In today’s briefing:
- Merger Arb Mondays (30 Dec) – ESR, Canvest, Vesync, GAPack, SDHS New Energy, CPMC, Makino, Arcadium
- EQD | Kospi Index Options Weekly – December 23 – 27
- EQD / NSE NIFTY50 Vol Update / Stable Index Causes Risk-Premia Markdown.
- EQD | Nikkei Index Options Weekly – December 23 – 27
Merger Arb Mondays (30 Dec) – ESR, Canvest, Vesync, GAPack, SDHS New Energy, CPMC, Makino, Arcadium
- We summarise the latest spreads and newsflow of merger arb situations we cover across Hong Kong, Australia, New Zealand, Singapore, Japan, Indonesia, Malaysia, Philippines, Thailand and Chinese ADRs.
- Highest spreads: Vesync (2148 HK), Makino Milling Machine Co (6135 JP), Seven & I Holdings (3382 JP), Arcadium Lithium (LTM AU), Get Nice Financial Group Ltd (1469 HK).
- Lowest spreads: Lifestyle China (2136 HK), Renewable Japan (9522 JP), Macromill, Inc (3978 JP), Fuji Soft Inc (9749 JP), Latin Resources (LRS AU), Lac Co Ltd (3857 JP).
EQD | Kospi Index Options Weekly – December 23 – 27
- Since the end of September the Kospi has been diverging from the Nikkie which has rallied as JPY has weakened. Both Kospi and KRW have been moving lower.
- Vast majority of option trading is in short dated expiries. The largest volume day of the week saw 99% of trading in expires <= Jan 09
- Implied vols were quiet but there was some increased tilt to skew making out-of-the-money Puts slightly more expensive.
EQD / NSE NIFTY50 Vol Update / Stable Index Causes Risk-Premia Markdown.
- Nifty50 trading range was stable over the holiday shortened week. Option Markets responded accordingly, risk-premia was marked down. Monthly IV: 15.0% -> 11.5%.
- Vol-Regime has switched back to “High & Down” state. Wait-and-watch approach recommended given year-end effects..
- IV selloff has pushed entirety of term-structure into Contango. Skew has extended while Smile has compressed. Smile compression most notable in Monthly 10D Strangles.
EQD | Nikkei Index Options Weekly – December 23 – 27
- NKY looks to be playing catch-up with USD/JPY, rising 4.03% on the week and breaking out of recent range after not moving much in the first half of the month.
- Implied volatility continues to slide lower with 1M implied vol down 2.5 points on the week.
- Call volumes larger than Put volumes for the first time in a while on Fridays 1.80% price surge.
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