Korea / Special Situations, Clepsydra Capital

Sanghyun Park

I investigate special situations in Korea.

Korea / Special Situations

Update on VKOSPI Futures Trade During SamE Trading Suspension Period

Samsung Life Does Not Necessarily Need to Sell Off All Samsung Electronics Shares (Part 1 of 4)

How Many Samsung Electronics Shares Should Samsung C&T Buy? Can They Afford It? (Part 2 of 4)

Samsung Electronics Stock Split Event Assessment

Samsung Electronics Stock Split - Short Selling Opportunity Checkup

Looking into Samsung Electronics' Price Fall During Feb 2-9 and Rise Since Then

Event-Driven

<p>Apr 30, May 2 and May 3 are the three days during which <a href="https://www.smartkarma.com/entities/191" target="_blank" data-smartkarma-citation="entities:191:1">Samsung Electronics Co Ltd (005930 KS)</a> shares will be suspended for trade due to the stock split. </p><p><em><strong>Any trade ideas/opportunities?</strong></em></p><p>First, it'd be harder to capture a short selling opportunity because we only have three days of stock trade suspension. This means there would be much fewer local ETF/ETN operators who are tempted to dump SamE shares before the 3-day suspension period kicks in. Were this like 10 day suspension period, then we would probably see much larger number of local ETF/ETN operators who would be tempted to dump SamE shares before the suspension period in an effort to minimize their tracking error. But now this is only three days. It seems that many of them will rather choose to do nothing with their SamE shares.</p><table class="table table-striped"><tbody><tr><td colspan="2" style="width: 771px;">SamE in the local index funds</td></tr><tr><td style="width: 471.2750244140625px;">Total number of ETFs in Korea</td><td style="text-align: right; width: 299.7249755859375px;">325</td></tr><tr><td style="width: 471.2750244140625px;">Local ETFs containing SamE</td><td style="text-align: right; width: 299.7249755859375px;">84</td></tr><tr><td style="width: 471.2750244140625px;"><p>KODEX KOSPI 200 ETF (managed by Samsung Asset Management)</p><p>* Korea's largest local ETF whose NAV amounts to about ₩8tril</p></td><td style="text-align: right; width: 299.7249755859375px;">SamE's weight: 25.65%</td></tr><tr><td colspan="2" style="width: 771px;"><em>Source: eDaily</em></td></tr></tbody></table><p><em><strong>Instead, t</strong><strong>his other interesting trade idea came to my mind.</strong></em></p><p>We all know SamE is the biggest member in the KOSPI 200. In fact, it is not just the biggest member. It is the huge monster in the KOSPI 200, whose index market cap weight is 27.14%. Just think what may happen if SamE shares stop trading on any given day. Yes, this is like more than one fourth of KOSPI 200's usual daily volume is simply gone. Not only that, most of local ETF/ETN operators wouldn't dare to proceed with any sort of basket trades without SamE during this 3-day trade suspension period. This would further reduce the KOSPI 200's daily trade volume during these 3 days.</p><table class="table table-striped"><colgroup></colgroup><tbody><tr><td>Top 10 KOSPI 200 members</td><td style="text-align: right;">Index market cap weight (%)</td><td style="text-align: right;">Index market cap (₩ mil)</td></tr><tr><td><em><strong><a href="https://www.smartkarma.com/entities/191" target="_blank" data-smartkarma-citation="entities:191:1">Samsung Electronics Co Ltd (005930 KS)</a></strong></em></td><td style="text-align: right;"><em><strong> 27.14%</strong></em></td><td style="text-align: right;"><em><strong>246,540,584</strong></em></td></tr><tr><td><a href="https://www.smartkarma.com/entities/16955" target="_blank" data-smartkarma-citation="entities:16955:1">SK Hynix Inc (000660 KS)</a></td><td style="text-align: right;"> 5.21%</td><td style="text-align: right;">47,311,418</td></tr><tr><td><a href="https://www.smartkarma.com/entities/991" target="_blank" data-smartkarma-citation="entities:991:1">Celltrion Inc (068270 KS)</a></td><td style="text-align: right;"> 2.66%</td><td style="text-align: right;">24,131,529</td></tr><tr><td><a href="https://www.smartkarma.com/entities/208" target="_blank" data-smartkarma-citation="entities:208:1">POSCO (005490 KS)</a></td><td style="text-align: right;"> 2.65%</td><td style="text-align: right;">24,107,160</td></tr><tr><td><a href="https://www.smartkarma.com/entities/155" target="_blank" data-smartkarma-citation="entities:155:1">Hyundai Motor Co (005380 KS)</a></td><td style="text-align: right;"> 2.55%</td><td style="text-align: right;">23,188,505</td></tr><tr><td><a href="https://www.smartkarma.com/entities/718" target="_blank" data-smartkarma-citation="entities:718:1">Kb Financial Group Inc (105560 KS)</a></td><td style="text-align: right;"> 2.38%</td><td style="text-align: right;">21,608,004</td></tr><tr><td><a href="https://www.smartkarma.com/entities/6978" target="_blank" data-smartkarma-citation="entities:6978:1">Shinhan Financial Group Ltd (055550 KS)</a></td><td style="text-align: right;"> 2.07%</td><td style="text-align: right;">18,800,117</td></tr><tr><td><a href="https://www.smartkarma.com/entities/16029" target="_blank" data-smartkarma-citation="entities:16029:1">Naver Corp (035420 KS)</a></td><td style="text-align: right;"> 2.05%</td><td style="text-align: right;">18,655,228</td></tr><tr><td><a href="https://www.smartkarma.com/entities/3583" target="_blank" data-smartkarma-citation="entities:3583:1">LG Chem Ltd (051910 KS)</a></td><td style="text-align: right;"> 1.88%</td><td style="text-align: right;">17,092,171</td></tr><tr><td><a href="https://www.smartkarma.com/entities/6089" target="_blank" data-smartkarma-citation="entities:6089:1">Hyundai Mobis Co Ltd (012330 KS)</a></td><td style="text-align: right;"> 1.77%</td><td style="text-align: right;">16,118,197</td></tr><tr><td colspan="3"><p><em>Note: As of Apr 23, 2018</em></p><p><em>Source: KRX</em></p></td></tr></tbody></table><p><em><strong>THEN,</strong></em></p><p>Logically thinking, we can come to this conclusion. There will likely be much less volatility in the KOSPI 200 during these 3-day period. Well, I'm not yet speaking 'empirically' on this. But logically and sensibly speaking, this would be the case. If this is really the case, then we can consider using some of the KOSPI 200 volatility instruments to capitalize on this event. Specifically, we can think of KOSPI 200 Volatility Futures (also known as 'VKOSPI Futures').</p><table class="table table-striped"><colgroup></colgroup><tbody><tr><td colspan="2" rowspan="1" data-sheets-value='{"1":2,"2":"KOSPI 200 Volatility Index - current status (as of Apr 23, 2018)"}'>KOSPI 200 Volatility Index - current status (as of Apr 23, 2018)</td></tr><tr><td data-sheets-value='{"1":2,"2":"Prev. close"}'>Last closing</td><td style="text-align: right;" data-sheets-value='{"1":3,"3":12.6}'>13.55</td></tr><tr><td data-sheets-value='{"1":2,"2":"52W range"}'>52W range</td><td style="text-align: right;" data-sheets-value='{"1":2,"2":"9.82 - 28.34"}'>9.82 - 28.34</td></tr><tr><td data-sheets-value='{"1":2,"2":"52W range"}'>1-year change</td><td style="text-align: right;" data-sheets-value='{"1":2,"2":"9.82 - 28.34"}'>0.16%</td></tr><tr><td colspan="2" data-sheets-value='{"1":2,"2":"1-year change"}'><em>Source: Investing.com</em></td></tr></tbody></table><div class="content-caption">(KOSPI 200 Volatility Index 6M chart - Source: Investing.com)</div><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/050/405/original/1.png?1524511920" class="editor-image img-responsive" data-smartkarma-image-id="50405"></figure><table class="table table-striped"><colgroup></colgroup><tbody><tr><td colspan="2" style="width: 769px;">KOSPI 200 Volatility Futures ending May - current status (as of Apr 23, 2018)</td></tr><tr><td style="width: 410.4375px;">Last closing</td><td style="text-align: right; width: 358.5625px;">13.45</td></tr><tr><td style="width: 410.4375px;">52W range</td><td style="text-align: right; width: 358.5625px;">10.75 - 20.25</td></tr><tr><td style="width: 410.4375px;">1-year change</td><td style="text-align: right; width: 358.5625px;">- 3.93%</td></tr><tr><td style="width: 410.4375px;"><em><strong>Month</strong></em></td><td style="text-align: right; width: 358.5625px;"><em><strong>May 18</strong></em></td></tr><tr><td style="width: 410.4375px;"><em><strong>Contract size</strong></em></td><td style="text-align: right; width: 358.5625px;"><p><em><strong>₩500,000 x V-KOSPI 200</strong></em></p></td></tr><tr><td style="width: 410.4375px;">Settlement type</td><td style="text-align: right; width: 358.5625px;">Cash</td></tr><tr><td style="width: 410.4375px;">Settlement day</td><td style="text-align: right; width: 358.5625px;">May 15, 2018</td></tr><tr><td style="width: 410.4375px;"><div><em><strong>Tick size</strong></em></div></td><td style="text-align: right; width: 358.5625px;"><div><em><strong>0.05</strong></em></div></td></tr><tr><td style="width: 410.4375px;"><div><em><strong>Tick value</strong></em></div></td><td style="text-align: right; width: 358.5625px;"><div><em><strong>25,000</strong></em></div></td></tr><tr><td style="width: 410.4375px;"><div><em><strong>Point value</strong></em></div></td><td style="text-align: right; width: 358.5625px;"><div><em><strong>1 = ₩500,000</strong></em></div></td></tr><tr><td colspan="2" style="width: 769px;"><div><em>Source: Investing.com</em></div></td></tr></tbody></table><div class="content-caption">(KOSPI 200 Volatility Futures 6M chart - Source: Investing.com)</div><figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/050/406/original/2.png?1524511937" class="editor-image img-responsive" data-smartkarma-image-id="50406"></figure><table class="table table-striped"><colgroup></colgroup><tbody><tr><td style="width: 362px;">Correlation between KOSPI 200 Volatility Index and KOSPI 200 Volatility Futures for the period of Apr 4-20</td><td style="text-align: right; width: 211.98748779296875px;">KOSPI 200 Volatility</td><td style="text-align: right; width: 194.01251220703125px;">KOSPI 200 Volatility Futures</td></tr><tr><td style="width: 362px;">KOSPI 200 Volatility</td><td style="text-align: right; width: 211.98748779296875px;">1</td><td style="text-align: right; width: 194.01251220703125px;"></td></tr><tr><td style="width: 362px;">KOSPI 200 Volatility Futures</td><td style="text-align: right; width: 211.98748779296875px;"><em><strong>0.93095157</strong></em></td><td style="text-align: right; width: 194.01251220703125px;">1</td></tr><tr><td colspan="3" style="width: 768px;"><em>Source: KRX, <a href="https://www.smartkarma.com/profiles/354" target="_blank" data-smartkarma-citation="accounts:354">Sanghyun Park</a></em></td></tr></tbody></table><p><strong><em>What kind of trade am I specifically thinking?</em></strong></p><div class="content-highlight"><p><em><strong>→ It isn't an overly complex one. Simply take short positions on the VKOSPI Futures right before this 3-day suspension period betting on that the VKOSPI Futures will fall during this period. Then take long positions on the VKOSPI Futures right after the suspension period for hedging your short positions.</strong></em></p></div>

Apr 30, May 2 and May 3 are the three days during which Samsung Electronics Co Ltd (005930 KS) shares will be suspended for trade due to the stock split. Any trade ideas/opportunities?First, it'd be harder to capture a short selling opportunity because we only have three days of stock trade suspension. This means there would be much fewer local ETF/ETN operators who are tempted to dump SamE shares before the 3-day suspension period kicks in. Were this like 10 day suspension period, then we would probably see much larger number of local ETF/ETN operators who would be tempted to dump SamE shares before the suspension period in an effort to minimize their tracking error. But now this is only three days. It seems that many of them will rather choose to do nothing with their SamE shares.SamE in the local index fundsTotal number of ETFs in Korea325Local ETFs containing SamE84KODEX KOSPI 200 ETF (managed by Samsung Asset Management)* Korea's largest local ETF whose NAV amounts to about ₩8trilSamE's weight: 25.65%Source: eDailyInstead, this other interesting trade idea came to my mind.We all know SamE is the biggest member in the KOSPI 200. In fact, it is not just the biggest member. It is the huge monster in the KOSPI 200, whose index market cap weight is 27.14%. Just think what may happen if SamE shares stop trading on any given day. Yes, this is like more than one fourth of KOSPI 200's usual daily volume is simply gone. Not only that, most of local ETF/ETN operators wouldn't dare to proceed with any sort of basket trades without SamE during this 3-day trade suspension period. This would further reduce the KOSPI 200's daily trade volume during these 3 days.Top 10 KOSPI 200 membersIndex market cap weight (%)Index market cap (₩ mil)Samsung Electronics Co Ltd (005930 KS) 27.14%246,540,584SK Hynix Inc (000660 KS) 5.21%47,311,418Celltrion Inc (068270 KS) 2.66%24,131,529POSCO (005490 KS) 2.65%24,107,160Hyundai Motor Co (005380 KS) 2.55%23,188,505Kb Financial Group Inc (105560 KS) 2.38%21,608,004Shinhan Financial Group Ltd (055550 KS) 2.07%18,800,117Naver Corp (035420 KS) 2.05%18,655,228LG Chem Ltd (051910 KS) 1.88%17,092,171Hyundai Mobis Co Ltd (012330 KS) 1.77%16,118,197Note: As of Apr 23, 2018Source: KRXTHEN,Logically thinking, we can come to this conclusion. There will likely be much less volatility in the KOSPI 200 during these 3-day period. Well, I'm not yet speaking 'empirically' on this. But logically and sensibly speaking, this would be the case. If this is really the case, then we can consider using some of the KOSPI 200 volatility instruments to capitalize on this event. Specifically, we can think of KOSPI 200 Volatility Futures (also known as 'VKOSPI Futures').KOSPI 200 Volatility Index - current status (as of Apr 23, 2018)Last closing13.5552W range9.82 - 28.341-year change0.16%Source: Investing.com(KOSPI 200 Volatility Index 6M chart - Source: Investing.com)KOSPI 200 Volatility Futures ending May - current status (as of Apr 23, 2018)Last closing13.4552W range10.75 - 20.251-year change- 3.93%MonthMay 18Contract size₩500,000 x V-KOSPI 200Settlement typeCashSettlement dayMay 15, 2018Tick size0.05Tick value25,000Point value1 = ₩500,000Source: Investing.com(KOSPI 200 Volatility Futures 6M chart - Source: Investing.com)Correlation between KOSPI 200 Volatility Index and KOSPI 200 Volatility Futures for the period of Apr 4-20KOSPI 200 VolatilityKOSPI 200 Volatility FuturesKOSPI 200 Volatility1KOSPI 200 Volatility Futures0.930951571Source: KRX, Sanghyun ParkWhat kind of trade am I specifically thinking?→ It isn't an overly complex one. Simply take short positions on the VKOSPI Futures right before this 3-day suspension period betting on that the VKOSPI Futures will fall during this period. Then take long positions on the VKOSPI Futures right after the suspension period for hedging your short positions.

サムスン電子の株式分割イベント - VKOSPI先物を使ったトレードアイデア