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>The review period for the June rebalance of the S&amp;P/ASX family of indices ends tomorrow and we expect two changes for the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>. </li>
<li>Impact of passive trading on the stocks varies between 4.3-11 days of ADV. Short interest on the potential adds is small while there are significant shorts on the potential deletes.</li>
<li>We expect there is pre-positioning on at least three of the four stocks. In some cases that is small, while it could be a lot larger in other stocks.</li>
</ul>


The review period for the June rebalance of the S&amp;P/ASX family of indices ends tomorrow and we expect two changes for the S&amp;P/ASX 200 (AS51 INDEX). 
Impact of passive trading on the stocks varies between 4.3-11 days of ADV. Short interest on the potential adds is small while there are significant shorts on the potential deletes.
We expect there is pre-positioning on at least three of the four stocks. In some cases that is small, while it could be a lot larger in other stocks.


S&P/​​​​​​​ASX Index Rebalance Preview: Potential Changes, Impact, Shorts & Positioning

<ul>
<li>There are unlikely to be any inclusions to the index in June while there are three stocks that are close to the deletion threshold.</li>
<li>Even if there are no constituent changes, there will be capping changes that will result in one-way turnover of over 4% and a one-way trade of A$78m.</li>
<li>Short interest on <a href="https://www.smartkarma.com/entities/amp-ltd" target="_blank" data-smartkarma-citation="entities:678:1" rel="noopener">AMP Ltd (AMP AU)</a> has been increasing as the stock has dropped and a further decline in the stock could lead to deletion.</li>
</ul>


There are unlikely to be any inclusions to the index in June while there are three stocks that are close to the deletion threshold.
Even if there are no constituent changes, there will be capping changes that will result in one-way turnover of over 4% and a one-way trade of A$78m.
Short interest on AMP Ltd (AMP AU) has been increasing as the stock has dropped and a further decline in the stock could lead to deletion.


MVIS Australia Equal Weight Index Rebalance: Potential Deletes & Capping Changes

Senior Equity Derivatives Trader

Simon Harris

Equity Derivatives

<ul>
<li>Weekly summary of vol changes and moves across Global Markets</li>
<li>Analysing ATM volatility and skew changes over the last 5 days</li>
<li>We suggest a few trades to take advantage of the implied vol surfaces</li>
</ul>


Weekly summary of vol changes and moves across Global Markets
Analysing ATM volatility and skew changes over the last 5 days
We suggest a few trades to take advantage of the implied vol surfaces


EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades- China Cooling?

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades- Peak Rates?

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/ventia-services-group" target="_blank" data-smartkarma-citation="entities:34917:1" rel="noopener">Ventia (VNT AU)</a> completed an A$300m placement overnight with Apollo and <a href="https://www.smartkarma.com/entities/cimic-group-ltd" target="_blank" data-smartkarma-citation="entities:20030:1" rel="noopener">CIMIC Group Ltd (CIM AU)</a> selling around 14% of the shares outstanding at a small discount to the close.</li>
<li>The placement will significantly increase <a href="https://www.smartkarma.com/entities/ventia-services-group" target="_blank" data-smartkarma-citation="entities:34917:1" rel="noopener">Ventia (VNT AU)</a>'s float and make the stock a high probability inclusion to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the June rebalance.</li>
<li>We now expect two changes to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> in June and the impact on the stocks is over 5.5 days of ADV to trade.</li>
</ul>



Ventia (VNT AU) completed an A$300m placement overnight with Apollo and CIMIC Group Ltd (CIM AU) selling around 14% of the shares outstanding at a small discount to the close.
The placement will significantly increase Ventia (VNT AU)'s float and make the stock a high probability inclusion to the S&amp;P/ASX 200 (AS51 INDEX) at the June rebalance.
We now expect two changes to the S&amp;P/ASX 200 (AS51 INDEX) in June and the impact on the stocks is over 5.5 days of ADV to trade.


Ventia (VNT AU) - Placement Could Lead to ASX200 Inclusion in June

Australia

The S&P/ASX 200 measures the performance of the 200 largest index-eligible stocks listed on the ASX by float-adjusted market capitalization. Representative liquid and tradable, it is widely considered Australia's preeminent benchmark index. The index is float-adjusted. The index was launched in April 2000.

S&P/ASX 200 (AS51 INDEX)

S&P/ASX Index Rebalance Preview: Potential Changes, Impact, Shorts & Positioning

There could be 2 changes for the ASX200 in June. Impact is high on most stocks. Shorts are small on the adds & very high on the deletes. There...

Brian Freitas

MVIS Australia Equal Weight Index Rebalance: Potential Deletes & Capping Changes

There could be 3 deletions for the MVIS Australia Equal Weight Index in June. Capping changes could result in one-way turnover of 4.1% and a one...

Brian Freitas

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades- China Cooling?

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades- Peak Rates?

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

Ventia (VNT AU) - Placement Could Lead to ASX200 Inclusion in June

Apollo & CIMIC sold 14% of Ventia yesterday. That increases Ventia's float and should result in ASX200 inclusion in June. The placement was...

Brian Freitas

S&P/​​​​​​​ASX Index Rebalance Preview: Potential Changes, Impact, Shorts & Positioning

There could be 2 changes for the ASX200 in June. Impact is high on most stocks. Shorts are small on the adds & very high on the deletes. There...

Brian Freitas

MVIS Australia Equal Weight Index Rebalance: Potential Deletes & Capping Changes

There could be 3 deletions for the MVIS Australia Equal Weight Index in June. Capping changes could result in one-way turnover of 4.1% and a one...

Brian Freitas

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades- China Cooling?

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

EQD | Volatility Update: Weekly Review of Vol Changes and Best Trades- Peak Rates?

A weekly look at spot, vol and skew changes across 8 global Indices. We analyse the changes and try to identify the best trades based on the vol...

Simon Harris

Ventia (VNT AU) - Placement Could Lead to ASX200 Inclusion in June

Apollo & CIMIC sold 14% of Ventia yesterday. That increases Ventia's float and should result in ASX200 inclusion in June. The placement was...

Brian Freitas

S&P/ASX Index Rebalance Preview: Potential Changes, Impact, Shorts & Positioning