In today’s briefing:
- STAR&CHINEXT 50 Index Rebalance: One Change in June Adds to Other (Larger) Index Flows
- CSI Medical Service Index Rebalance: Six Changes with Decent Impact
- Quiddity SSE 50/180 Jun25 Results: 44 Changes; US$1.5bn Collective One-Way Flows
- China Mobile (941 HK) Poised for Pullback: A Tactical Low-Cost Options Play With High Upside
- A/H Premium Tracker (To 30 May 2025): Narrow Premia Hs Worst Performers, BYD Relents
- STAR Chip/ CES Chips/ All Share Semi Index Rebalance: Multiple Index Flows for Some Stocks
- Quiddity CSI 300/500 Jun25 Results: 114 Changes; 88% Hit Rate; ~US$5bn One-Way
- CSI All Share IB & Brokerage Index Rebalance: Northeast Replaces Harbin Hatou
- CSI All Share Real Estate Sector Index Rebalance: Sector Reclassification Drives Changes
- Quiddity CSI All Share Semiconductors Jun25 Results: 11 ADDs/DELs; Couple of Surprises
STAR&CHINEXT 50 Index Rebalance: One Change in June Adds to Other (Larger) Index Flows
- There is one constituent change for the STAR&CHINEXT 50 Index in June with AVIC Chengdu Aircraft Co (302132 CH) replacing Suzhou Maxwell Technologies (300751 CH).
- Passive trackers will need to buy 0.15x ADV in AVIC Chengdu Aircraft Co (302132 CH) and sell 0.4x ADV in Suzhou Maxwell Technologies (300751 CH).
- AVIC Chengdu Aircraft Co (302132 CH) is a CSI 500 Index to CSI 300 Index migration in June, so there will be more buying in the stock.
CSI Medical Service Index Rebalance: Six Changes with Decent Impact
- CSI announced the changes for the June rebalance after market close on 30 May and the changes will be effective after the close of trading on 13 June.
- There are 6 changes for the index and we estimate passive buying of 0.7-2.4x ADV in the adds and passive selling of between 1-4.7x ADV in the deletes.
- There will be capping inflows for Shenzhen Mindray Bio-Medical Electronics (300760 CH) and capping outflows for WuXi AppTec (603259 CH).
Quiddity SSE 50/180 Jun25 Results: 44 Changes; US$1.5bn Collective One-Way Flows
- The June 2025 index review results for China’s SSE 50 and SSE 180 indices were announced after market close on Friday 30th May 2025.
- There will be 4 ADDs/DELs for SSE 50 and 18 ADDs/DELs for SSE 180.
- The SSE 50 and SSE 180 index rebal events could trigger US$1.3bn and US$210mn in one-way flows, respectively.
China Mobile (941 HK) Poised for Pullback: A Tactical Low-Cost Options Play With High Upside
- With a 5-week rally China Mobile (941 HK) is in overbought territory and quantitative models flag potential for a pullback.
- Options may be underpricing the downside risk, creating an attractive opportunity to buy cheap options with high payoff potential.
- This Insight outlines an option strategy combining quantitative signals with volatility analysis.
A/H Premium Tracker (To 30 May 2025): Narrow Premia Hs Worst Performers, BYD Relents
- AH spreads are slightly narrower, but performance is concentrated in fewer names and broad spread volatility is up. BYD (1211 HK) back down nearly 3%. CATL 10% through still.
- Sharp skew on H-vs-A performance this week. Those trading AH Premium <20% saw H underperform sharply. Those in the 40-100% AH Premium range saw H outperform. Quiddity Portfolio alpha strong.
- The data tables below update on a daily basis in the Tools section of Smartkarma. The SOUTHBOUND Flow Monitor and AH Monitor are both there free for SK readers.
STAR Chip/ CES Chips/ All Share Semi Index Rebalance: Multiple Index Flows for Some Stocks
- There are 4 changes for the STAR Chip Index, 8 changes for the CES China Semiconductor Chips Index and 11 changes for the CSI All-Share Semiconductors & Semiconductor Equipment Index.
- There are multiple stocks that will have flows from passive trackers across the three indices. Multiple stocks will have passive flows from other index trackers across the China universe.
- Bestechnic Shanghai (688608 CH) will have passive inflows from STAR50 INDEX, CSI 500 Index and CSI A500 Index trackers and outflows from the STAR100 Index and CSI1000 Index trackers.
Quiddity CSI 300/500 Jun25 Results: 114 Changes; 88% Hit Rate; ~US$5bn One-Way
- The June 2025 index review results for China’s CSI 300 and CSI 500 indices were announced after market close on Friday 30th May 2025.
- There will be 7 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500.
- The CSI 300 and CSI 500 index rebal events could trigger US$1.7bn and US$3.2bn in one-way flows, respectively.
CSI All Share IB & Brokerage Index Rebalance: Northeast Replaces Harbin Hatou
- The changes to the CSI All Share Investment Banking & Brokerage Index were announced after market close on 30 May and will be implemented at the close on 13 June.
- Northeast Securities (000686 CH) will be added to the index while Harbin Hatou Investment Co, Ltd. (600864 CH) will be deleted.
- There is over 2.5x ADV to trade in both stocks and much smaller impact of funding/capping flows on the other index constituents.
CSI All Share Real Estate Sector Index Rebalance: Sector Reclassification Drives Changes
- There are 3 adds and 4 deletes for the CSI All Share Real Estate Sector Index in June. There are changes driven by changes to the sector classification for stocks.
- Passive trackers will need to buy between 0.2-0.65x ADV in the adds and sell between 0.15-1.75x ADV in the deletes.
- The deletes have outperformed the adds over the last few months and some of that could dissipate over the next couple of weeks.
Quiddity CSI All Share Semiconductors Jun25 Results: 11 ADDs/DELs; Couple of Surprises
- The June 2025 index review results for the CSI All Share Semiconductors Index were announced after market close on Friday 30th May 2025.
- There will be 4 ADDs and 7 DELs for the CSI All Share Semiconductors Index.
- We estimate one-way flows of approximately US$84mn in the June 2025 index rebal event.
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