OREANDA-NEWS. Sophisticated investors can attempt to trade or hedge the big regional moves through structured warrants. Hang Seng Index (HSI) structured warrants provide a means to gain exposure to the regions’ volatility. The HSI and MSCI AC Asia Index currently maintain a correlation coefficient of 0.82, where 1.00 represents full correlation and 0.00 represents no correlation.  

The 100 day historical volatility of the HSI has remained near 23% in April as well as the first seven sessions of May. This has compared to the MSCI AC Asia Index 100 day historical volatility remaining near 21%. Given the past statistical relationship of the HSI and MSCI AC Asia Index, HSI structured warrants have recently provided a means for sophisticated investors to increase their exposure to the regional moves and regional volatility.

In the first six sessions of May, HSI Structured Warrants had seen total trade value of S$121.6 million, with S$69.4 million in Call warrants and S$52.2 million in Put Warrants, representing 78% of the total trade value in the month thus far. Put-to-call ratio in the month-to-date has increased to 0.88 from 0.78 in April, indicating that investors are trading more Put than Call warrants.

By comparison the 100 day historical volatility measure for the Hong Kong Stock Exchange Hang Seng China Enterprises Index (HSCEI) has been closer to 30%, while the volatility for the Straits Times Index (STI) and FTSE ST China top Index have remained below that of the HSI, near 18%.   Over the past three months, the FTSE ST China Top Index has generated a total return of 11.7% and the Hong Kong Stock Exchange Hang Seng China Enterprises Index (HSCEI) has gained 9.7% over the past three months, in Singapore Dollar terms.             

As noted in the Market Update Recent Highlights of Singapore's FTSE ST China Top Index the ten biggest constituent weights of the FTSE ST China Top Index make up just over 80% of the total Index weights. Three of these stocks, Wilmar International, Global Logistics Properties and Yangzijiang Shipbuilding Holdings have seen trading activity in structured warrants in the month to date. The three stocks together almost make up a third of the Index weights of the FTSE ST China Top Index and have seen total trade value of S$1.5 million in May thus far.

The most active structured warrants that track the HSI, HSCEI and trio of stocks that help make up the FTSE ST China Top Index are tabled below.

Top 10 Most Active HSI Warrants in April and May month-to-date

Counter Name

Stock Code

Call/Put

Expiry Date

Strike Level

Apr 2016 Trade Value (S$)

HSI 20800 UB ECW160629

BPRW

C

29-Jun-16

20800

                                      68,975,534

HSI 21400 MB ECW160530

BRPW

C

30-May-16

21400

                                      50,417,862

HSI 21000 MB ECW160428

BRGW

C

28-Apr-16

21000

                                      27,463,505

HSI 20600 MB ECW160530

BROW

C

30-May-16

20600

                                      21,296,381

HSI 20200 MB ECW160428

BQJW

C

28-Apr-16

20200

                                      11,491,988

Total Trade Value in HSI Call Warrants

        

                                    179,645,270 

HSI 20000 MB EPW160629

BOCW

P

29-Jun-16

20000

                                      44,992,211

HSI 20000 MB EPW160530

BRMW

P

30-May-16

20000

                                      31,594,683

HSI 20600 MB EPW160428

BOBW

P

28-Apr-16

20600

                                      26,279,244

HSI 21000 MB EPW160530

BSJW

P

30-May-16

21000

                                      21,531,659

HSI 19600 MB EPW160428

BRFW

P

28-Apr-16

19600

                                      16,262,003

Total Trade Value in HSI Put Warrants

        

                                    140,659,800 

Put-to-Call Ratio

        

                                                   0.78 

Counter Name

Stock Code

Call/Put

Expiry Date

Strike Level

May 2016 MTD Trade Value (S$)

HSI 20600 MB ECW160530

BROW

C

30-May-16

20600

                                      16,701,497

HSI 21200 UB ECW160929

BSNW

C

29-Sep-16

21200

                                      14,437,406

HSI 22400 UB ECW161028

BSOW

C

28-Oct-16

22400

                                        7,487,683

HSI 21000 MB ECW160629

BSXW

C

29-Jun-16

21000

                                        7,236,405

HSI 20800 UB ECW160629

BPRW

C

29-Jun-16

20800

                                        7,127,514

Total Trade Value in HSI Call Warrants

        

                                      52,990,504 

HSI 20000 MB EPW160530

BRMW

P

30-May-16

20000

                                      17,201,958

HSI 20000 MB EPW160629

BOCW

P

29-Jun-16

20000

                                      15,459,516

HSI 21000 MB EPW160530

BSJW

P

30-May-16

21000

                                        5,922,782

HSI 21400 MB EPW160629

BSZW

P

29-Jun-16

21400

                                        4,513,991

HSI 19200 MB EPW160530

BRNW

P

30-May-16

19200

                                        3,578,464

Total Trade Value in HSI Put Warrants

        

                                      46,676,710 

Put-to-Call Ratio

        

                                                   0.88 

Top 10 Most Active HSCEI Warrants in April and May month-to-date

Counter Name

Stock Code

Call/Put

Expiry Date

Strike Level

Apr 2016 Trade Value (S$)

HSCEI 10500 UB ECW160629

BMSW

C

29-Jun-16

10500

                                        2,877,453

HSCEI 9400 UB ECW160929

BSRW

C

29-Sep-16

9400

                                        2,052,854

HSCEI 10800 UB ECW161229

BSTW

C

29-Dec-16

10800

                                            946,244

HSCEI 10000 UB ECW160929

BSSW

C

29-Sep-16

10000

                                            324,424

Grand Total

        

                                        6,200,975 

Counter Name

Stock Code

Call/Put

Expiry Date

Strike Level

May 2016 MTD Trade Value (S$)

HSCEI 9400 UB ECW160929

BSRW

C

29-Sep-16

9400

                                        5,629,666

HSCEI 10800 UB ECW161229

BSTW

C

29-Dec-16

10800

                                        2,695,729

HSCEI 10000 UB ECW160929

BSSW

C

29-Sep-16

10000

                                        2,055,762

HSCEI 8400 UB ECW160629

BPNW

C

29-Jun-16

8400

                                        2,825,842

Grand Total

        

                                      13,206,998 

Structured Warrants on Yangzijiang, Global Logistic Properties and Wilmar International

Counter Name

Stock Code

Call/Put

Expiry Date

Strike Level

May 2016 MTD Trade Value (S$)

Wilmar

        

                                            836,572 

WILMAR MB ECW161003

BDZW

C

3-Oct-16

3.2

                                            468,005

WILMAR MB ECW161201

BLEW

C

1-Dec-16

3.3

                                            224,994

WILMAR MB EPW161201

BLDW

P

1-Dec-16

3

                                            143,573

Global Logistic Properties

        

                                            590,349 

GLOBALLOGISTICPROPMBECW170123

BQHW

C

23-Jan-17

1.8

                                            202,640

GLOBALLOGISTICPROPMBECW161212

BNVW

C

12-Dec-16

2.25

                                            111,151

GLOBALLOGISTICPROPMBEPW161212

BNWW

P

12-Dec-16

2

                                            260,183

GLOBALLOGISTICPROPMBEPW160627

BDQW

P

27-Jun-16

2.2

                                              16,375

Yangzijiang

        

                                              49,541 

YANGZIJIANG MB ECW161206

BNFW

C

6-Dec-16

1

                                              43,556

YANGZIJIANG MB ECW161201

BLVW

C

1-Dec-16

1.2

                                                5,985