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

Ping An A/H Premium - Back Near The Highs

China AH Premium: Trade Ideas As We Near Previous Highs

Ping An A/H Premium - The Pendulum Swings to the Other Extreme

Quantitative Analysis

Hong kong Financials / Quantitative Analysis

Haitong Securities Co Ltd (A) (600837 CH)

There has been some press recently on the value of stocks short sold in China reaching new records. So we decided to take a look at the margin securities loan and figure out if there was something more to it than meets the eye, or it was just a part of the market evolving and developing as China tries to open up new products to investors.While it is true that short notional (as measured by the margin securities on loan) has increased steadily (and significantly) over the last year, there is nothing sinister to it as the short notional is tiny compared to the market capitalisation of the stocks in the Shanghai and Shenzhen composite indices. Short notional to market cap is around 0.13% compared to 1.2% for Hong Kong, indicating that there is room for short notional to increase without becoming too large as a percentage of the market.Additionally, a lot of the short interest is in index stocks that have listed index futures which could be indicative of arbitrage related activity, while there is also a lot of short interest in stocks where the A-shares are trading at or near their highs versus the H-shares.

There has been some press recently on the value of stocks short sold in China reaching new records. So we decided to take a look at the margin securities loan and figure out if there was something more to it than meets the eye, or it was just a part of the market evolving and developing as China tries to open up new products to investors.While it is true that short notional (as measured by the margin securities on loan) has increased steadily (and significantly) over the last year, there is nothing sinister to it as the short notional is tiny compared to the market capitalisation of the stocks in the Shanghai and Shenzhen composite indices. Short notional to market cap is around 0.13% compared to 1.2% for Hong Kong, indicating that there is room for short notional to increase without becoming too large as a percentage of the market.Additionally, a lot of the short interest is in index stocks that have listed index futures which could be indicative of arbitrage related activity, while there is also a lot of short interest in stocks where the A-shares are trading at or near their highs versus the H-shares.

Semiconductor Manufacturing International Corp (SMIC) (981 HK)

Semiconductor Manufacturing International Corp (SMIC)

Short Selling in China: Rising, But Not Material (Yet)