Betting on Last Minute Window Dressing ~ Short FKLI-JUN JUL Spread

Publish date: Wed, 29 Jun 2022, 02:36 PM
It is a crazy market,

FKLI-JUN JUL Spread is now trading at 4.0 point,
According to past record and the one already announced,
Among the 30 index counters, only KLK's 20 sen dividend to be ex-dated in July,
That dividend will pull down KLCI index by 0.3 point,
The FKLI June is now trading at 1457,
Assume financing / margin rate is 3.0%

FKLI July fair value = FKLI June + interest - dividend
= 1457.0 + 1457.0*3.0%/12 - 0.3
= 1460.3

FKLI-JUN JUL Spread fair value = FKLI June - FKLI July = 1457.0 - 1460.3 = -3.3 points,
But the market price is now +4.0 points, meaning overpriced by 7.3 points,
So, good to short FKLI-JUN JUL Spread for speculation,

On top of the above overpriced, 
The most important is that YTD our KLCI has lost over 110 points or 7 %,

So, market talk is that the fund managers will need window dressing very badly end of June,
However, window dressing is actually wasting investors' money (not fund managers's money),
In order not to waste so much, they would probably do it at the last minute, i.e. 1645 hrs.

If so happen,
FKLI June will not be affected at all as the settlement calculation start from 1545 hrs,
FKLI July will be much higher due to the window dressing,

I have already sold some FKLI-JUN JUL Spread,

Please take note, 
Chinese say, sometimes God just beat men's calculation,
Therefore, very important, must say 3 times,
Speculate at own risk, 
Speculate at own risk, 
Speculate at own risk, 

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