the past 1 and 3 months.
Most markets typically see peak volatility in the first week of the month with prices typically trading heavy in the 2nd half of the month.


EQD | Asia January Vol Roadmap:    Outsized Moves, Outsized Volatility

Derivatives and Quantitative Strategist

Gaudenz Schneider

Index Rebalance

<ul>
<li>Timing expiration, assessing volatility, and managing event risk are crucial for effective option trades.</li>
<li>Exchange holidays, expiries, central bank rate decisions, and index changes can significantly impact volatility and market direction.</li>
<li>The attached document provides key dates to help navigate the complexities of option trading in Australia, Hong Kong, India, Japan, South Korea, and the USA.
</li>
</ul>


Timing expiration, assessing volatility, and managing event risk are crucial for effective option trades.
Exchange holidays, expiries, central bank rate decisions, and index changes can significantly impact volatility and market direction.
The attached document provides key dates to help navigate the complexities of option trading in Australia, Hong Kong, India, Japan, South Korea, and the USA.



2025 Essential Calendar for Option Traders in Asia: Key Dates & Insights

Korea Stock Exchange Kospi Index / Equity Derivatives

<ul>
<li>Since the end of September the Kospi has been diverging from the Nikkie which has rallied as JPY has weakened. Both Kospi and KRW have been moving lower.</li>
<li>Vast majority of option trading is in short dated expiries. The largest volume day of the week saw 99% of trading in expires &lt;= Jan 09</li>
<li>Implied vols were quiet but there was some increased tilt to skew making out-of-the-money Puts slightly more expensive.</li>
</ul>


Since the end of September the Kospi has been diverging from the Nikkie which has rallied as JPY has weakened. Both Kospi and KRW have been moving lower.
Vast majority of option trading is in short dated expiries. The largest volume day of the week saw 99% of trading in expires &lt;= Jan 09
Implied vols were quiet but there was some increased tilt to skew making out-of-the-money Puts slightly more expensive.


EQD | Kospi Index Options Weekly - December 23 - 27

Japan

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

Nikkei 225 (NKY INDEX)

Murata Manufacturing (6981 JP) - No Immediate Passive Buying Could Lead to More Weakness

A group of 7 holders are selling US$916m of stock at a 5-7% discount to last. That is 3.3% of shares out and 12.4x ADV. There is no passive buying...

Brian Freitas

Opportunity Within Europe and Japan; EURO STOXX 50 and TOPIX/Nikkei 225 Near Major Breakouts

Opportunity Within Europe and Japan $HEDJ $DXJ; EURO $STOXX 50 and $TOPIX/Nikkei 225 Near Major Breakouts. $ACWI above $116. Buys in Financials,...

Vermilion Research

EQD | Asia January Vol Roadmap: Outsized Moves, Outsized Volatility

Historically, gold performs well in January while Nifty tends to decline. Kospi and Nikkei have diverged in price but not implied vol. Most...

John Ley

2025 Essential Calendar for Option Traders in Asia: Key Dates & Insights

Timing expiration and managing event risk are essential for successful option trading. This document provides key dates for option traders across...

Gaudenz Schneider

EQD | Kospi Index Options Weekly - December 23 - 27

The Kospi has been diverging from the Nikkie which has rallied as JPY has weakened. Both Kospi and KRW have been moving lower.

John Ley

Murata Manufacturing (6981 JP) - No Immediate Passive Buying Could Lead to More Weakness

A group of 7 holders are selling US$916m of stock at a 5-7% discount to last. That is 3.3% of shares out and 12.4x ADV. There is no passive buying...

Brian Freitas

Opportunity Within Europe and Japan; EURO STOXX 50 and TOPIX/Nikkei 225 Near Major Breakouts

Opportunity Within Europe and Japan $HEDJ $DXJ; EURO $STOXX 50 and $TOPIX/Nikkei 225 Near Major Breakouts. $ACWI above $116. Buys in Financials,...

Vermilion Research

EQD | Asia January Vol Roadmap: Outsized Moves, Outsized Volatility

​Historically, gold performs well in January while Nifty tends to decline. Kospi and Nikkei have diverged in price but not implied vol. Most...

John Ley

2025 Essential Calendar for Option Traders in Asia: Key Dates & Insights

Timing expiration and managing event risk are essential for successful option trading. This document provides key dates for option traders across...

Gaudenz Schneider

EQD | Kospi Index Options Weekly - December 23 - 27

The Kospi has been diverging from the Nikkie which has rallied as JPY has weakened. Both Kospi and KRW have been moving lower.

John Ley

Historically, gold performs well in January while Nifty tends to decline. Kospi and Nikkei have diverged in price but not implied vol. Most...