Chief Economist & Political Strategist, CrossASEAN Research

Prasenjit K. Basu

Chief Economist & Political Strategist

CrossASEAN Research

At CrossASEAN Research we strive to produce unbiased and differentiated on the ground insights on companies across South East Asia. Our Research is produced for the most part after face to face meetings and conversations with company management to dig deep into the long term vision and strategy of the companies we cover. We seek to deliver investable and actionable themes on sectors and markets across SE Asia, often in collaboration with other Insight Providers across the region, pooling the vast experience of the analysts within the Smartkarma Ecosystem. We also offer bespoke work and tailor made trips for our clients. 

Insights across South East Asia

Macroeconomics

<ul>
<li>RBI's MPC cut its policy repo rate by 50bp (to 5.5%, implying cuts totalling 100bp in the past half year), and also a phased 100bp cut in CRR by Dec'25. </li>
<li>Despite CPI inflation moderating below 3.2%YoY in Apr'25, the RBI has only slightly lowered its inflation forecast for FY26 to 3.7% (from 4%), and hence returned to a neutral stance. </li>
<li>Given an above-normal monsoon, already strong Rabi crop, and low crude oil prices, we expect CPI inflation to average less than 3%YoY in Jun-Dec'25, allowing 75bp of further rate cuts. </li>
</ul>


RBI's MPC cut its policy repo rate by 50bp (to 5.5%, implying cuts totalling 100bp in the past half year), and also a phased 100bp cut in CRR by Dec'25. 
Despite CPI inflation moderating below 3.2%YoY in Apr'25, the RBI has only slightly lowered its inflation forecast for FY26 to 3.7% (from 4%), and hence returned to a neutral stance. 
Given an above-normal monsoon, already strong Rabi crop, and low crude oil prices, we expect CPI inflation to average less than 3%YoY in Jun-Dec'25, allowing 75bp of further rate cuts. 


India: 50bp Rate Cut, 100bp of CRR Cuts Pave the Way for Faster RGDP Growth

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>It has been a decent year for the index rebalance strategy, though there have been some big hiccups along the way.</li>
<li>Forecasting the index changes and impacts has been important, but timing (especially momentum/value regime changes) and hedge selection have also been major factors affecting the returns of the strategy.</li>
<li>As passive AUM continues to increase, we expect focus on the strategy to continue in 2025 with market players taking different approaches to trading the potential and announced index changes.</li>
</ul>


It has been a decent year for the index rebalance strategy, though there have been some big hiccups along the way.
Forecasting the index changes and impacts has been important, but timing (especially momentum/value regime changes) and hedge selection have also been major factors affecting the returns of the strategy.
As passive AUM continues to increase, we expect focus on the strategy to continue in 2025 with market players taking different approaches to trading the potential and announced index changes.


How Has the Index Rebalance Strategy Performed in 2024?

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener"><strong>NIFTY Index</strong> (NIFTY INDEX)</a> and the <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener"><strong>NSE Nifty Bank Index</strong> (NSEBANK INDEX EQUITY)</a> reached all-time highs on 26 September 2024 but have since declined.</li>
<li>Most stocks in the Bank Index have fallen below their 200 and 50 day moving average,. Volatilities have gone up, but trade cheap when compared to historical levels.</li>
<li>Opportunities present themselves either in stocks that stayed resilient during the downturn (<a href="https://www.smartkarma.com/entities/federal-bank-ltd" target="_blank" data-smartkarma-citation="entities:11784:1" rel="noopener">Federal Bank (FB IN)),</a>or fell and gained in implied volatility. A long-short strategy might also be considered.</li>
</ul>


The NIFTY Index (NIFTY INDEX) and the NSE Nifty Bank Index (NSEBANK INDEX EQUITY) reached all-time highs on 26 September 2024 but have since declined.
Most stocks in the Bank Index have fallen below their 200 and 50 day moving average,. Volatilities have gone up, but trade cheap when compared to historical levels.
Opportunities present themselves either in stocks that stayed resilient during the downturn (Federal Bank (FB IN)),or fell and gained in implied volatility. A long-short strategy might also be considered.


EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

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.

<ul>
<li>IVs Spike with Election Results release on 04-June-2024. Post event there's a risk of large IV-crush regardless of the result.</li>
<li>Current Vol-state is "High &amp; Up". Wait for the switch to "High &amp; Down" before initiating new risk-premia harvesting strategies</li>
<li>Weekly IVs have received large markups due to elections. Entire Vol Curve is now in Backwardation -  curve inversion at extreme levels</li>
</ul>


IVs Spike with Election Results release on 04-June-2024. Post event there's a risk of large IV-crush regardless of the result.
Current Vol-state is "High &amp; Up". Wait for the switch to "High &amp; Down" before initiating new risk-premia harvesting strategies
Weekly IVs have received large markups due to elections. Entire Vol Curve is now in Backwardation -  curve inversion at extreme levels


EQD / Weekly Vol Update / IVs Spike with Election Results Round the Corner

<ul>
<li>Indian markets to implement T+0 settlement cycle starting 28-March-2024. Phase-wise transition planned .</li>
<li>Upcoming long weekends causing drastic markdown in IV levels. This combined with "High &amp; Down" vol regime - short gamma/ short vega trades recommended.  </li>
<li>Contango shape of Volatility curves are an additional reason to be short gamma &amp; earning theta</li>
</ul>


Indian markets to implement T+0 settlement cycle starting 28-March-2024. Phase-wise transition planned .
Upcoming long weekends causing drastic markdown in IV levels. This combined with "High &amp; Down" vol regime - short gamma/ short vega trades recommended.  
Contango shape of Volatility curves are an additional reason to be short gamma &amp; earning theta


EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

India

Nifty Bank Index is a free-float capitalization-weighted index comprised of the most liquid and large capitalized Indian Banking stocks. The index will have 12 stocks from the banking sector, which trade on the National Stock Exchange. The index was developed with a base value of 1000 as of January 1, 2000.

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

India: 50bp Rate Cut, 100bp of CRR Cuts Pave the Way for Faster RGDP Growth

We forecast 8.5% real GDP growth in FY26, with another 75bp of rate cuts by Dec'25 (after 100bp cuts in Feb-Jun'25) boosting fixed investment,...

Prasenjit K. Basu

How Has the Index Rebalance Strategy Performed in 2024?

The index rebalance strategy has performed reasonably well this year. Accurate forecasting of index changes and optimal hedge selection have played...

Brian Freitas

EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

The NSE Nifty Bank Index hit a record high in September 2024 but has since dropped. Option opportunities are found in resilient or volatile bank...

Gaudenz Schneider

EQD / Weekly Vol Update / IVs Spike with Election Results Round the Corner

Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

AceGama Advisors

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. Indian markets to shift to T+0 settlement cycle in ...

AceGama Advisors

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

India: 50bp Rate Cut, 100bp of CRR Cuts Pave the Way for Faster RGDP Growth

We forecast 8.5% real GDP growth in FY26, with another 75bp of rate cuts by Dec'25 (after 100bp cuts in Feb-Jun'25) boosting fixed investment,...

Prasenjit K. Basu

How Has the Index Rebalance Strategy Performed in 2024?

The index rebalance strategy has performed reasonably well this year. Accurate forecasting of index changes and optimal hedge selection have played...

Brian Freitas

EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

The NSE Nifty Bank Index hit a record high in September 2024 but has since dropped. Option opportunities are found in resilient or volatile bank...

Gaudenz Schneider

EQD / Weekly Vol Update / IVs Spike with Election Results Round the Corner

​Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

AceGama Advisors

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. ​Indian markets to shift to T+0 settlement cycle in ...

AceGama Advisors

Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. Indian markets to shift to T+0 settlement cycle in ...