Kospi2 Short-Dated Calls Gaining Interest, Correlation Spike Targeted

Flow in short-term Kospi2 upside strategies has spiked in 2017, with spot in the index breaking through a five-year range and outperforming the MSCI EM Asia since the beginning of the year. Samsung Electronics has been leading the charge as 2017 earnings estimates for the company improve, yet its dominant role in driving the Kospi2 higher has led to correlation within the index staying low and depressing vol. Given that fundamentals and positioning support a further concerted spike higher in the Kospi2, and with it an increase in correlation and subsequently implied volatilities, further flow is expected in upside strategies. Rob McGlinchey spoke to Citigroup’s Shane Carroll on why Kospi2 short-dated upside calls are beginning to attract investor interest.