JPMorgan-Asia Pacific Equity Derivatives Highlights Dispersion tradin...-105942668

JPMORGANGlobalQuantitative&DerivativesStrategy15January2024AsiaPacificEquityDerivativesGlobalQuantitativeandDerivativesStrategyHighlightsTonySKLeeACDispersiontradingopportunitiesinHK;volatilitypositioninganddynamics(852)2800-8857tony.sk.lee@jpmorgan.com•DispersiontradingopportunitiesinHK:TherehasbeensubstantialBloombergJPMATONYLEEJ.P.MorganSecurities(AsiaPacific)Limited/J.P.compressioninsinglestockversusindeximpliedvolatilityintheHKequityMorganBroking(HongKong)Limitedderivativesmarket.Thisshiftcanbelargelyattributedtodecliningvolatilityofindividualstocksandanelevatedcorrelationamongthem.Atpresent,theHaoshunLiuACentrypointforengagementindispersiontradingisnearatwo-yearlow,promptingustoscreenforstockswherethepotentialfordispersionmaybe(852)2800-7736underestimated.Severalcatalysts,includingtheforthcomingearningsseason,haoshun.liu@jpmorgan.comincreasedcallbuyingactivitiesfromforeigninvestors,andthepossibilityofBloombergJPMAHLIUearningsalerts,couldtriggerincreaseddispersioninthenearterm.WeJ.P.MorganSecurities(AsiaPacific)Limited/J.P.investigatedispersionpatternsduringearningsandbeyond,highlightkeyMorganBroking(HongKong)Limitedsectorstowatch,andexplorenamesthathavehistoricallypre-announcedearningsinJanandFeb.WerecommendbuyingstraddleonselectedsingleXipuHanACstocksagainstthatontheindextotakeadvantageofattra...