Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>Our WEEKLY tactical global macro recap/analysis for several markets and stocks we track, grouped by sector.</li>
<li>We apply our quantitative models to each instrument's trend, to determine which stocks/markets are just starting a trend, are in the middle of it, or are about to end it.</li>
<li>
Most overbought: Samsung Electronics, SK Hynix, Gold and Oil. Most oversold: NetEase Cloud M,Nikkei 225,Hitachi, Broadcom</li>
</ul>


Our WEEKLY tactical global macro recap/analysis for several markets and stocks we track, grouped by sector.
We apply our quantitative models to each instrument's trend, to determine which stocks/markets are just starting a trend, are in the middle of it, or are about to end it.

Most overbought: Samsung Electronics, SK Hynix, Gold and Oil. Most oversold: NetEase Cloud M,Nikkei 225,Hitachi, Broadcom


WEEKLY Tactical Recap: Samsung Electronics, SK Hynix, Nikkei 225, CATL, Tokyo Electron, Gold, Oil

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>August MTD marks the first monthly outflow since launch: <a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK hynix (000660 KS)</a> 2x leveraged ETFs combined AUM fell 20% to KRW 4.2tn amid KRW 777bn in net outflows.</li>
<li>The 2x Leveraged Index fell 4.7% despite the underlying stock remaining broadly flat, reflecting performance drag in a sideways market.</li>
<li>The 2x inverse ETF lost 12.8% despite a broadly flat underlying stock, highlighting the risks of holding daily-reset products beyond very short trading periods.</li>
</ul>


August MTD marks the first monthly outflow since launch: SK hynix (000660 KS) 2x leveraged ETFs combined AUM fell 20% to KRW 4.2tn amid KRW 777bn in net outflows.
The 2x Leveraged Index fell 4.7% despite the underlying stock remaining broadly flat, reflecting performance drag in a sideways market.
The 2x inverse ETF lost 12.8% despite a broadly flat underlying stock, highlighting the risks of holding daily-reset products beyond very short trading periods.


SK Hynix (000660 KS): 2x Leveraged ETFs Record First Monthly Net Outflow

<ul>
<li>
<a href="https://www.smartkarma.com/profiles/sanghyun-park" target="_blank" data-smartkarma-citation="accounts:354" rel="noopener">Sanghyun Park</a> scooped <a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics (005930 KS)</a>'s $72B payout plan on Aug 19—a day prior to mainstream media adoption that triggered Thursday’s Samsung +9.49% surge.</li>
<li>On Aug 2 <a href="https://www.smartkarma.com/insights/samsung-electronics-005930-ks-tactical-outlook-position-for-next-leg-up" target="_blank" rel="noopener">we advised positioning LONG in Samsung Electronics at/below 240 to capture the next leg of upside</a>. The stock bottomed the following week at 227.5. </li>
<li>
Last week <a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung</a> became overbought, this was signaled in our <a href="https://www.smartkarma.com/insights/weekly-tactical-recap-tencent-sk-hynix-samsung-ks200-hitachi-advantest-corp-hanwa-solutions" target="_blank" rel="noopener">WEEKLY Tactical Recap</a>. The stock fell this week (as expected) but the payout plan news propped the stock up again.</li>
</ul>



Sanghyun Park scooped Samsung Electronics (005930 KS)'s $72B payout plan on Aug 19—a day prior to mainstream media adoption that triggered Thursday’s Samsung +9.49% surge.
On Aug 2 we advised positioning LONG in Samsung Electronics at/below 240 to capture the next leg of upside. The stock bottomed the following week at 227.5. 

Last week Samsung became overbought, this was signaled in our WEEKLY Tactical Recap. The stock fell this week (as expected) but the payout plan news propped the stock up again.


Samsung Electronics (005930 KS) Tactical Outlook Post-$72B Capital Return Plan

<ul>
<li>Since 2x leveraged ETFs linked to <a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK hynix (000660 KS)</a> launched in late May, volatility in the underlying stock has increased significantly.</li>
<li>Although daily rebalancing can amplify price moves, the data do not indicate that it does so systematically.</li>
<li>Overnight and intraday returns are largely uncorrelated across the sample, although they tend to reinforce each other on days with extreme moves.</li>
</ul>


Since 2x leveraged ETFs linked to SK hynix (000660 KS) launched in late May, volatility in the underlying stock has increased significantly.
Although daily rebalancing can amplify price moves, the data do not indicate that it does so systematically.
Overnight and intraday returns are largely uncorrelated across the sample, although they tend to reinforce each other on days with extreme moves.


SK Hynix (000660 KS): 130% Volatility and 2x Leveraged ETF Rebalancing

Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<ul>
<li>Street sees end-August print with Solidigm tie in; total around 70 trillion won, mix buyback plus special dividend, staged from 4Q with multi year buyback and FCF linked quarterly payouts.</li>
<li>Near term narrative weak; immediate shareholder return signal unlikely. Faster Solidigm timeline could signal urgency on peak out risk and reinforce concerns rather than remove them.</li>
<li>Tactical setup; if stock catches a bid, play the pop, monetize relief, and rotate out rather than chase strength.</li>
</ul>


Street sees end-August print with Solidigm tie in; total around 70 trillion won, mix buyback plus special dividend, staged from 4Q with multi year buyback and FCF linked quarterly payouts.
Near term narrative weak; immediate shareholder return signal unlikely. Faster Solidigm timeline could signal urgency on peak out risk and reinforce concerns rather than remove them.
Tactical setup; if stock catches a bid, play the pop, monetize relief, and rotate out rather than chase strength.


Latest Read on Hynix Shareholder Return and Solidigm Since Last Friday’s Filings

South Korea

SK hynix Inc. provides products and services for the electronic components industries. The Company manufactures semiconductors such as dynamic random access memory (DRAM), NAND flash memory, and static random access memory (SRAM) chips.

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SK Hynix (SKHY US)

WEEKLY Tactical Recap: Samsung Electronics, SK Hynix, Nikkei 225, CATL, Tokyo Electron, Gold, Oil

Weekly Global Macro Tactical Recap: our models tracks trends across asset classes to highlight overbought/oversold market conditions across Asian...

Nico Rosti

SK Hynix (000660 KS): 2x Leveraged ETFs Record First Monthly Net Outflow

With combined assets down 20% in August MTD, SK hynix-linked 2x leveraged ETFs recorded their first net outflow since launch as sideways trading...

Gaudenz Schneider

Samsung Electronics (005930 KS) Tactical Outlook Post-$72B Capital Return Plan

Following extreme swings between overbought and oversold states in Samsung Electronics (005930 KS), we outline our quantitative support levels and...

Nico Rosti

SK Hynix (000660 KS): 130% Volatility and 2x Leveraged ETF Rebalancing

This Insight examines the extent to which daily rebalancing by 2x leveraged ETFs accounts for the recent surge in SK hynix’s volatility.

Gaudenz Schneider

Latest Read on Hynix Shareholder Return and Solidigm Since Last Friday’s Filings

This post shares the latest read on Hynix shareholder return and Solidigm following last Friday’s filing, including the latest local market chatter...

Sanghyun Park

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