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Soultrader

Trading the KOSPI 200 Index Futures

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Thanks for the info, gooni ! Very interesting market, indeed ! I have traded the Kospi options through a Korean broker before...(in sim mode)....liquidity was out of this world, an absolutely amazing market ! :missy:

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Someone asked for a depth earlier, here's a screenshot of the orderbook. It can get a bit thicker than this, but this is a decent indication of what it's like on average.

5aa70e800ab7a_IBK200Depth_20080901_145634.png.b595bb67e5117012d94ca3f22c9f0a70.png

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If by changes you mean how heavy the hits in time and sales are, most sales are under 10 contracts but I haven't analysed it exactly to find the real quartiles. If you mean does the depth change because of people pulling orders out - well, yes, but to varying extents. There was a 400-500 order sitting on the bid at the low of the day today, was hit heavily a few times, then was completely pulled out. The market then dropped 20 ticks.

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I meant the changes in the market depth from pulled and newly placed orders, but the information about the size of market orders you provided is also very helpful. How often do you see big limit order like you described in the market depth and how often do you see market orders that you would qualify as big in this market?

 

If the futures market is largely retail driven then where do you think the institutional traders come into play? Do they only trade the underlying stocks or the index options?

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Having only watched it for two days, I'm hardly an expert. Today, I saw the same bundle of 400-500 contracts sitting on the bid a few times, until they disappeared completely. It was rare enough for me to notice.

 

For everything else, the answer is I don't know. I've read a few papers today that suggest arbitrage opportunities are more difficult on the KOSPI because of the difficulty in obtaining short stock. However, one could always perform quasi-arbitrage by selling an existing basket of stocks.

 

The answer really, to the rest, is I don't know. Perhaps you can follow the market yourself and provide us with the answers, as I'm not sure what to be looking for.

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Does anyone has a live data feed for KOSPI? I was wondering how does a renko chart of it looks like. If anyone can post a screenshot, I would be very grateful! Thank you!

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Thought I would share a chart from today's trade. Kospi has been rather choppy the past few sessions and the key to this current situation is pure discipline and waiting for prime setups.

 

Took me almost 180 minutes today before doing my first trade. It does appear that this may be my only trade today as well. Booked a bit early but I am not scaling out of exits yet so I would rate this trade a B+.

 

Yesterday, 180.00 was monster support, with price in a tight bracket between 180.80 to 180.00. Please see attached chart. At the hard right edge.... I am thinking of a further continuation upwards until the second wave of distribution comes in... perhaps around the 181.20 level.

5aa70ed29ea37_kospiintradayanalysis.jpg.91d313508fb980a261d939beb9879942.jpg

5.jpg.6a1fe5ff76a3a74da68a5660b927c7af.jpg

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Hi Soultrader,

 

Any idea why KOSPI is so choppy this week? This reminds me of time around Chinese New Year?

 

Thanks,

redduke

 

It was Kospi200 options expiry on the 14th, last trading day of Kospi200 options. The expiration date is the second Thursday of the contract month.

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It was Kospi200 options expiry on the 14th, last trading day of Kospi200 options. The expiration date is the second Thursday of the contract month.

 

 

How often do options expire?

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Options expire once a month generally speaking. In the case of the Kospi 200 options, I believe they expire once per month, and there are 4 contracts trading at once, (current month + next 3 consecutive months).

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It was Kospi200 options expiry on the 14th, last trading day of Kospi200 options. The expiration date is the second Thursday of the contract month.

 

James, when does Kospi futures typically roll-over? I can find the expirations dates on KRX's website, but cannot figure out when they roll over.

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Options expire once a month generally speaking. In the case of the Kospi 200 options, I believe they expire once per month, and there are 4 contracts trading at once, (current month + next 3 consecutive months).

 

That is what was my understanding as well. This can not explain choppy market, since this choppiness was not there during last few expirations.

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That is what was my understanding as well. This can not explain choppy market, since this choppiness was not there during last few expirations.

 

In my experience the choppiness can accompany expiration, or sometimes it doesn't, just like anything else in the markets. Just because the two aren't always found together does not mean that expiration can't cause the chop. It seems to me it would depend on how the large holders of front month options are positioned relative to the price of the underlying, along with many other factors.

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Same here. It looks too me as if the chart program took an overdosis of crack and vomitted random lines and text.

 

I am just kidding ;) Maybe you could explain what all of this on your chart means? :confused:

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Just got this email response from esignal to my query as to when they will finally be offering real-time intraday data for the K200.

 

"Following our chat, I am writing to inform you that at the moment we have not planned to add the Korean future Exchange in our Real Time DataFeed, hence there is not any ETA so far."

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Just got this email response from esignal to my query as to when they will finally be offering real-time intraday data for the K200.

 

"Following our chat, I am writing to inform you that at the moment we have not planned to add the Korean future Exchange in our Real Time DataFeed, hence there is not any ETA so far."

 

In Korea, real-time datafeed is free of charge complimentary of the brokerage firm. This is industry standards in Korea. You might want to contact the following firms: Samsung Securities or NH Futures who have an international dealing desk and can offer these data for free using their own in house platforms.

 

NH Futures: James Paik - james.paik (@) nhfutures.com

Samsung Securities: Wonsook Lee - ws1001.lee (@) samsung.com

 

Both represenatives are fluent in english.

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Gday Soultrader ,

 

Do you know where we could get the different weightings of the different stocks in the index like you mentioned in your opening chat ?

 

"The heavily weighted stocks for this index includes companies like Samsung Electronics (15.59%), The Pohan Iron and Steel Company (7.89%), Kookimin Bank (3.89%), HHI or Hyundai Heavy Industries (3.53%), etc..."

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