KOSPI 200 Futures - Traders
- Thread starter RedDuke
- Start date
spi and hsi have been doing the same thing. gap and flat. hell.
I traded Kospi options and logically also futures. Besides mentioned unpredicable events, Korea is a market that is heavily dependent on exports, shipping, especially trade between China-Korea and Japan-Korea. Kospi exhibits a lot lower correlation with US markets than, for instance, Nikkei. Also, Kospi is a lot more trending than the Nikkei which makes it much more tradable from a momentum perspective.
Kospi options are increadibly liquid, at least the front month. I did not spot a whole lot of inefficiencies in Kospi options and never made much with this contacts, but I know some guys on the prop side who actively trade it and they seem to make good money on vol trades.
Kospi options are increadibly liquid, at least the front month. I did not spot a whole lot of inefficiencies in Kospi options and never made much with this contacts, but I know some guys on the prop side who actively trade it and they seem to make good money on vol trades.
How is trading SPI? I watch it some and just from what little I have seen, It doesn't seem to offer quite as good of R/R as K200 for my setups. Could just be the way I trade though. Margin sure looks nice compared to K200(still baffles me to not have intraday margin on something this liquid and orderly).
I know exactly how you feel, am soo bored with the Kospi right now, where are the maniac moves.can some on post a 5 minute naked chart of the KOSPI 200 during it's market trading hours, and what is the average daily range in points or ticks? Thanks TT
Here are some recent stats, on intra-day range (simply High-Low) and 10-day moving average of said range:
Daily 10-day avg.
May 6, 2009 3.2 / 4.1
May 7, 2009 3.5 / 4.2
May 8, 2009 2.7 / 4.0
May 11, 2009 2.2 / 3.7
May 12, 2009 2.1 / 3.1
May 13, 2009 1.8 / 2.7
May 14, 2009 2.8 / 2.6
May 15, 2009 1.9 / 2.5
May 18, 2009 2.8 / 2.6
May 19, 2009 2.2 / 2.5
May 20, 2009 1.6 / 2.4
As you can see, average intra-day range contracted dramatically about 10 trading days ago ... uggh.
Daily 10-day avg.
May 6, 2009 3.2 / 4.1
May 7, 2009 3.5 / 4.2
May 8, 2009 2.7 / 4.0
May 11, 2009 2.2 / 3.7
May 12, 2009 2.1 / 3.1
May 13, 2009 1.8 / 2.7
May 14, 2009 2.8 / 2.6
May 15, 2009 1.9 / 2.5
May 18, 2009 2.8 / 2.6
May 19, 2009 2.2 / 2.5
May 20, 2009 1.6 / 2.4
As you can see, average intra-day range contracted dramatically about 10 trading days ago ... uggh.
I think that most of the asiapacs are doing it though.
I trade hsi but a lot of my friends are trading spi and the aussie stocks - we call it gap and flat. Not the best.
I havent checked nk (too flat for me) or stw.
I trade hsi but a lot of my friends are trading spi and the aussie stocks - we call it gap and flat. Not the best.
I havent checked nk (too flat for me) or stw.
KRX introduces fear index
The VKospi (Bloomberg: VKOSPI Index)
On April 13, the KRX introduced VKospi, a Kospi 200 volatility index. The first of its
kind in East Asia, the index is the result of academic research material accumulated
during the decades-long development of similar indices in the US and Europe. It fell to
36.51 on April 14 (from April 13¡¯s 36.94) thanks to stabilizing market sentiment.
The VKospi is like the new VIX volatility index of the Chicago Board Options
Exchange (CBOE) in that it is based on fair variance swap strikes and reflects all outof-
the-money (OTM) options—maturing this month and next month—in its calculation
of anticipated 30-day volatility. The new VIX provides a more accurate reflection of the
options market than the old one as volatility skew is reflected in its linear interpolation.
The reliable and more objective VKospi could act as a benchmark for volatility-based
financial products such as equity-linked warrants and equity-linked securities. To this
end, development of sub-indices with differing maturities should prove indispensable,
as was seen in the case of the Dow Jones VSTOXX index.
The VKospi (Bloomberg: VKOSPI Index)
On April 13, the KRX introduced VKospi, a Kospi 200 volatility index. The first of its
kind in East Asia, the index is the result of academic research material accumulated
during the decades-long development of similar indices in the US and Europe. It fell to
36.51 on April 14 (from April 13¡¯s 36.94) thanks to stabilizing market sentiment.
The VKospi is like the new VIX volatility index of the Chicago Board Options
Exchange (CBOE) in that it is based on fair variance swap strikes and reflects all outof-
the-money (OTM) options—maturing this month and next month—in its calculation
of anticipated 30-day volatility. The new VIX provides a more accurate reflection of the
options market than the old one as volatility skew is reflected in its linear interpolation.
The reliable and more objective VKospi could act as a benchmark for volatility-based
financial products such as equity-linked warrants and equity-linked securities. To this
end, development of sub-indices with differing maturities should prove indispensable,
as was seen in the case of the Dow Jones VSTOXX index.