Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

I investigate special situations, pairs, and index rebalancing trades in Korea.

Korea / Special Sits, Pairs, Index Rebalancing

LG Chem Share Class Arb Presents Another Mid-March-Like Juicy Setup

Korea Short 350: Loan Balance, Short Interest, & % to 52WH

LG Chem & SK Innovation Reach an Agreement Right Before SK IET IPO Book Opens

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

The May 3 short-selling resumption will likely highlight the 5 local pairs:
1 stub pair
4 share class pairs
They are the exclusive members of the MC &gt; ₩1T and DTV &gt; ₩10B club, making them the most actively arb-traded pairs in Korea.Also, they are eligible for short-selling right on May 3 as they are part of the Short 350.












Name
Ticker
MC (₩B)
SO
DTV
DTV/SO
30D avg
DTV (₩B)


AmoreG
002790
5,648.4
82,458,180
160,858
0.20%
₩66,850
10.8


Amorepacific
090430
15,023.8
58,458,490
187,379
0.32%
₩260,386
48.8



Samsung Elec 1P
005935
61,716.5
822,886,700
1,415,401
0.17%
₩74,655
105.7


Samsung Elec Ord
005930
493,104.0
5,969,782,550
16,220,095
0.27%
₩83,305
1,351.2



LG Chem 1P
051915
3,017.9
7,688,800
30,796
0.40%
₩387,955
11.9


LG Chem Ord
051910
60,991.8
70,592,343
418,077
0.59%
₩830,818
347.3



Hyundai Motor 1P
005385
2,630.5
24,356,685
79,662
0.33%
₩105,491
8.4


Hyundai Motor Ord
005380
48,182.2
213,668,187
955,060
0.45%
₩226,159
216.0



Hyundai Motor 2PB
005387
3,794.5
36,485,451
90,328
0.25%
₩103,468
9.3


Hyundai Motor Ord
005380
48,182.2
213,668,187
955,060
0.45%
₩226,159
216.0

Source: KRX

On a 20D MA, LG Chem is the only one at -1σ or less.












σ on 20D MA
Ticker
Today
T-1
T-2
T-3
T-4
T-5


AmoreG
002790
1.31
1.77
1.46
1.79
0.92
1.28


Amorepacific
090430



Samsung Elec 1P
005935
1.44
0.69
1.10
0.18
-0.35
-0.03


Samsung Elec Ord
005930



LG Chem 1P
051915
-1.34
-1.80
-1.30
-1.93
-1.53
-0.95


LG Chem Ord
051910



Hyundai Motor 1P
005385
1.13
1.16
1.73
1.87
2.18
2.60


Hyundai Motor Ord
005380



Hyundai Motor 2PB
005387
0.34
1.45
1.06
0.79
1.29
1.45


Hyundai Motor Ord
005380

Source: KRX

But they (the holding company and prefs) are at a discount to the 1-yr means, except for Samsung Elec 1P.Hyundai Motor 2PB, AmoreG, and LG Chem 1P had substantially declined relative to their respective partner.












Price ratio
Ticker
Today
120D mean
120DH
120DL
1Y mean
2Y mean


AmoreG
002790
0.26654
-1.08%
-9.30%
9.17%
-9.13%
-22.50%


Amorepacific
090430



Samsung Elec 1P
005935
0.90799
0.87%
-4.16%
4.52%
2.76%
6.01%


Samsung Elec Ord
005930



LG Chem 1P
051915
0.45428
-3.34%
-13.17%
5.11%
-6.10%
-10.43%


LG Chem Ord
051910



Hyundai Motor 1P
005385
0.47894
3.09%
-5.02%
12.74%
-4.68%
-11.77%


Hyundai Motor Ord
005380



Hyundai Motor 2PB
005387
0.46120
1.18%
-6.27%
10.15%
-9.48%
-20.03%


Hyundai Motor Ord
005380

Source: KRX



5 Most Actively Arb-Traded Pairs in Korea: 1 Stub & 4 Share Class with +₩1T MC & +₩10B DTV

LG Chem Ltd

5 Most Actively Arb-Traded Pairs in Korea: 1 Stub & 4 Share Class with +₩1T MC & +₩10B DTV