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

Index Rebalance

<ul>
<li>We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.</li>
<li>India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.</li>
<li>A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.</li>
</ul>


We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.
India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.
A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.


Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

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>Nikkei breaks lower, USD/JPY and trade tensions weighing on the market.</li>
<li>Implied volatility rose as the market declined. We discuss implications of current spot levels that is dominated by Put open interest.</li>
<li>Historic volatility continues to lag implied vol, we provide visuals on the extent of the lag.</li>
</ul>


Nikkei breaks lower, USD/JPY and trade tensions weighing on the market.
Implied volatility rose as the market declined. We discuss implications of current spot levels that is dominated by Put open interest.
Historic volatility continues to lag implied vol, we provide visuals on the extent of the lag.


Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

<ul>
<li>Sideways range finally breaks giving way to higher 1M implied vols, now above the 75th percentile.</li>
<li>Move lower potentially exacerbated by short gamma positions around the 38,000 strike.</li>
<li>Seasonals not favorable for Nikkei over the next two weeks.</li>
</ul>


Sideways range finally breaks giving way to higher 1M implied vols, now above the 75th percentile.
Move lower potentially exacerbated by short gamma positions around the 38,000 strike.
Seasonals not favorable for Nikkei over the next two weeks.


Nikkei Index Options Weekly (Feb 24 – 28): The Range Breaks

<ul>
<li>The 150 level on USD/JPY seems to be an area of heightened interest. We see potential for greater disparity of Nikkei returns below this level.</li>
<li>Nikkei 1-month implied vol is at the 17th percentile; while not currently monetizing, caution is warranted on short vol positions as USD/JPY vol trends higher.</li>
<li>Call volume dropped sharply vs total volume, with Puts outpacing Calls every day this week.</li>
</ul>


The 150 level on USD/JPY seems to be an area of heightened interest. We see potential for greater disparity of Nikkei returns below this level.
Nikkei 1-month implied vol is at the 17th percentile; while not currently monetizing, caution is warranted on short vol positions as USD/JPY vol trends higher.
Call volume dropped sharply vs total volume, with Puts outpacing Calls every day this week.


Nikkei Index Options Weekly (Feb 17 – 21): USD/JPY at Inflection Point

<ul>
<li>USD/JPY more volatile relative to Nikkei, trading in a 2.3% range on the week and historic vol continuing to climb compressing the hv spread.</li>
<li>Nikkei is trading at the mid-point of the sideways range it’s been in since the end of September.  </li>
<li>Most heavily traded strikes were at the top and bottom of the sideways range.</li>
</ul>


USD/JPY more volatile relative to Nikkei, trading in a 2.3% range on the week and historic vol continuing to climb compressing the hv spread.
Nikkei is trading at the mid-point of the sideways range it’s been in since the end of September.  
Most heavily traded strikes were at the top and bottom of the sideways range.


EQD | Nikkei Index Options Weekly (February 10 – 14): Mired in Sideways Range

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)

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...

John Ley

Nikkei Index Options Weekly (Feb 24 – 28): The Range Breaks

Sideways range in Nikkei breaks, leading to higher implied vols and potential downside pressure from short gamma positions around 38,000 strike....

John Ley

Nikkei Index Options Weekly (Feb 17 – 21): USD/JPY at Inflection Point

Heightened interest in the 150 level on USD/JPY with potential for greater disparity in Nikkei returns below that; caution advised on short Nikkei...

John Ley

EQD | Nikkei Index Options Weekly (February 10 – 14): Mired in Sideways Range

USD/JPY more volatile than Nikkei, trading in a 2.3% range with historic volatility increasing, while Nikkei remains in a sideways range since...

John Ley

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

​Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...

John Ley

Nikkei Index Options Weekly (Feb 24 – 28): The Range Breaks

​Sideways range in Nikkei breaks, leading to higher implied vols and potential downside pressure from short gamma positions around 38,000 strike....

John Ley

Nikkei Index Options Weekly (Feb 17 – 21): USD/JPY at Inflection Point

​Heightened interest in the 150 level on USD/JPY with potential for greater disparity in Nikkei returns below that; caution advised on short Nikkei...

John Ley

EQD | Nikkei Index Options Weekly (February 10 – 14): Mired in Sideways Range

​USD/JPY more volatile than Nikkei, trading in a 2.3% range with historic volatility increasing, while Nikkei remains in a sideways range since...

John Ley

Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...

Sideways range in Nikkei breaks, leading to higher implied vols and potential downside pressure from short gamma positions around 38,000 strike....

Heightened interest in the 150 level on USD/JPY with potential for greater disparity in Nikkei returns below that; caution advised on short Nikkei...

USD/JPY more volatile than Nikkei, trading in a 2.3% range with historic volatility increasing, while Nikkei remains in a sideways range since...