MSCI has proposed excluding Bitcoin (BTC) treasury firms Strategy and Metaplanet from its Global Investable Market Indexes (GIMI) under a new eligibility framework aimed at companies it deems non-operating. Under the plan, additional quantitative screens would be used to identify issuers whose activity resembles an investment vehicle more than an operating business. Strategy and Metaplanet are two of three current constituents of the MSCI ACWI Investable Market Index (ACWI IMI) that would be removed if the changes are approved, alongside UK-listed Yellow Cake.<\/p>\n
The process would start with a Core Screen for sufficient operating assets, followed by an Exclusion Screen using five ratios: operating asset intensity, expense intensity, cash flow, fair value intensity and capital dependence. Companies would become ineligible if they trigger at least four of five flags. Existing constituents would need to fail the tests for two consecutive annual filing periods before removal, while a public watchlist would flag firms failing only on recent filings; Ethereum (ETH) treasury firm SharpLink is listed with Center Laboratories and Lydia Holding. Feedback is open through 30 September, with a decision due on or before 16 October; if adopted, implementation would come in the November Index Review.<\/p>\n
We are closely watching MSCI’s new proposal to exclude crypto treasury giants like MicroStrategy and Metaplanet from its global indexes, which could spark massive volatility in the coming weeks. Since the consultation period runs until September 30, 2026, we expect intense speculation and hedging activity to build up in the options market. Derivative traders should prepare for potential downward pressure on these stocks as passive funds tracking the MSCI ACWI Index\u2014which commands over $12 trillion in benchmarked assets\u2014may eventually be forced to divest. <\/p>\n
To navigate this uncertainty, we recommend building long put positions or utilizing bearish spreads on MicroStrategy (MSTR) and Metaplanet to hedge against a negative ruling on October 16. Historically, index exclusions trigger significant capital outflows; for instance, when companies are removed from major benchmarks, they often experience an immediate 4% to 7% drop in share price due to passive selling. With MicroStrategy\u2019s stock historically trading at a premium of over 1.5 times the value of its actual Bitcoin holdings, any threat to its index inclusion could sharply contract this premium. <\/p>\n
We also see a compelling opportunity to trade the volatility skew on these specific equities. Implied volatility is likely to spike as the September 30 deadline approaches, making calendar spreads and straddles highly attractive for traders looking to exploit rising option premiums. For those trading Japanese markets, Metaplanet’s options will likely see similar premium inflation, offering a highly correlated play with unique regional liquidity dynamics.<\/p>\n\n\n\n