Event-Driven/News Trading Journal

Most likely I won't be using options(Asian equity options aren't even tradable with my broker). However, some event trades may be better expressed by using them so I'm open to this.

Currently, I am examining the impact of revisions to TOPIX free-float weightings and adjustment factors that will take effect in April. This event is particularly small but some small-cap names should see passive buy demand ranging from 10-20 days ADV. Announcement of revisions will be made the first trading day in April with changes taking effect the last trading day in April.

As a note for those following 8270 Uny, it closed at 943, up 1.07% yesterday, and this is likely in part due to the current short margin position, which ballooned the day of the inclusion, from 900k shares --> 3.1mln shares. Once the erratic supply/demand issues get worked out, this should continue to head lower.

I'll post a list of indices that are largely tracked by passives(will include monetary estimates) and perhaps some of you can also alert the community to upcoming adds/deletes globally. I don't want this journal to solely focus on index events, but that's just what I've been watching recently.

I am also eyeing a few earnings speculations being discussed in the Nikkei(newspaper), including 6255, 2503, 6762...
 
Please see the attached screen cap:

indexworksheet.jpg


I've left out global and regional(i.e. DJ Eurostoxx 50), but some are important so I'll add at a later date.

I hope others can help alert the community to events involving the indices listed above.
 
Apologies, I did not catch this very important press release(duh, wake up!) which came out on the 24th. Had I been on top of this, would have been interested in shorting as previously mentioned.

Toronto-Dominion Bank’s (TD-in the Global 1200) acquisition of Commerce Bancorp is anticipated to become effective after the close of trading on Friday, March 28, not March 31 as previously announced. As a result, S&P REIT Composite constituent HCP Inc. (HCP) will replace Commerce Bancorp in the S&P 500 after the market close on March 28.

HCP traded over 11mln shares today, trading mostly high 33s until fading late day for a close of 32.82. I suspect shorts were busy building positions most of the day, I have not looked at the time & sales though to determine if covering was done toward the close, as normally one expects strength into the close on passive demand, with the stock fading the day after the event concludes. Short covering likely to come in around pre-gap levels on the 20th.

Pardon the ignorance, I am searching around for the answer, but in U.S. markets, is short interest data trackable daily, or does one need to wait for exchanges to issue the accumulated data once every 2 weeks? Funds that have access to big institutional lending desks can get enough color to know what's up on a daily basis, but how about the individual trader/investor?

Regarding 8270, shorts may be sweating it as they try to avoid getting squeezed, but for those who can take the heat, should be rewarded once the dust settles.
 
Update:

I did not play HCP as it came into $35. Decided to avoid for two reasons. Lack of color on the short situation and the short squeeze that occurred in 8270 Uny.

Uny took a lot of heat and got squeezed from 960 to over 1100. Closed yesterday at 967, margin short position has been cut in half since event conclusion. I'm generally not an advocate of averaging, but this would have been a good opportunity to improve short price by shorting into squeeze. Stock reported earnings yesterday, should continue to fade. Again, I am not playing this due to lack of borrow/ability to short sell.

Upcoming events:

Because MLNM(Millenium Pharma) is taken over by 4502 Takeda Pharma, there will be a replacement to the S&P 400 Midcap Index.
MLNM was the 32nd largest name with a weighting around 0.55% in the index prior to today's trading, and after today(trading near buyout price of $25) it is the 5th largest name with a weighting around 0.745% in the Midcap Index. Given such a large weighting, and with $63bln in passive money following the index, keep this event on the radar.

Earnings, earnings, earnings. I will try to post some of these ahead of time, but often the move happens too quickly. I usually avoid speculating on number pre-release, but rather trade the reaction after.

TOPIX index events for April:
All of these have already been announced by TSE, some mid March, some April 1st. These changes take effect on April 30th, so passive fund rebalancing will be based on April 28th closing prices. These names have already outperformed the market since their announcements, but I expect outperformance(or at the very least, share price gains) to occur over a few days or week prior to the event. These are the names with the largest impacts.

9044 Nankai Electric Railway
5367 Nikkato
2395 Shin Nippon Biomedical Laboratories
 
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