Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Equity Derivatives

<ul>
<li>Nikkei back at the top of the price range rising 3.85%. Gains may be more limited from here without an assist from the currency.</li>
<li>Implied vols softened on the week from a combination of factors includes low realized volatility on the week.</li>
<li>Active trade in Put and Call strikes at the edge of the recent trading range.</li>
</ul>


Nikkei back at the top of the price range rising 3.85%. Gains may be more limited from here without an assist from the currency.
Implied vols softened on the week from a combination of factors includes low realized volatility on the week.
Active trade in Put and Call strikes at the edge of the recent trading range.


EQD | Nikkei Index Options Weekly (January 20 – 24): Looking for an Assist

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Cross Asset Strategy

<ul>
<li>A review of recent events and data impacting our investment themes and outlook</li>
<li>US interest rate expectations continue to whip markets around, even as more cracks emerge in the AI trade.</li>
<li>Japan goes for broke with its latest budget and debt issuance.</li>
</ul>


A review of recent events and data impacting our investment themes and outlook
US interest rate expectations continue to whip markets around, even as more cracks emerge in the AI trade.
Japan goes for broke with its latest budget and debt issuance.


Overview #42 – What a Difference a Day Makes!

<ul>
<li>Nikkei has spent 55 trading days with 1M historic vol less than 1M implied vol, averaging about 4 points less.</li>
<li>The trading range since October looks similar to the trading range the market went through from May to July with similar volatility characteristics. </li>
<li>Big move on Monday didn’t spark volatility with market settling into a very narrow range to finish the week down 1.89%.</li>
</ul>


Nikkei has spent 55 trading days with 1M historic vol less than 1M implied vol, averaging about 4 points less.
The trading range since October looks similar to the trading range the market went through from May to July with similar volatility characteristics. 
Big move on Monday didn’t spark volatility with market settling into a very narrow range to finish the week down 1.89%.


EQD | Nikkei Index Options Weekly (January 14 – 17): Volatility Needs a Break from the Range

<ul>
<li>Weak price action to start the year for the Nikkei with little direction from USD/JPY which was grinding higher throughout the week.</li>
<li>Volatility at the start of the week helped push short term historic vol higher with at-the-money implied vol up about 1 point.</li>
<li>Volumes picked up substantially over year-end levels with Puts making up 53.5% of all contracts traded.</li>
</ul>


Weak price action to start the year for the Nikkei with little direction from USD/JPY which was grinding higher throughout the week.
Volatility at the start of the week helped push short term historic vol higher with at-the-money implied vol up about 1 point.
Volumes picked up substantially over year-end levels with Puts making up 53.5% of all contracts traded.


EQD | Nikkei Index Options Weekly - January 06 - 10

<ul>
<li>NKY looks to be playing catch-up with USD/JPY, rising 4.03% on the week and breaking out of recent range after not moving much in the first half of the month.</li>
<li>Implied volatility continues to slide lower with 1M implied vol down 2.5 points on the week.</li>
<li>Call volumes larger than Put volumes for the first time in a while on Fridays 1.80% price surge.</li>
</ul>


NKY looks to be playing catch-up with USD/JPY, rising 4.03% on the week and breaking out of recent range after not moving much in the first half of the month.
Implied volatility continues to slide lower with 1M implied vol down 2.5 points on the week.
Call volumes larger than Put volumes for the first time in a while on Fridays 1.80% price surge.


EQD | Nikkei Index Options Weekly - December 23 - 27

Japan

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

Nikkei 225 (NKY INDEX)

EQD | Nikkei Index Options Weekly (January 20 – 24): Looking for an Assist

Nikkei reaches top of price range with 3.85% gain, potential for limited gains without currency boost. Implied vols soften due to low realized...

John Ley

Overview #42 – What a Difference a Day Makes!

A review of recent events/data impacting our investment themes and outlook. Fed rate cuts, Japan spending and Lithium upgrades

Rikki Malik

EQD | Nikkei Index Options Weekly (January 14 – 17): Volatility Needs a Break from the Range

Nikkei's recent trading patterns show historical volatility consistently lower than implied volatility over the last 55 trading days.

John Ley

EQD | Nikkei Index Options Weekly - January 06 - 10

Weak price action for Nikkei at start of year, little direction from USD/JPY. Volatility increased, volumes were up with Puts dominating trades....

John Ley

EQD | Nikkei Index Options Weekly - December 23 - 27

NKY appears to be catching up to USD/JPY, with a 4.03% rise breaking out of recent range. Implied volatility is down and call volumes surpass put...

John Ley

EQD | Nikkei Index Options Weekly (January 20 – 24): Looking for an Assist

​Nikkei reaches top of price range with 3.85% gain, potential for limited gains without currency boost. Implied vols soften due to low realized...

John Ley

Overview #42 – What a Difference a Day Makes!

A review of recent events/data impacting our investment themes and outlook. Fed rate cuts, Japan spending and Lithium upgrades

Rikki Malik

EQD | Nikkei Index Options Weekly (January 14 – 17): Volatility Needs a Break from the Range

​Nikkei's recent trading patterns show historical volatility consistently lower than implied volatility over the last 55 trading days.

John Ley

EQD | Nikkei Index Options Weekly - January 06 - 10

​Weak price action for Nikkei at start of year, little direction from USD/JPY. Volatility increased, volumes were up with Puts dominating trades....

John Ley

EQD | Nikkei Index Options Weekly - December 23 - 27

​NKY appears to be catching up to USD/JPY, with a 4.03% rise breaking out of recent range. Implied volatility is down and call volumes surpass put...

John Ley

Nikkei reaches top of price range with 3.85% gain, potential for limited gains without currency boost. Implied vols soften due to low realized...

Nikkei's recent trading patterns show historical volatility consistently lower than implied volatility over the last 55 trading days.

Weak price action for Nikkei at start of year, little direction from USD/JPY. Volatility increased, volumes were up with Puts dominating trades....

NKY appears to be catching up to USD/JPY, with a 4.03% rise breaking out of recent range. Implied volatility is down and call volumes surpass put...