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>KSD has confirmed that <a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK Hynix</a> has capped ADS issuance at 2.5% of the total shares outstanding. This lines up with what we wrote a couple of weeks ago.</li>
<li>With no riskless conversion arb, the play now is the riskier arb of trading the ADS vs the local shares with no timing overlap between the lines.</li>
<li>Index inclusions and upweights are one way of catching spikes and dips in the premium with ample trading volume around the events.</li>
</ul>


KSD has confirmed that SK Hynix has capped ADS issuance at 2.5% of the total shares outstanding. This lines up with what we wrote a couple of weeks ago.
With no riskless conversion arb, the play now is the riskier arb of trading the ADS vs the local shares with no timing overlap between the lines.
Index inclusions and upweights are one way of catching spikes and dips in the premium with ample trading volume around the events.


SK Hynix (000660 KS; SKHY US): No Local to ADR Conversion; Premium Play Dynamix

Market Intelligence, ORTEX

ORTEX Market Intel

Market Intelligence

Global Financial Data and Analytics Platform

ORTEX

ORTEX is a global financial data and analytics platform providing real-time securities lending and short interest data, index rebalance data, holdings and insider transactions, trading signals, corporate actions and news,  stock machine learning and factor scores and other analytics. The majority of the data are downloadable and accessible through APIs.

Equity Bottom-Up

<ul><li>Short interest built across cybersecurity names this week, with CRWD leading single-stock moves as analysts cut targets and insiders sold.</li><li>Broad ETF hedges unwound sharply - IJH and CIBR each posted double-digit short interest drops.</li><li>Borrow markets tightened in pockets, with MSFT seeing its sharpest SI spike in months.</li></ul>

Short interest built across cybersecurity names this week, with CRWD leading single-stock moves as analysts cut targets and insiders sold.Broad ETF hedges unwound sharply - IJH and CIBR each posted double-digit short interest drops.Borrow markets tightened in pockets, with MSFT seeing its sharpest SI spike in months.

Short Sellers Reload Into Cyber, Flee ETF Hedges

Cross-Asset Strategist & Quantitative Analyst, Pennock Idea Hub

Cam Hui

Cross-Asset Strategist & Quantitative Analyst

Pennock Idea Hub

We are creators of independent equity research. The Pennock Idea Hub team are veterans of the investment industry. Much of our team has spent their careers at Merrill Lynch, Deutsche Bank, RBC Capital Markets and Wood Gundy. We have taken every aspect of research back to the studs and returned to first principles. The Pennock Idea Hub marries the interests of the sell and buy side. 

We offer the best research for institutional investors by:

-Only publishing research from veteran analysts
-Eliminate the inherent conflicts of the traditional sell and buy side relationship
-Ensure our team is always accessible; collaboration with clients nurtures our collective success

Cross-Asset & Quantitative Research

Cross Asset Strategy

We are well into Q1 earnings season; 60% of the S&amp;P 500 has reported their results and the top- and bottom-line beat rates are well above average. The V-shaped recovery is complete.However, the market is priced for perfection. We reiterate our warning that risks are rising for the stock market. You can tell a lot about market psychology by how the market reacts to the news. The six largest stocks in the S&amp;P 500 reported last week and they all beat consensus estimates, but the index was flat.A “Sell in May” strategy may be a useful investment template for the next few months.

We are well into Q1 earnings season; 60% of the S&amp;P 500 has reported their results and the top- and bottom-line beat rates are well above average. The V-shaped recovery is complete.However, the market is priced for perfection. We reiterate our warning that risks are rising for the stock market. You can tell a lot about market psychology by how the market reacts to the news. The six largest stocks in the S&amp;P 500 reported last week and they all beat consensus estimates, but the index was flat.A “Sell in May” strategy may be a useful investment template for the next few months.

Q1 Earnings Monitor: Priced For Perfection

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>Hong Kong equities found firmer footing as global semiconductor volatility picked up amid an ongoing rotation.</li>
<li>Index and single stock implied vols continue to diverge and are nearing levels normally seen in periods of distress.</li>
<li>Health Care was the standout sector this week, with gains spread across the full group.</li>
</ul>


Hong Kong equities found firmer footing as global semiconductor volatility picked up amid an ongoing rotation.
Index and single stock implied vols continue to diverge and are nearing levels normally seen in periods of distress.
Health Care was the standout sector this week, with gains spread across the full group.


Hong Kong Single Stock Options Weekly June 29–July 03: Semi Rotation Drives a Shift in Tone

<ul>
<li>There are no constituent changes for the <a href="https://www.smartkarma.com/entities/vaneck-vectors-semiconductor" target="_blank" data-smartkarma-citation="entities:32807:1" rel="noopener">VanEck Vectors Semiconductor (SMH US)</a> ETF in June but there are a lot of float and capping changes.</li>
<li>Estimated one-way turnover is 8.65% resulting in a round-trip trade of US$12.5bn. There are 4 stocks with over a yard and a half to trade.</li>
<li>The largest flows will be in <a href="https://www.smartkarma.com/entities/nvidia-corp" target="_blank" data-smartkarma-citation="entities:5891:1" rel="noopener">NVIDIA Corp (NVDA US)</a>, <a href="https://www.smartkarma.com/entities/intel-corp" target="_blank" data-smartkarma-citation="entities:16764:1" rel="noopener">Intel Corp (INTC US)</a>, <a href="https://www.smartkarma.com/entities/micron-technology-inc" target="_blank" data-smartkarma-citation="entities:13382:1" rel="noopener">Micron Technology (MU US)</a>, <a href="https://www.smartkarma.com/entities/advanced-micro-devices-inc" target="_blank" data-smartkarma-citation="entities:19009:1" rel="noopener">Advanced Micro Devices (AMD US)</a> and <a href="https://www.smartkarma.com/entities/taiwan-semiconductor-manufacturing-adr" target="_blank" data-smartkarma-citation="entities:8587:1" rel="noopener">TSMC - ADR (TSM US)</a>. </li>
</ul>


There are no constituent changes for the VanEck Vectors Semiconductor (SMH US) ETF in June but there are a lot of float and capping changes.
Estimated one-way turnover is 8.65% resulting in a round-trip trade of US$12.5bn. There are 4 stocks with over a yard and a half to trade.
The largest flows will be in NVIDIA Corp (NVDA US), Intel Corp (INTC US), Micron Technology (MU US), Advanced Micro Devices (AMD US) and TSMC - ADR (TSM US). 


MV US Listed Semiconductor 25 Index Rebalance: Capping Leads to US$12.5bn Trade

United States

VanEck Vectors Semiconductor is an exchange-traded fund incorporated in the USA. The Fund seeks to track the performance results of the MVIS US Listed Semiconductor 25 Index. The fund invests in the largest and most liquid companies listed in the US, which are active in the semiconductor sector. The E-TF will not hold more than 20% in any one security.

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VanEck Vectors Semiconductor (SMH US)

SK Hynix (000660 KS; SKHY US): No Local to ADR Conversion; Premium Play Dynamix

The KSD has confirmed a 2.5% limit for SK Hynix ADS. A higher limit will be managed over a number of years. In the short-term, premium should stay...

Brian Freitas

Short Sellers Reload Into Cyber, Flee ETF Hedges

Short interest built across cybersecurity names this week, with CRWD leading single-stock moves as analysts cut targets and insiders sold. Broad...

ORTEX Market Intel

Q1 Earnings Monitor: Priced For Perfection

The U.S. market is priced for perfection. The six largest stocks in the S&P 500 reported last week and they all beat consensus estimates, but the...

Cam Hui

Hong Kong Single Stock Options Weekly June 29–July 03: Semi Rotation Drives a Shift in Tone

Semi rotation, firmer Hong Kong equities, elevated single stock implied vols, and broad Health Care strength shaped the week in Hong Kong options.

John Ley

MV US Listed Semiconductor 25 Index Rebalance: Capping Leads to US$12.5bn Trade

There are no constituent changes for the index in June but there are float and capping changes. Estimated one-way turnover is 8.65% resulting in a...

Brian Freitas

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