Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

HSCEI Dividend Futures - 2020 Oversold, 20/21 Spread Closer to Fair Value

Nikkei 225 Dividend Futures: Buy The Selloff

HSCEI Dividend Futures - Fear Is In The Air

HSCEI - Implications of Proposed Changes: WVR, Secondary Listings, Red/P-Chip Selection Criteria

HSCEI Dividends - Index Review Could Lower Fair Value

Event-Driven

Hang Seng China Enterprises Index / Event-Driven

Hang Seng China Enterprises Index (HSCEI INDEX)

<p>Since we published our last Insight, the HSCEI dividend futures expiring in December 2020 have sold off 7.5% mainly driven by lower economic activity on the back of the coronavirus and a lower <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" rel="noopener" data-smartkarma-citation="entities:22900:1">Hang Seng China Enterprises Index (HSCEI INDEX)</a>. Open Interest in the 2020 dividend futures contract was flat till mid February and then jumped higher.</p><p>The spread on the HSCEI 2020/2021 dividend futures collapsed following HSIL's market consultation on including stocks with WVRs in the index along with secondary listings, and removing the extra conditions imposed on P-chips and Red chips for entry into the index. Over the last month the spread has started moving higher and we feel the spread is nearing a level where the risk/reward favours the spread being sold.</p>

Since we published our last Insight, the HSCEI dividend futures expiring in December 2020 have sold off 7.5% mainly driven by lower economic activity on the back of the coronavirus and a lower Hang Seng China Enterprises Index (HSCEI INDEX). Open Interest in the 2020 dividend futures contract was flat till mid February and then jumped higher.The spread on the HSCEI 2020/2021 dividend futures collapsed following HSIL's market consultation on including stocks with WVRs in the index along with secondary listings, and removing the extra conditions imposed on P-chips and Red chips for entry into the index. Over the last month the spread has started moving higher and we feel the spread is nearing a level where the risk/reward favours the spread being sold.

HSCEI Dividend Futures - Sell The 20/21 Spread