Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Cross Asset Strategy

<ul>
<li>A review of recent events/data impacting our investment themes or outlook</li>
<li>While it may not be what investors are clamouring for - China follows through with its policies.</li>
<li>The broad Japanese indices continue to struggle despite JPY weakness</li>
</ul>


A review of recent events/data impacting our investment themes or outlook
While it may not be what investors are clamouring for - China follows through with its policies.
The broad Japanese indices continue to struggle despite JPY weakness


Overview #11 – China Follows Through While Japan Dithers and India Feeds the Ducks

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 INDEX</a> continues to move chaotically in highly unpredictable and fragmented fashion. At the moment it's been falling for 2 weeks (CC=-2 to be confirmed on Friday).</li>
<li>Since the index is in a phase where it keeps going up and down with no trend, we see an opportunity to accumulate short-term LONG positions on the current pullback.</li>
<li>A small bounce from current levels, rising towards the 41k target, could generate some good returns in a short span of time. This would be a reversal trade.</li>
</ul>


The Nikkei 225 INDEX continues to move chaotically in highly unpredictable and fragmented fashion. At the moment it's been falling for 2 weeks (CC=-2 to be confirmed on Friday).
Since the index is in a phase where it keeps going up and down with no trend, we see an opportunity to accumulate short-term LONG positions on the current pullback.
A small bounce from current levels, rising towards the 41k target, could generate some good returns in a short span of time. This would be a reversal trade.


EQD | Short-Term BUY Opportunity For The Nikkei 225

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 KRX announced the 100 constituents of the much-awaited Korea Value-Up Index on 24 September. There were hits and misses but broad consensus was that the index is a miss.</li>
<li>Following market feedback, the KRX could conduct a special rebalance of the index in December. But this could be after the launch of ETFs tracking the index.</li>
<li>With a big overlap and similar characteristics as 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 Index</a>, there could be limited assets benchmarked to the Korea Value-Up Index in the short-term.</li>
</ul>


The KRX announced the 100 constituents of the much-awaited Korea Value-Up Index on 24 September. There were hits and misses but broad consensus was that the index is a miss.
Following market feedback, the KRX could conduct a special rebalance of the index in December. But this could be after the launch of ETFs tracking the index.
With a big overlap and similar characteristics as the KOSPI 200 Index, there could be limited assets benchmarked to the Korea Value-Up Index in the short-term.


Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> option implied volatility is stabilizing at an elevated level. This Insight analyses term structure, skew, open interest, and more.</li>
<li>We identify a tactical option opportunity that profits from the current volatility structure.</li>
<li>Are Consumer Price Index and Bank of Japan interest rate decision announcements systematically followed by unusually large market moves? We run the numbers. </li>
</ul>



Nikkei 225 (NKY INDEX) option implied volatility is stabilizing at an elevated level. This Insight analyses term structure, skew, open interest, and more.
We identify a tactical option opportunity that profits from the current volatility structure.
Are Consumer Price Index and Bank of Japan interest rate decision announcements systematically followed by unusually large market moves? We run the numbers. 


EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

<ul>
<li>Up to 9 stocks could be deleted from global passive portfolios in November. The deletion will lead to liquidity events where trackers will need to sell multiple days of ADV.</li>
<li>There has been a buildup of shorts on nearly all these stocks though the extent of the pre-positioning varies.</li>
<li>The increase in shorts is smaller than the estimated passive selling, though there is a fair amount of variability across the names.</li>
</ul>


Up to 9 stocks could be deleted from global passive portfolios in November. The deletion will lead to liquidity events where trackers will need to sell multiple days of ADV.
There has been a buildup of shorts on nearly all these stocks though the extent of the pre-positioning varies.
The increase in shorts is smaller than the estimated passive selling, though there is a fair amount of variability across the names.


Japan: Potential Passive Selling in November

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)

Overview #11 – China Follows Through While Japan Dithers and India Feeds the Ducks

A review of recent events/data impacting our investment themes and outlook. We look at the big kahunas in Asia - China, Japan and India

Rikki Malik

EQD | Short-Term BUY Opportunity For The Nikkei 225

The Nikkei 225 INDEX is currently moving chaotically, the trend remains unclear. We see an opportunity to accumulate LONG positions for a short...

Nico Rosti

Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

The Korea Value-Up Index is very similar to the KOSPI200 Index. That could mean not a lot of passive assets tracking the index. Stocks with the...

Brian Freitas

EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...

Gaudenz Schneider

Japan: Potential Passive Selling in November

There are a bunch of stocks in Japan that could be sold by passive global investors in November. Shorts have increased on nearly all stocks and the...

Brian Freitas

Overview #11 – China Follows Through While Japan Dithers and India Feeds the Ducks

A review of recent events/data impacting our investment themes and outlook. We look at the big kahunas in Asia - China, Japan and India

Rikki Malik

EQD | Short-Term BUY Opportunity For The Nikkei 225

​The Nikkei 225 INDEX is currently moving chaotically, the trend remains unclear. We see an opportunity to accumulate LONG positions for a short...

Nico Rosti

Korea Value-Up Index: Estimated Passive Flows as ETF Launches Coming

The Korea Value-Up Index is very similar to the KOSPI200 Index. That could mean not a lot of passive assets tracking the index. Stocks with the...

Brian Freitas

EQD | Nikkei 225 Option Implied Volatility Analysis - Focus on Bank of Japan Rate Decision Catalyst

​Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...

Gaudenz Schneider

Japan: Potential Passive Selling in November

There are a bunch of stocks in Japan that could be sold by passive global investors in November. Shorts have increased on nearly all stocks and the...

Brian Freitas

The Nikkei 225 INDEX is currently moving chaotically, the trend remains unclear. We see an opportunity to accumulate LONG positions for a short...

Nikkei 225 option volatility stabilizes at high level. This Insight identifies a tactical opportunity and analyzes market moves after Bank of...