Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

Contemporary Amperex Technology / Equity Derivatives

Contemporary Amperex Technology (3750 HK)

<ul>
<li>
Context: Over the past five trading days, <a href="https://www.smartkarma.com/entities/contemporary-amperex-technology-co-limited-class-h" target="_blank" data-smartkarma-citation="entities:45179:1" rel="noopener">CATL (3750 HK)</a> multi-leg option strategies showcased a variety of approaches. Strategy highlights are provided.</li>
<li>
Highlights: Option positioning shifted from bullish to neutral, while traded bull call spreads suggest option traders view HKD 800 as the upper end of CATL’s medium-term target range.</li>
<li>
Why read: This breakdown of complex option strategies sheds light on market sentiment and positioning. Detailed examples provide actionable insights that could inspire similar strategies.</li>
</ul>



Context: Over the past five trading days, CATL (3750 HK) multi-leg option strategies showcased a variety of approaches. Strategy highlights are provided.

Highlights: Option positioning shifted from bullish to neutral, while traded bull call spreads suggest option traders view HKD 800 as the upper end of CATL’s medium-term target range.

Why read: This breakdown of complex option strategies sheds light on market sentiment and positioning. Detailed examples provide actionable insights that could inspire similar strategies.


CATL (3750 HK): 42% YTD Rally - Option Traders Target HKD 800 as Positioning Turns Neutral

<ul>
<li>
<a href="https://www.smartkarma.com/entities/contemporary-amperex-technology-catl-co-limited" target="_blank" data-smartkarma-citation="entities:45179:1" rel="noopener">Contemporary Amperex Technology (CATL) (3750 HK)</a> discounted H-share placement triggered a sharp drop, but the capital raise appears opportunistic rather than defensive, funding global expansion and zero-carbon initiatives.</li>
<li>CATL A-Share <a href="https://www.smartkarma.com/entities/contemporary-amperex-technolog" target="_blank" data-smartkarma-citation="entities:24404:1" rel="noopener">(300750 CH)</a> resilience suggests the H-share weakness may be largely placement-specific rather than a broader reassessment of CATL’s long-term outlook, leaving scope for a rebound from depressed levels.</li>
<li>Elevated, but not excessive, implied volatility supports a potential put-underwriting strategy for investors who expect limited further downside in the H-Shares and possible volatility normalisation.</li>
</ul>



Contemporary Amperex Technology (CATL) (3750 HK) discounted H-share placement triggered a sharp drop, but the capital raise appears opportunistic rather than defensive, funding global expansion and zero-carbon initiatives.
CATL A-Share (300750 CH) resilience suggests the H-share weakness may be largely placement-specific rather than a broader reassessment of CATL’s long-term outlook, leaving scope for a rebound from depressed levels.
Elevated, but not excessive, implied volatility supports a potential put-underwriting strategy for investors who expect limited further downside in the H-Shares and possible volatility normalisation.


CATL H-Share (3750 HK) Placement Dip Opens Put-Underwriting Setup

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

KraneShares CSI China Internet ETF / Event-Driven

KraneShares CSI China Internet ETF (KWEB US)

<ul>
<li>China ADRs were sharply lower last week as the SEC started to name companies that were identified under the Holding Foreign Companies Accountable Act (HFCAA).</li>
<li>Then <a href="https://www.smartkarma.com/entities/didi-chuxing-inc" target="_blank" data-smartkarma-citation="entities:27467:1" rel="noopener">DiDi Global</a> dropped 44% on Friday following reports that the their proposals to prevent data/security leaks did not meet CAC's requirements and work on the HK listing was halted.</li>
<li>With 2024 not too far away, a lot of the U.S. listed companies will look at listing in Hong Kong in the near future. That will have its own implications.</li>
</ul>


China ADRs were sharply lower last week as the SEC started to name companies that were identified under the Holding Foreign Companies Accountable Act (HFCAA).
Then DiDi Global dropped 44% on Friday following reports that the their proposals to prevent data/security leaks did not meet CAC's requirements and work on the HK listing was halted.
With 2024 not too far away, a lot of the U.S. listed companies will look at listing in Hong Kong in the near future. That will have its own implications.


China ADRs & HFCAA: Pace of Homecoming Listings Should Pick Up & Implications

Index Rebalance

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> consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.There were 21 changes to the index at the June review, and we expect up to 24 changes in the December review. Estimated one-way turnover is 4.06% and there are 4 inclusions and 11 deletions that could have more than 1 day of ADV to trade.With passive tracking products holding around US$28bn of AUM, plus another US$35bn in open interest on the listed futures, there could be significant moves in the inclusion/exclusion names ahead of the rebalance announcement. There will only be 9-10 trading days between the announcement of the changes and the implementation, so having a pre-position should pay off.

The Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) consists of stocks from the Shanghai Stock Exchange and the Shenzhen Stock Exchange and is one of the most widely tracked A-share indices with passive tracking products listed in multiple markets globally. There are CFFEX listed futures that trade actively as well.There were 21 changes to the index at the June review, and we expect up to 24 changes in the December review. Estimated one-way turnover is 4.06% and there are 4 inclusions and 11 deletions that could have more than 1 day of ADV to trade.With passive tracking products holding around US$28bn of AUM, plus another US$35bn in open interest on the listed futures, there could be significant moves in the inclusion/exclusion names ahead of the rebalance announcement. There will only be 9-10 trading days between the announcement of the changes and the implementation, so having a pre-position should pay off.

CSI300 Index Rebalance Preview: 21 Changes in June, Could Be 24 in December

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

Shenzhen Stock Exchange Composite Index / Technical Analysis

Shenzhen Stock Exchange Composite Index (SZCOMP INDEX)

China (MSCI China, Shenzhen A Share) offers a plethora of attractive setups and is a major focus in today’s report. Taiwan (TAIEX) is another focus as it is one of the few global indexes that is not yet breaking down. Lastly, Turkey (ISE National 100) appears to offer an attractive pullback opportunity. Within EM, we highlight attractive opportunities across the technology, consumer discretionary, health care and communications sectors.

China (MSCI China, Shenzhen A Share) offers a plethora of attractive setups and is a major focus in today’s report. Taiwan (TAIEX) is another focus as it is one of the few global indexes that is not yet breaking down. Lastly, Turkey (ISE National 100) appears to offer an attractive pullback opportunity. Within EM, we highlight attractive opportunities across the technology, consumer discretionary, health care and communications sectors.

China

Shenzhen Composite Index is an actual market-cap weighted index (no free float factor) that tracks the stock performance of all the A-share and B-share lists on Shenzhen Stock Exchange. The index was developed on April 3, 1991 with a base price of 100. 

Shenzhen Stock Exchange Composite Index (SZCOMP INDEX)

CATL (3750 HK): 42% YTD Rally - Option Traders Target HKD 800 as Positioning Turns Neutral

After a 42% year-to-date rally, CATL's option positioning has shifted from bullish to neutral. Multi-leg option trades suggest HKD 800 as the upper...

Gaudenz Schneider

China ADRs & HFCAA: Pace of Homecoming Listings Should Pick Up & Implications

The SEC naming 5 companies under the HFCAA put China ADRs under pressure last week. The news that the CAC had nixed DIDI's HK listing plans added...

Brian Freitas

CSI300 Index Rebalance Preview: 21 Changes in June, Could Be 24 in December

There could be 24 changes to the CSI300 index at the December review with an estimated one-way turnover of 4.06%. 4 inclusions and 11 deletions are...

Brian Freitas

EM Outperforming; Favor EM over EAFE

China (MSCI China, Shenzhen A Share) offers a plethora of attractive setups and is a major focus in today’s report. Taiwan (TAIEX) is another focus...

Vermilion Research

CATL (3750 HK): 42% YTD Rally - Option Traders Target HKD 800 as Positioning Turns Neutral

After a 42% year-to-date rally, CATL's option positioning has shifted from bullish to neutral. Multi-leg option trades suggest HKD 800 as the upper...

Gaudenz Schneider

CATL H-Share (3750 HK) Placement Dip Opens Put-Underwriting Setup

CATL H-shares (3750 HK) have rebounded from their post-placement lows but still trade below the pre-offering level. With IV still in the low 40s,...

Gaudenz Schneider

China ADRs & HFCAA: Pace of Homecoming Listings Should Pick Up & Implications

The SEC naming 5 companies under the HFCAA put China ADRs under pressure last week. The news that the CAC had nixed DIDI's HK listing plans added...

Brian Freitas

CSI300 Index Rebalance Preview: 21 Changes in June, Could Be 24 in December

There could be 24 changes to the CSI300 index at the December review with an estimated one-way turnover of 4.06%. 4 inclusions and 11 deletions are...

Brian Freitas

EM Outperforming; Favor EM over EAFE

China (MSCI China, Shenzhen A Share) offers a plethora of attractive setups and is a major focus in today’s report. Taiwan (TAIEX) is another focus...

Vermilion Research