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

Taiwan Short Interest - Largan and Innolux Diverge

Taiwan Short Interest - Further Increase in Shorts

Quantitative Analysis

Taiwan Semiconductors and semiconductor equipment / Quantitative Analysis

Total short notional in Taiwan stocks is TWD 261,449 mm (~US$8.45 bn) as of 4 October.Over the fortnight, the largest short positions were put on in <a href="https://www.smartkarma.com/entities/catcher-technology-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:4957:1">Catcher Technology (2474 TT)</a>, <a href="https://www.smartkarma.com/entities/taiwan-semiconductor-manufacturing-company-tsmc" target="_blank" rel="noopener" data-smartkarma-citation="entities:11230:1">Taiwan Semiconductor Manufacturing Company (TSMC) (2330 TT)</a>, <a href="https://www.smartkarma.com/entities/macronix-international" target="_blank" rel="noopener" data-smartkarma-citation="entities:3247:1">Macronix International (2337 TT)</a> and <a href="https://www.smartkarma.com/entities/highwealth-construction-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:6739:1">Highwealth Construction (2542 TT)</a> and shorts were covered in <a href="https://www.smartkarma.com/entities/chunghwa-telecom-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:9181:1">Chunghwa Telecom (2412 TT)</a>, <a href="https://www.smartkarma.com/entities/hon-hai-precision-industry" target="_blank" rel="noopener" data-smartkarma-citation="entities:745:1">Hon Hai Precision Industry (2317 TT)</a>, <a href="https://www.smartkarma.com/entities/realtek-semiconductor-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:7326:1">Realtek Semiconductor (2379 TT)</a> and <a href="https://www.smartkarma.com/entities/nan-ya-plastics-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:10740:1">Nan Ya Plastics (1303 TT)</a>.   The largest short positions as a percentage of free float are <a href="https://www.smartkarma.com/entities/young-optics-inc" target="_blank" rel="noopener" data-smartkarma-citation="entities:7295:1">Young Optics (3504 TT)</a>, <a href="https://www.smartkarma.com/entities/precision-silicon-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:18158:1">Precision Silicon (3016 TT)</a>, <a href="https://www.smartkarma.com/entities/yageo-corporation" target="_blank" rel="noopener" data-smartkarma-citation="entities:13212:1">Yageo Corporation (2327 TT)</a> and <a href="https://www.smartkarma.com/entities/walsin-technology-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:11084:1">Walsin Technology (2492 TT)</a> while the large cap stocks with the highest days to cover are <a href="https://www.smartkarma.com/entities/far-eastone-telecomm-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:19488:1">Far Eastone Telecomm (4904 TT)</a>, <a href="https://www.smartkarma.com/entities/hotai-motor-company-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:12006:1">Hotai Motor Company (2207 TT)</a>, <a href="https://www.smartkarma.com/entities/au-optronics-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:6704:1">Au Optronics (2409 TT)</a> and <a href="https://www.smartkarma.com/entities/hota-industrial-mfg-co-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:9415:1">Hota Industrial Mfg (1536 TT)</a>.The ratio of <a href="https://www.smartkarma.com/entities/realtek-semiconductor-corp" target="_blank" rel="noopener" data-smartkarma-citation="entities:7326:1">Realtek Semiconductor (2379 TT)</a> to <a href="https://www.smartkarma.com/entities/macronix-international" target="_blank" rel="noopener" data-smartkarma-citation="entities:3247:1">Macronix International (2337 TT)</a> is now close to a year to date low and short build up/covering indicates positions being built up for a mean reversion trade.

Total short notional in Taiwan stocks is TWD 261,449 mm (~US$8.45 bn) as of 4 October.Over the fortnight, the largest short positions were put on in Catcher Technology (2474 TT), Taiwan Semiconductor Manufacturing Company (TSMC) (2330 TT), Macronix International (2337 TT) and Highwealth Construction (2542 TT) and shorts were covered in Chunghwa Telecom (2412 TT), Hon Hai Precision Industry (2317 TT), Realtek Semiconductor (2379 TT) and Nan Ya Plastics (1303 TT).   The largest short positions as a percentage of free float are Young Optics (3504 TT), Precision Silicon (3016 TT), Yageo Corporation (2327 TT) and Walsin Technology (2492 TT) while the large cap stocks with the highest days to cover are Far Eastone Telecomm (4904 TT), Hotai Motor Company (2207 TT), Au Optronics (2409 TT) and Hota Industrial Mfg (1536 TT).The ratio of Realtek Semiconductor (2379 TT) to Macronix International (2337 TT) is now close to a year to date low and short build up/covering indicates positions being built up for a mean reversion trade.

Taiwan Short Interest - Long Realtek (2379), Short Macronix (2337)

Taiwan Semiconductors and Semiconductor Equipment

Taiwan Short Interest - Long Realtek (2379), Short Macronix (2337)