Markets · SK hynix·live · legs · research · docs

Hynix Desk

Two position families: carry (short 7709 vs long underlying, harvesting the fund's internal drag) and the same-instrument spread across venues.

gateway down12 Sept, 20:14:13 HKT

1.4

News flash

HKEXnews filings on 7709, publication time in HKT, severity-tagged (info / structural / trade-now)

Waiting for the first load…

0 filings in 7d · HKEXnews scrape has not reported a successful run yet · key figures are joined from the parsed workbook and the factor feed, never read out of a PDF. KRX/DART notices on 000660 and keyword news (HBM · DRAM · earnings · NVDA) need a poller — open build item.

1.3

Market prices

one row per venue per family · USD first, native in brackets · closed markets greyed

Instrument	Venue	Bid USD	Ask USD	Age	Mid / Last	Source
SKHX000660.KS underlying · 1 share per unit
000660.KS	FT	—	—	--	—	Team GW · IBKR
SKHYNIXUSDT	BN	—	—	--	—	Team GW · BN
xyz:SKHX	HL	—	—	--	—	Team GW · HL
7709CSOP 2× daily L&I wrapper
7709.HK	FT	—	—	--	—	Team GW · Futu
CSOP2L	BN	—	—	--	—	Team GW · BN
ADRSKHY · 0.1 share per unit
SKHY	FT	—	—	--	—	Neon · Nasdaq
SKHYUSDT	BN	—	—	--	—	Team GW · BN
xyz:SKHY	HL	—	—	--	—	Team GW · HL
FX used: USDHKD — · USDKRW —

FT covers the broker legs (Futu book for 7709, IBKR for KRX, Nasdaq for the ADR); BN and HL are the perps. Greyed rows are markets that are shut — the prices are the last ones printed. ADR rows are a 0.1-share basis, so do not compare them to the SKHX rows without the ×10 lift. 7709 borrow: PB quote pending; it sits on the HKEX designated short list (tick-rule exempt), but no public source prices the fee.

1.2

Pipeline

no feed data

loading…

1.1

Stance & timing cockpit

rule-based scoreboard (spec §C) — inputs below, one stance out

HOLD

Net delta · fund

—

000660-share equivalent

Net delta · personal

—

books never summed

Premium z-score

—

anchor-premium history (needs fresh iNAV)

20d drag

—

edge size · NAV basis

Vol dial

—

RV-only until IV feed lands

Borrow fee

n/a

PB quote pending (F4)

Next catalyst

11d

2026-09-24 · Chuseok

KRW hedge

not wired

NDF line pending (F3) · target 2×NAV

insufficient data — missing z-score or drag. Rule v1 — thresholds in code (S11Stance), amend by section id 1.1.

R1a

Fair value vs market

7709 vs KRW-model fair (no drag assumption) · post-14:30 the fair carries the frozen KRX book

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fair = last CSOP NAV (chained through 14:30 strikes) × (1 + L × live 000660 KRW return) × USDHKD — NO drag assumption · HK sessions only · post-14:30 the KRX book freezes, so the fair carries forward

R1b

Premium vs fair

OHLC of the same premium, HK sessions only

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Blue up / red down · fair carries NO drag assumption (pure NAV × L·r_KRW) — the measured 20d drag lives in R3 · HK sessions only, closed hours cut

Same-instrument spread

one underlying, every venue in USD/share vs a switchable benchmark (A2 family)

Venue	USD / share	Spread vs bench	Age
000660 KRX	—	—	--
Binance SKHYNIX perpbench	—	0	--
HL xyz:SKHX perp	—	—	--
HL xyz:SKHY (ADR ×10)	—	—	--
SKHY ADR (Nasdaq ×10)	—	—	--

accumulating live spreads…

Spread history is session-local (records since this page opened) — persistent cross-venue history is an open build item. Wrappers (7709, CSOP2L) are excluded: no meaningful USD/share.

Vol context

realised vol, dial, intraday r — IV joins when the options feed lands

RV 20d (000660)

—

annualized, KRX-close basis

RV 60d

—

Vol dial

—

normal

IV − RV

n/a

SKHY ADR options feed pending

Drag / day (20d)

—

n=0 · NAV basis

Intraday r (000660)

—

re-hedge trigger |r| > 5%

building RV series…

1.5

Open items

the wish list (spec §F)

F1 Test IBKR KRX LOC/MOC — else TRS at-closeF2 CSOP PD list + creation channelF3 Lock KRW hedge line (NDF / onshore fwd)F4 PB quotes: borrow fee · TRS spread < 150bpF5 Verify Jul 17 KRX halt · log Aug 17 premium

Leg scoreboard

every candidate leg, one basis · carry to the LONG holder · switch when relative richness flips (spec §C)

Long leg	Route	Px basis vs bench	Funding APR	7d avg	Carry to long	Costs	Note	Age
000660 cash	KRX · Futu/KIS	—	—	—	—	STT 0.20% on sell · KRW hedge needed	benchmark leg · Futu margin value 0%	--
SKHYNIX perp	Binance USD-M	—	—	—	—	taker 2.5–4.5bp	deepest 24/7 book	--
xyz:SKHX perp	Hyperliquid	—	—	—	—	taker ~3.5bp	NXT-oracle risk (7/28)	--
SKHY ADR cash	Nasdaq · Futu/IBKR	—	—	—	—	no funding · US hours only	options available for wings	--
xyz:SKHY perp (ADR)	Hyperliquid	—	—	—	—	taker ~3.5bp	0.1-share · rich vs SKHX (grid short)	--
SKHYUSDT perp (ADR)	Binance USD-M	—	—	—	—	taker 2.5–4.5bp	0.1-share	--

Short leg (7709 exposure)	Route	Px vs FV / 7709	Borrow / funding	Availability	Note
Short 7709 stock	SEHK · Futu SBL	— vs FV	— (see L2)	—	tick-exempt · stamp-free · short more when premium rich (z on Live tab)
Short CSOP2L perp	Binance USD-M	— vs 7709	— (funding not logged, see L6)	24/7 · no borrow needed	same 2× wrapper — short the RICHER of (7709, CSOP2L); works on Korea-holiday days
PD creation exit	CSOP · cash USD	at NAV	—	≥500k units · cut-off 14:00 HKT	the clean cover when premium is CHEAP — creation replaces buying back in market

Carry to long = −funding APR (positive = the leg pays you to hold it). Basis vs benchmark = unavailable in USD/share. Switch discipline: migrate when another leg beats the held one on carry AND is not materially richer on basis.

Futu 7709 shortability

live SBL quota + short fee from the Futu bridge · refreshed ~5 min

no HK.07709 row yet

Perp micro-basis

Binance last/mark vs index · HL mid/mark vs oracle — venue-internal dislocations

BN last − index

—

trade px vs settlement complex

BN mark − index

—

what funding pushes on

HL mid − mark

—

book vs venue mark

HL mark − oracle

—

NXT-oracle sanity

BN last−index (session)

HL mark−oracle (session)

Reading: BN last persistently above index ⇒ perp rich vs spot complex — a short-leg candidate; HL mark−oracle beyond ±50 bp ⇒ oracle event, stand down on HL legs. BN quotes ~15s (recorder), HL live.

Binance over Hyperliquid

cross-venue mark premium, 14d hourly · live book premium + z — pick the cheap venue for the held leg

Live premium

—

SKHYNIXUSDT vs xyz:SKHX

z vs 14d

—

μ — · σ —

Verdict

—

building premium history…

History = hourly avg of each venue's logged mark price (funding_rates, 14d retention); live point = book mids. Mind each venue's own basis (L3) before calling the other venue mispriced.

Funding analysis

APR now · 7d avg · next settle · cumulative funding integral (14d) per perp leg

Leg	APR now	7d avg	Next settle
BN SKHYNIX —h	—	—	--
HL SKHX —h	—	—	--
BN SKHY —h	—	—	--
HL SKHY —h	—	—	--

BN − HL (full-share)

—

funding differential — pay the cheap side

Regime

NEUTRAL

perp-vs-cash leg trigger at ±20% APR

building funding history…

Cumulative line = ∫ quoted rate (per-hour contribution = rate ÷ interval); negative slope = longs being paid. Table gives exact numbers — line colors match the dots.

7709 vs CSOP2L perp

the same 2× wrapper on two venues — short the richer twin · perp is the 24/7 premium proxy

CSOP2L (HKD-conv)

—

no book

7709 mid

—

HK CLOSED — stale

Perp vs 7709

—

Perp vs FV

—

LIVE premium proxy (HK shut)

7709 vs FV

—

the flagship premium

Perp vs 7709 (session)

-- perp book

Funding on CSOP2L is not logged yet — add CSOPSKHYNIX2L to configs → global/strategy/binance_extra_symbols and market-data starts recording it (then this card gains a funding column). Persistent spread history: same recorder build item as R2.

Switch triggers

condition → reading → pre-agreed move (rule register v1)

Signal	Move
Perp funding < −20% APR (L5) longs are being paid to hold the perp	migrate long leg cash → perp on that venue; revert when funding normalizes
SKHY ADR at discount vs bench during US hours (L1) cheapest share-linear leg is the ADR	migrate long leg to ADR; optionally add option wings pre-catalyst
BN-over-HL premium beyond ±2σ (L4) one venue rich vs the other	hold the long leg on the CHEAP venue; if already positioned, switch on the convergence
HL mark−oracle > ±50 bp (L3) NXT-oracle dislocation (7/28 mode)	freeze HL legs — no entries, no marks trusted; route via Binance until it heals
BN last−index persistently rich (L3) perp trading above its settlement complex	prefer perp for the SHORT side / cash for the long side until basis mean-reverts
CSOP2L rich vs 7709 by > 1% (L6) the perp twin is the expensive wrapper	short CSOP2L instead of borrowing 7709 stock (no borrow fee, 24/7 exit)
Futu quota < 2× intended short, or fee spikes (L2) borrow getting thin/expensive	pre-arrange SBL line; shift marginal short into CSOP2L perp or the A2 spread family
Premium z ≤ −1 with PD channel open (Live 1.1) cover is cheap at NAV	exit via PD cash creation (≥500k units, cut-off 14:00 HKT) instead of buying back in market

2.0

Current net book

per-venue netted positions · fund vs personal, never summed

Fund book

net —

Leg	Venue	Side	Amount	Notional	Mark
no fund legs reported

Personal book

net —

Leg	Size	Share equiv	Notional	uPnL
no personal legs

Hedge ratio target = announced L (prior-evening CSOP announcement, 1.1–2×; never hardcode 2). KRW hedge notional / net KRW gap: pending the hedge line (open item F3).

2.1

Daily drag ledger

drag_NAV (official NAV basis) vs drag_mkt (NAV + Δpremium @14:30) — bases never mixed

Date	r KRW %	NAV ret %	L	drag_NAV	Δprem pp	drag_mkt
no ledger rows yet
20d rolling mean (n=0)				—		—

* L falls back to 2 when no announcement row exists for the day. drag_mkt uses the 14:30 anchor premium — the spec's 16:00 HKT close basis needs an EOD 7709 price log (build item).

2.2

Official disclosures

daily NAV + announced target vs actual leverage · flags on target ≠ 2×

Date	NAV USD	Target L	Actual L	Expo %
no disclosure rows yet

Target L is announced the prior evening (HKEXnews); series starts at the 2026-08-03 "Daily Max 2x" restructure. AUM / units / filing-timestamp lateness: not ingested yet (build item).

2.3

Vol & theta/gamma ledger

cumulative carry vs giveback (from the convexity decomposition) · vol dial

RV 20d

—

RV 60d

—

IV (ADR options)

n/a

feed pending

Theta / day

—

short collects (fit intercept)

Recommended exposure

—

vol dial, RV-only

needs the convexity fit (≥12 obs)

IV ≫ RV ⇒ shorting 7709 sells rich vol (best case); IV ≪ RV ⇒ theta doesn't cover gamma — stand down (spec §C). The IV leg activates when an options feed lands.

2.4

KRW FX

daily USDKRW · hedge target 2×NAV on the stock leg (fund is quanto)

USDKRW live

—

USDHKD live

—

Hedge notional

not wired

NDF / onshore forward line pending (F3)

building FX series…

Reset the hedge with the KRX-close rebalance — same clock as the position.

2.5

Premium & spread behaviour

anchor-premium history with ±2σ band · live premium & z · extreme-event log

Premium now

—

live vs KRW-model FV

z-score

—

iNAV basis vs 0 anchor days

μ / σ (60d)

—

building premium series…

Cross-venue spread history (A2 family) is session-local on the Live tab until a recorder persists it (build item). Reference extremes: +17.1% (Jul 2) / −23.3% (Jul 17).

2.6

Convexity fit

daily resid vs r with quadratic fit — intercept = carry, c = gamma cost

Intercept a

—

carry on a zero-move day

Convexity c

—

×1e4 convention (spec §A1)

—

rolling window grows with history

needs ≥ 6 ledger days

Trend of a and c needs a longer history — re-fit is automatic as days accrue.

2.7

Market structure watch

leverage-change log · short-turnover & borrow watch · crowding

Applicable	Target L
no leverage changes on record

Short-selling % of turnover (~49% on Aug 11 — crowded), live borrow fee and SFC weekly short positions (≥ HK$30m) are manual research inputs until a scraper lands. Manager discretion: 5 structural changes in 10 months ⇒ the nightly announcement scrape above is the tripwire.

2.8

Assumption registry

assumption · last verified · how to re-verify · status

Assumption	Last verified	Re-verify via	Status
Fund is quanto — KRW tracking, no FX term in NAV (β_FX ≈ 0)	2026-08-11 (regression n=18: β_KRW 2.03, β_FX 0.05)	Re-run NAV recon regression (Relative Value tab / section 2.6)	holds
Fund tracks within ±2% of targeted exposure	2026-08-11 (realized factor ≈ 2.0 on usable days)	Realized vs announced factor, section 2.2	holds
PD cash-creation dealing deadline 14:00 HKT	2026-08 (prospectus)	Prospectus / CSOP PD desk	holds
Korea sell STT 0.20% on cash 000660 sells	2026-08 (KRX schedule)	KRX / broker confirmation on next fill	holds
Per-swap stop-loss floor ≥10% of prior NAV (crash beyond ~−45% → loss up to ~10% NAV)	2026-08 (prospectus terms)	Prospectus swap annex	holds
PD creation minimum 500k units	2026-08 (prospectus)	CSOP PD list (open item F2)	watch
7709 short tick-rule EXEMPT on HKEX designated list	2026-08 (HKEX designated securities list)	HKEX short-selling list weekly refresh	holds

3.1

Broker & account research

PB candidates · emerging-manager tier · Korea leg · current gaps

Tier	Names	Notes
Natural PBs	JPM · Nomura · BNP · GS · Citi · UBS · MS	The 7 swap counterparties on 7709 — they already run the hedge book. Nomura / BNP / UBS historically most accessible in Asia for mid-size funds; GS / MS / JPM want ~$100m+ balances.
Emerging-manager	Jefferies · Marex · Clear Street · IBKR prime-lite	Fast onboarding — check Korea capability and borrow depth per desk.
Korea leg	Mirae · Samsung Securities · KIS (international desks)	TRS + single-stock futures + at-close execution. SSF: 10 shares/contract, margins 48.45% / 32.30%, NO night session; IBKR does not offer KRX SSF.
Current gaps	Futu · IBKR	Futu: KRX cash at 0% margin value; retail short of 7709 gated — the ask is an institutional SBL line. IBKR: KRX LOC/MOC undocumented — must test (F1).
Shortability	7709.HK	On HKEX's designated short list, tick-rule EXEMPT, stamp-duty free. Borrow exists at scale (short turnover ~49% of volume) — the live fee must come from a PB quote; no public data.

Pitch PBs on revenue (~US$1.5m/yr on a $20m short + $40m TRS book), not AUM.

3.2

Scenario runbook

pre-agreed actions — decided calm, executed fast

Scenario	Actions
Limit-up day (dangerous direction)	Short-straddle giveback territory. Intraday re-hedge (gamma-scalp own hedge) at \|r\| > 5%; expect dealer rebalance momentum into the KRX close (≈ 2×AUM×r, can be 40%+ of auction volume); check margin buffer ≥ 20%; do not add.
Limit-down day	Drag still accrues; premium often rips (fund NAV crush). Mind the stop-loss floor: beyond ~−45% net, per-swap floors bite — we are the implicit writer of that put. Trim into premium spikes; PD-creation exit is the clean out if premium is rich.
Korea holiday / HK open	Fund does NOT reset — no rebalance. 7709 is pure premium trading; delta proxies = ADR / perps (A2 family). Log premium behaviour (Aug 17 is the first live case).
Defensive unwind	Cover-in-market vs PD cash-creation at NAV (≥500k units, cut-off 14:00 HKT) — choose by premium sign. Unwind the KRW hedge with the position, same clock.
Borrow recall	Immediate: switch short leg — roll into the A2 spread family (Binance / HL perp short) while re-sourcing borrow via PB SBL. Never run the long leg naked.

3.3

PnL attribution

daily decomposition — unexplained < 5 bp/day or investigate

daily P&L = drag + Δpremium + scalp + FX residual − costs

drag — the edge: fund internal bleed (theta + swap fees + OCF), NAV basis
Δpremium — 7709 vs FV move (MTM feel; mean-reverting)
scalp — intraday re-hedge P&L on big-move days
FX residual — KRW hedge slippage vs the 2×NAV target
costs — borrow fee, STT 0.20% on Korea sells, commissions, funding

Execution rules (spec §D): rebalance at the KRX closing auction 14:20–14:30 HKT, adjustment 2×NAV×r, LOC / at-close TRS; early 14:15 execution leaves ~2×NAV×ε alive (ε ≈ 1.9%) — correct via Nextrade after-market on big days, fine as-is when |r| < 2%.

3.4

Primary sources

where every number traces back to

KFS + prospectus (drag composition caps: options ≤49% NAV, swap fees 4–20% p.a. cap 40%, OCF)
Daily leverage announcements (HKEXnews, prior evening — scraped from the CSOP site hourly)
NAV xlsx (CSOP daily file — mirrored to Neon hourly)
SFC short-position circular (weekly, ≥ HK$30m)
KRX trading guides (closing auction 15:20–15:30 KST, Nextrade after-market 15:30–20:00 KST)