In today’s briefing:
- NIFTY Bank Index: Impact of the Forecast Methodology Change
- CSI A500 Index Rebalance Preview: Many Changes Expected; US$1bn Trade
- CSI All Share Real Estate Sector Index Rebalance Preview: Multiple Changes in June
- 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
- CATL (3750.HK): Rich Vols, Strong Start, and a Tactical Hedge
- China Mobile (941 HK) Poised for Pullback: A Tactical Low-Cost Options Play With High Upside
- Quiddity SSE 50/180 Jun25 Results: 44 Changes; US$1.5bn Collective One-Way Flows
- [Japan CorpGov] TSE “Mgmt Conscious” Reports (Jun25), Minor Updates
- Korean F&B: Focus on Companies With Strongest Export Growth
NIFTY Bank Index: Impact of the Forecast Methodology Change
- To reduce index concentration and the risk of market volatility and market manipulation, SEBI has recommended changes to the eligibility criteria for derivatives on non-benchmark indices.
- The recommended changes will result in two inclusions to the NSE Nifty Bank Index (NSEBANK INDEX) along with large capping changes.
- The inclusions and capping changes will result in an estimated one-way turnover of 17.05% and in a round-trip trade of INR 76.2bn (US$893m) in September.
CSI A500 Index Rebalance Preview: Many Changes Expected; US$1bn Trade
- There could be 18 changes for the CSI A500 Index at the June rebalance. Turnover is estimated at 1.7% and the round-trip trade is around US$1bn.
- The index was launched in September 2024, and the passive trackers have taken in a chunk of money since then. The flows to the stocks add to other index flows.
- A long add/short deletes trade has been stable over the last few months. The forecast adds could outperform following announcement of the index changes on Friday.
CSI All Share Real Estate Sector Index Rebalance Preview: Multiple Changes in June
- There could be up to 8 adds and 3 deletes for the CSI All Share Real Estate Sector Index in June.
- Estimated one-way turnover is 3.2% at the rebalance leading to a round-trip trade of CNY 456m. There are a few stocks with over 0.5x ADV to trade.
- The forecast adds and deletes have performed in line over the last few months, and the announcement of the changes could lead to short-term outperformance.
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).
CATL (3750.HK): Rich Vols, Strong Start, and a Tactical Hedge
- CATL’s options debut in Hong Kong has been active, with strong Call interest and rising open interest suggesting early investor enthusiasm.
- Implied vols are holding firm post-listing and appear rich —potentially justifiable given the trading dynamics and catalysts.
- We recommend a tactical hedge structure that skews return favourably, targeting recent highs and protecting against downside drift.
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.
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.
[Japan CorpGov] TSE “Mgmt Conscious” Reports (Jun25), Minor Updates
- TSE-Listed companies are asked to file “Management Conscious of Capital Cost/Stock Price” awareness reports/policies. Many have. Some are still working on it. And policies change, and CGR reports are updated.
- 286 new CGRs filed since 1-May-25. Our tools show every report, links to every document, and a diff file tool. Input a name, see the changes in the reports.
- The JPX Council of Experts met on 22 April. Mgmt Conscious updates came this month. Parent-sub follow-ups in Fall/Winter 2025. Slow. ‘Going Private’ policy is under public comment now.
Korean F&B: Focus on Companies With Strongest Export Growth
- In this insight, we provide 3 major fundamental criteria for screening major Korean F&B companies.
- Three major criteria include 3 years CAGR revenue growth of 5% or more, increase in net margin in 2024, and overseas sales more than 10% of total sales.
- Of the 30 Korean F&B companies mentioned in this insight, only six companies meet these criteria including Samyang Foods, Orion Corp, Hitejinro, Lotte Wellfood, Daesang Corporation, and Pulmuone.
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