Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Cross Asset Strategy

<ul>
<li>A review of recent events/data impacting our investment themes and outlook</li>
<li>Chinese onshore markets now on a roll- will it continue?</li>
<li>The fight over critical materials heats up as the rally broadens out</li>
</ul>


A review of recent events/data impacting our investment themes and outlook
Chinese onshore markets now on a roll- will it continue?
The fight over critical materials heats up as the rally broadens out


Overview #33 Ignore the Noise, Follow the Money: China’s Next Leg Higher

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>
Context: After three consecutive up weeks, <a href="https://www.smartkarma.com/entities/toyota-motor-corp" target="_blank" data-smartkarma-citation="entities:73:1" rel="noopener">Toyota (7203 JP)</a> / <a href="https://www.smartkarma.com/entities/toyota-motor-corp-spon-adr" target="_blank" data-smartkarma-citation="entities:8245:1" rel="noopener">Toyota ADR (TM US)</a> now screens as overbought, with quantitative models signaling a high probability of a trend reversal.</li>
<li>
Trade Idea: Elevated implied volatility (82–83rd percentile) makes short call strategies attractive. Selling near-term calls captures rich premium while aligning with downside risk.</li>
<li>
Why Read: This Insight highlights a timely opportunity where technical overbought signals and historically rich IV converge — ideal for investors seeking a tactical setup.</li>
</ul>



Context: After three consecutive up weeks, Toyota (7203 JP) / Toyota ADR (TM US) now screens as overbought, with quantitative models signaling a high probability of a trend reversal.

Trade Idea: Elevated implied volatility (82–83rd percentile) makes short call strategies attractive. Selling near-term calls captures rich premium while aligning with downside risk.

Why Read: This Insight highlights a timely opportunity where technical overbought signals and historically rich IV converge — ideal for investors seeking a tactical setup.


Toyota (7203 JP // TM US) Hits Overbought: Rich Options for Tactical Shorts

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 changes to the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> as part of the September rebalance should be announced in just over 2 weeks. We expect 2 changes at the review.</li>
<li>
<a href="https://www.smartkarma.com/entities/baycurrent-consulting-inc" target="_blank" data-smartkarma-citation="entities:25985:1" rel="noopener">BayCurrent Consulting</a>'s PAF will double, <a href="https://www.smartkarma.com/entities/fast-retailing-co-ltd" target="_blank" data-smartkarma-citation="entities:751:1" rel="noopener">Fast Retailing</a>'s CPAF will stay the same, and Sony Financial Group will be deleted from the index following its spinoff from <a href="https://www.smartkarma.com/entities/sony-corp" target="_blank" data-smartkarma-citation="entities:563:1" rel="noopener">Sony Corp (6758 JP)</a>. </li>
<li>
<a href="https://www.smartkarma.com/entities/sanrio-co-ltd" target="_blank" data-smartkarma-citation="entities:16476:1" rel="noopener">Sanrio (8136 JP)</a>'s improved liquidity increases the probability of index inclusion, and the stock could be added to the index at the next rebalance if it misses in September.</li>
</ul>


The changes to the Nikkei 225 (NKY INDEX) as part of the September rebalance should be announced in just over 2 weeks. We expect 2 changes at the review.

BayCurrent Consulting's PAF will double, Fast Retailing's CPAF will stay the same, and Sony Financial Group will be deleted from the index following its spinoff from Sony Corp (6758 JP). 

Sanrio (8136 JP)'s improved liquidity increases the probability of index inclusion, and the stock could be added to the index at the next rebalance if it misses in September.


Nikkei 225 Index Rebalance Sep25: Performance of Potential Adds/Deletes & Positioning

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

Foxconn Industrial Internet / Technical Analysis

<ul>
<li>We remain near-term bullish SPX and ACWI since 4/22/25, and our intermediate-term outlook remains bullish as well (as of our 5/14/25 Compass), with Int’l Compass reports all echoing this sentiment.</li>
<li>We discussed in our July 31, 2025 Int'l Compass how $128, $125-$126, and $123-$123.50 were short-term supports to watch on ACWI-US, and ACWI-US found support at $128 the next day.</li>
<li>Europe (EURO STOXX 50) is the last of the major countries (from a global market cap perspective) to break out; we expect it to be next</li>
</ul>


We remain near-term bullish SPX and ACWI since 4/22/25, and our intermediate-term outlook remains bullish as well (as of our 5/14/25 Compass), with Int’l Compass reports all echoing this sentiment.
We discussed in our July 31, 2025 Int'l Compass how $128, $125-$126, and $123-$123.50 were short-term supports to watch on ACWI-US, and ACWI-US found support at $128 the next day.
Europe (EURO STOXX 50) is the last of the major countries (from a global market cap perspective) to break out; we expect it to be next


Europe Next to Break Out?; Bullish Outlook Intact; Remain Overweight Korea, Greece, and the U.S.

Event-Driven

<ul>
<li>
Context:<a href="https://www.smartkarma.com/entities/softbank-group-corp" target="_blank" data-smartkarma-citation="entities:315:1" rel="noopener">SoftBank's (9984 JP)</a> Q1 results on 7 August delivered a return to profitability and earnings beat, fueling one of the stock’s biggest post-results rallies in 15 years.</li>
<li>
Highlight: Shares jumped 10.4% on 8 August and nearly 20% week-on-week, with implied volatility staying elevated above 40% despite the surge.</li>
<li>
Why Read: Review price action and options market response, showing how SoftBank’s post-earnings volatility pattern echoes past announcements. Serves as a documented reference for the next earnings event.</li>
</ul>



Context:SoftBank's (9984 JP) Q1 results on 7 August delivered a return to profitability and earnings beat, fueling one of the stock’s biggest post-results rallies in 15 years.

Highlight: Shares jumped 10.4% on 8 August and nearly 20% week-on-week, with implied volatility staying elevated above 40% despite the surge.

Why Read: Review price action and options market response, showing how SoftBank’s post-earnings volatility pattern echoes past announcements. Serves as a documented reference for the next earnings event.


SoftBank (9984 JP): Earnings Beat and the Missing Volatility Crush

Japan

The TOPIX, also known as the Tokyo Stock Price Index, is a capitalization-weighted index of all companies listed on the First Section of the Tokyo Stock Exchange. The index is supplemented by the subindices of the 33 industry sectors. The index calculation excludes temporary issues and preferred stocks, and has a base value of 100 as of January 4, 1968.

TSE Tokyo Price Index TOPIX (TPX INDEX)

Overview #33 Ignore the Noise, Follow the Money: China’s Next Leg Higher

A review of recent events/data impacting our investment themes and outlook. We look at the Chinese breakout and laggards in the material sector

Rikki Malik

Toyota (7203 JP // TM US) Hits Overbought: Rich Options for Tactical Shorts

Rich options and an overbought signal converge, with models pointing to a probable reversal. Short call strategies allow investors to monetize...

Gaudenz Schneider

Nikkei 225 Index Rebalance Sep25: Performance of Potential Adds/Deletes & Positioning

A week or so to go for the announcement of changes to the NKY in September. The forecast adds have dropped a bit over the last week and there will...

Brian Freitas

Europe Next to Break Out?; Bullish Outlook Intact; Remain Overweight Korea, Greece, and the U.S.

Europe Next to Break Out?; China and Japan Remain Attractive and a big focus since our July 3rd report titled "China and Japan Breaking Out;"...

Vermilion Research

SoftBank (9984 JP): Earnings Beat and the Missing Volatility Crush

SoftBank jumps 10% in a day, 20% in a week. Implied volatility holds firm after 7 Aug results, defying the usual post-earnings crush so far.

Gaudenz Schneider