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>
<a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899" rel="noopener">Hang Seng Index (HSI INDEX)</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)</a> and <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909" rel="noopener">Nikkei 225 (NKY INDEX)</a> all have elevated implied vols vs their peers and vs historical observations for October.</li>
<li>
<a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617" rel="noopener">NIFTY Index (NIFTY INDEX)</a> , <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a> and <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>  implied vols are on the low end of what is typically realized in October.</li>
<li>Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.</li>
</ul>



Hang Seng Index (HSI INDEX), Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) all have elevated implied vols vs their peers and vs historical observations for October.

NIFTY Index (NIFTY INDEX) , S&amp;P 500 INDEX (SPX INDEX) and S&amp;P/ASX 200 (AS51 INDEX)  implied vols are on the low end of what is typically realized in October.
Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.


EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

Shanghai Shenzhen CSI 300 Index / Event-Driven

<ul>
<li>Today, in a press conference held jointly by the Governor of the PBOC, the Director of the Financial Regulatory Bureau, and Chairman of the CSRC, China announced market stimulus measures.</li>
<li>The PBOC will cut RRR 50bp, the 7-day repo rate 20bp, guide effective mortgage rate cuts, and lower minimum down payments on second homes. There are other commercial RE measures.</li>
<li>Three major stock market measures were announced. A RMB500bn collateral swap programme, PBOC backing RMB300bn bank loans for corps to buy stocks, and a Plan to increase Central Huijin investments.</li>
</ul>


Today, in a press conference held jointly by the Governor of the PBOC, the Director of the Financial Regulatory Bureau, and Chairman of the CSRC, China announced market stimulus measures.
The PBOC will cut RRR 50bp, the 7-day repo rate 20bp, guide effective mortgage rate cuts, and lower minimum down payments on second homes. There are other commercial RE measures.
Three major stock market measures were announced. A RMB500bn collateral swap programme, PBOC backing RMB300bn bank loans for corps to buy stocks, and a Plan to increase Central Huijin investments.


Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Shanghai Shenzhen CSI 300 Index / Equity Derivatives

<ul>
<li>Following an extended holiday beginning May 1st, the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index (SHSZ300 INDEX) </a>resumes trading on May 6th. </li>
<li>The WEEKLY close before the holiday—during a shortened trading week—was modestly negative. However, the index would need to decline to 3697 or lower to trigger a buy-the-dip opportunity.
</li>
<li>Since the index has already closed 1 week down, our time model suggests there is a good chance (62%) it could go up this week.
</li>
</ul>


Following an extended holiday beginning May 1st, the CSI 300 Index (SHSZ300 INDEX) resumes trading on May 6th. 
The WEEKLY close before the holiday—during a shortened trading week—was modestly negative. However, the index would need to decline to 3697 or lower to trigger a buy-the-dip opportunity.

Since the index has already closed 1 week down, our time model suggests there is a good chance (62%) it could go up this week.



CSI 300 Index: Tactical Outlook Following the Labor Day Holiday

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

<ul>
<li>Nearly US$22bn has flowed into mainland China listed ETFs over the last 3 trading days, reversing outflows that started in mid February.</li>
<li>Central Huijin has announced that it will be increasing its ETF holdings to maintain smooth operation of China's capital markets. The rest of the National Team will be buying too.</li>
<li>There are multiple implications of the huge ETF creations in a short time frame and a reversal of flows will lead to a reversion in a bunch of trades.</li>
</ul>


Nearly US$22bn has flowed into mainland China listed ETFs over the last 3 trading days, reversing outflows that started in mid February.
Central Huijin has announced that it will be increasing its ETF holdings to maintain smooth operation of China's capital markets. The rest of the National Team will be buying too.
There are multiple implications of the huge ETF creations in a short time frame and a reversal of flows will lead to a reversion in a bunch of trades.


China ETF Inflows & Implications: Central Huijin's Huge Buying

<ul>
<li>The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 Index)</a> exploded higher in mid-September 2024, then went flat in a range (still there as we write). </li>
<li>Our models currently see uptrend and downtrend targets positioned at an equal distance from the last WEEKLY CLose on December 13th.</li>
<li>In short this means that the index is "perfectly neutral" at the moment, a rare scenario that requires straddle and strangle-like strategies to be able to profit.</li>
</ul>


The Shanghai Shenzhen CSI 300 Index (SHSZ300 Index) exploded higher in mid-September 2024, then went flat in a range (still there as we write). 
Our models currently see uptrend and downtrend targets positioned at an equal distance from the last WEEKLY CLose on December 13th.
In short this means that the index is "perfectly neutral" at the moment, a rare scenario that requires straddle and strangle-like strategies to be able to profit.


EQD | CSI 300 Stuck in Neutral: Equal Chances to Rally or Drop

China

The CSI 300 Index is a free-float weighted index that consists of 300 A-share stocks listed on the Shanghai or Shenzhen Stock Exchanges. Index has a base level of 1000 on 12/31/2004. * Due to our agreement with CSI, shares in the index is restricted, please visit SSIS<go> for more information and access. This ticker holds prices fed from Shenzhen Stock Exchange.

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

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

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

China's [Maybe] Biggish [Quasi?] Bazooka

The China Maybe-Biggish Quasi-Bazooka is turning more Big Bazooka-ish. Bloomberg reports China may inject RMB 1 trillion of new capital into big...

Travis Lundy

CSI 300 Index: Tactical Outlook Following the Labor Day Holiday

CSI 300 Index resumes trading after holiday, potential buy-the-dip opportunity if index declines to 3697 or lower, our time model predicts a 62%...

Nico Rosti

China ETF Inflows & Implications: Central Huijin's Huge Buying

Nearly US$22bn has flowed into mainland China listed ETFs over the last 3 trading days, reversing outflows that started in mid-February. Flows are...

Brian Freitas

EQD | CSI 300 Stuck in Neutral: Equal Chances to Rally or Drop

The Shanghai Shenzhen CSI 300 Index is currently right in the middle of a support and resistance range identified by our models. We present the...

Nico Rosti

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

​Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

China's [Maybe] Biggish [Quasi?] Bazooka

The China Maybe-Biggish Quasi-Bazooka is turning more Big Bazooka-ish. Bloomberg reports China may inject RMB 1 trillion of new capital into big...

Travis Lundy

CSI 300 Index: Tactical Outlook Following the Labor Day Holiday

​CSI 300 Index resumes trading after holiday, potential buy-the-dip opportunity if index declines to 3697 or lower, our time model predicts a 62%...

Nico Rosti

China ETF Inflows & Implications: Central Huijin's Huge Buying

Nearly US$22bn has flowed into mainland China listed ETFs over the last 3 trading days, reversing outflows that started in mid-February. Flows are...

Brian Freitas

EQD | CSI 300 Stuck in Neutral: Equal Chances to Rally or Drop

​The Shanghai Shenzhen CSI 300 Index is currently right in the middle of a support and resistance range identified by our models. We present the...

Nico Rosti

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

CSI 300 Index resumes trading after holiday, potential buy-the-dip opportunity if index declines to 3697 or lower, our time model predicts a 62%...

The Shanghai Shenzhen CSI 300 Index is currently right in the middle of a support and resistance range identified by our models. We present the...