Single-Stock Futures (SSF) Analysis
Foreign-flow microstructure across KOSPI200 + KOSDAQ150 single-stock futures · closing single-price auction liquidation · Samsung / Hynix options. Measurement only — no direction call.
Basis ↔ Spot — cross-correlation?
Open-Interest vs Price — quadrant?
Latest-day liquidation — largest OI drops?
Latest-day basis disparity extremes (괴리율)?
All names — full universe?
| Name | Code | Con | Spot | Basis(bp) | Disp % | OI | ΔOI | ΔOI % | Day % | Vol |
|---|
Closing single-price auction (동시호가) foreign net-buy vs own-spot return?
Auction net-buy vs same-day / next-day spot?
Auction behaviour by day direction?
Participant map — OI ladder + gamma-mass?
Put/Call ratio & price skew over time?
Options positioning vs own-spot?
Surface vs de-noised cumulative — foreign K200 futures?
Flow noise by subject — how much the surface number misleads?
| Subject | 방향오도율 | 동시호가반대율 | 왜곡중앙값 | 20d 표면 | 20d 클린 | 주입노이즈 | 부호역전 |
|---|