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

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

Endeavour Group /Australia / Event-Driven

<ul>
<li>Up to six Aussie stocks could be deleted from global passive portfolios in February. The final list of deletions depends on stock performance over the next 2-3 weeks.</li>
<li>If deleted, passive trackers will need to sell between A$370m-A$500m in the stocks. Impact is high at between 7-24 days of ADV.</li>
<li>The potential deletions have underperformed 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> over every time period from 1 week to 3 months. Positioning is still low in a few stocks.</li>
</ul>


Up to six Aussie stocks could be deleted from global passive portfolios in February. The final list of deletions depends on stock performance over the next 2-3 weeks.
If deleted, passive trackers will need to sell between A$370m-A$500m in the stocks. Impact is high at between 7-24 days of ADV.
The potential deletions have underperformed the S&amp;P/ASX 200 (AS51 INDEX) over every time period from 1 week to 3 months. Positioning is still low in a few stocks.


Australia: Six Stocks in Passive Selling Crosshairs for February

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>
As the year comes to its end, the trading calendar is impacted by two shortened weeks, with the Christmas holiday and New Year’s Day both falling midweek.</li>
<li>Holidays market trends can be affected by various non-market factors but it's always good to check the indexes probability of trend reversals, to avoid surprises.
</li>
<li>In this insight, we’ll take a quick look at the major Asia-Pacific market indices—a 'Christmas Carousel of Odds' for Asian markets, if you will.</li>
</ul>



As the year comes to its end, the trading calendar is impacted by two shortened weeks, with the Christmas holiday and New Year’s Day both falling midweek.
Holidays market trends can be affected by various non-market factors but it's always good to check the indexes probability of trend reversals, to avoid surprises.

In this insight, we’ll take a quick look at the major Asia-Pacific market indices—a 'Christmas Carousel of Odds' for Asian markets, if you will.


HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

<ul>
<li>
<a href="https://www.smartkarma.com/entities/ioof-holdings-ltd" target="_blank" data-smartkarma-citation="entities:12349:1" rel="noopener">IOOF Holdings (IFL AU)</a> has received an indicative proposal from Bain Capital to acquire all of its shares at A$4/share in cash.</li>
<li>The offer takes advantage of <a href="https://www.smartkarma.com/entities/ioof-holdings-ltd" target="_blank" data-smartkarma-citation="entities:12349:1" rel="noopener">IOOF Holdings (IFL AU)</a>'s underperformance over the last couple of years and there could be competing offers from other investment managers. </li>
<li>Short interest in <a href="https://www.smartkarma.com/entities/ioof-holdings-ltd" target="_blank" data-smartkarma-citation="entities:12349:1" rel="noopener">IOOF Holdings (IFL AU)</a> is around 2% of shares out and 2.5% of float. There could be short covering in the next few days.</li>
</ul>



IOOF Holdings (IFL AU) has received an indicative proposal from Bain Capital to acquire all of its shares at A$4/share in cash.
The offer takes advantage of IOOF Holdings (IFL AU)'s underperformance over the last couple of years and there could be competing offers from other investment managers. 
Short interest in IOOF Holdings (IFL AU) is around 2% of shares out and 2.5% of float. There could be short covering in the next few days.


Insignia Financial (IFL AU): Bain's Indicative Proposal a Tad Light

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)

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

Australia: Six Stocks in Passive Selling Crosshairs for February

6 Aussie stocks appear in the crosshairs of passive selling in Feb. If deleted, passives will need to sell between A$370m-A$500m in the stocks....

Brian Freitas

HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...

Nico Rosti

Insignia Financial (IFL AU): Bain's Indicative Proposal a Tad Light

Insignia Financial has received an indicative proposal from Bain to acquire all of its shares at A$4/share in cash. The offer takes advantage of...

Brian Freitas

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

Australia: Six Stocks in Passive Selling Crosshairs for February

6 Aussie stocks appear in the crosshairs of passive selling in Feb. If deleted, passives will need to sell between A$370m-A$500m in the stocks....

Brian Freitas

HSI, Nikkei 225, NIFTY 50, Kospi 200, ASX 200, CSI 300: Year-End Trends and Holiday Market Moves!

​Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...

Nico Rosti

Insignia Financial (IFL AU): Bain's Indicative Proposal a Tad Light

Insignia Financial has received an indicative proposal from Bain to acquire all of its shares at A$4/share in cash. The offer takes advantage of...

Brian Freitas

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

Trading calendar has 2 upcoming shortened weeks, this insight is offer analysis of the major Asia/Pacific indices to highlight potential sudden...