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>All 5 trading days of the past week saw non-volatile price declines but with implied vols still ticking higher leaving historic vol and implied vol moving in opposite directions.</li>
<li>Trading activity focused on Puts, 59.5% of all options trades were Puts last week</li>
<li>Postions being covered into market weakness as seen from large decrease in open interest (60% of the decline was Puts).</li>
</ul>


All 5 trading days of the past week saw non-volatile price declines but with implied vols still ticking higher leaving historic vol and implied vol moving in opposite directions.
Trading activity focused on Puts, 59.5% of all options trades were Puts last week
Postions being covered into market weakness as seen from large decrease in open interest (60% of the decline was Puts).


EQD | Nikkei Index Options Weekly - December 16 - 20

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

<ul>
<li>The JPX has designated <a href="https://www.smartkarma.com/entities/nidec-corp" target="_blank" data-smartkarma-citation="entities:7245:1" rel="noopener">Nidec Corp (6594 JP)</a> as a 'Security on Special Alert' due to a disclaimer of opinion in the annual report (among other issues).</li>
<li>Nikkei has announced the deletion of <a href="https://www.smartkarma.com/entities/nidec-corp" target="_blank" data-smartkarma-citation="entities:7245:1" rel="noopener">Nidec Corp (6594 JP)</a> from the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a>. <a href="https://www.smartkarma.com/entities/ibiden-co-ltd" target="_blank" data-smartkarma-citation="entities:16630:1" rel="noopener">Ibiden Co Ltd (4062 JP)</a> will be added to the index.</li>
<li>
<a href="https://www.smartkarma.com/entities/nidec-corp" target="_blank" data-smartkarma-citation="entities:7245:1" rel="noopener">Nidec Corp (6594 JP)</a> should also be deleted from the <a href="https://www.smartkarma.com/entities/tokyo-stock-exchange-tokyo-price-index-topix" target="_blank" data-smartkarma-citation="entities:22910:1" rel="noopener">TSE Tokyo Price Index TOPIX (TPX INDEX)</a>. Both index deletions should take the stock a lot lower from here.</li>
</ul>


The JPX has designated Nidec Corp (6594 JP) as a 'Security on Special Alert' due to a disclaimer of opinion in the annual report (among other issues).
Nikkei has announced the deletion of Nidec Corp (6594 JP) from the Nikkei 225 (NKY INDEX). Ibiden Co Ltd (4062 JP) will be added to the index.

Nidec Corp (6594 JP) should also be deleted from the TSE Tokyo Price Index TOPIX (TPX INDEX). Both index deletions should take the stock a lot lower from here.


Nikkei 225 Index Rebalance: 🚨Ibiden (4062 JP) To Replace Nidec (6594 JP) 🚨

Equity/Index & Cross Asset Volatility Specialist, Cameron Design

Jay Cameron

Equity/Index & Cross Asset Volatility Specialist

Cameron Design

We specialize in financial products and volatility. Our strategies balance speed, data, and risk control to capture opportunities across global markets. Our research leverages AI and data analytics to continuously refine our algorithms and adapt to evolving market dynamics.

Event-Driven

<ul>
<li>Urgent Regulatory Deadline: Nidec faces a critical deadline of September 26, 2025. Meeting this deadline is crucial to avoid regulatory consequences, including potential "Security on Alert" designation or stock suspension.</li>
<li>Underlying Strength Amidst Issues: Despite recent compliance issues that have impacted its stock, Nidec maintains a strong position as a global leader in electric motors with diversified revenue, projected growth.</li>
<li>Potential for Rebound: The current low valuation, may present a buying opportunity for long-term investors if the company successfully addresses its governance issues and restores investor confidence.</li>
</ul>


Urgent Regulatory Deadline: Nidec faces a critical deadline of September 26, 2025. Meeting this deadline is crucial to avoid regulatory consequences, including potential "Security on Alert" designation or stock suspension.
Underlying Strength Amidst Issues: Despite recent compliance issues that have impacted its stock, Nidec maintains a strong position as a global leader in electric motors with diversified revenue, projected growth.
Potential for Rebound: The current low valuation, may present a buying opportunity for long-term investors if the company successfully addresses its governance issues and restores investor confidence.


Nidec: Navigating Regulatory Challenges and Unlocking Value

<ul>
<li>
<a href="https://www.smartkarma.com/entities/denso-corp" target="_blank" data-smartkarma-citation="entities:18703:1" rel="noopener">Denso Corp (6902 JP)</a> is looking to raise up to JPY137bn (US$940m) by selling 73.9m shares of <a href="https://www.smartkarma.com/entities/renesas-electronics-corp" target="_blank" data-smartkarma-citation="entities:15933:1" rel="noopener">Renesas Electronics (6723 JP)</a> to international investors.</li>
<li>The indicative price range is JPY 1,812-1,848/share, a discount of 1-2.95% to Monday's close. The placement is 4.1% of shares outstanding and is 4.7 days of ADV.</li>
<li>We do not expect any passive buying at the time of settlement of the placement shares. The earliest passive buying will take place in August and September.</li>
</ul>



Denso Corp (6902 JP) is looking to raise up to JPY137bn (US$940m) by selling 73.9m shares of Renesas Electronics (6723 JP) to international investors.
The indicative price range is JPY 1,812-1,848/share, a discount of 1-2.95% to Monday's close. The placement is 4.1% of shares outstanding and is 4.7 days of ADV.
We do not expect any passive buying at the time of settlement of the placement shares. The earliest passive buying will take place in August and September.


Renesas Electronics (6723 JP): Denso Exits as Stock Price Falters

<ul>
<li>Monthly deep-dive into price and vol metrics across Global indexes and macro assets.</li>
<li>In-Depth look at the current state of the markets as well as how volatility and price may unfold.</li>
<li>We highlight strong seasonal trends in April, with all markets typically rising and realized vol typically coming in below implied.</li>
</ul>


Monthly deep-dive into price and vol metrics across Global indexes and macro assets.
In-Depth look at the current state of the markets as well as how volatility and price may unfold.
We highlight strong seasonal trends in April, with all markets typically rising and realized vol typically coming in below implied.


April Global Macro Volatility: Strong Price and Vol Seasonals

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 - December 16 - 20

Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

John Ley

Nikkei 225 Index Rebalance: 🚨Ibiden (4062 JP) To Replace Nidec (6594 JP) 🚨

TOPIX trackers are estimated to sell a lot of Nidec shares at the close today. Ibiden is already up a lot and that could lead to inclusion in a...

Brian Freitas

Nidec: Navigating Regulatory Challenges and Unlocking Value

Nidec faces dilemma of a regulatory deadline, but maintains strong position as global leader in electric motors with potential for rebound in...

Jay Cameron

Renesas Electronics (6723 JP): Denso Exits as Stock Price Falters

Denso should raise US$940m by selling nearly their entire holding in Renesas Electronics. Unlikely to be any passive buying in the near term, but...

Brian Freitas

April Global Macro Volatility: Strong Price and Vol Seasonals

Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...

John Ley

EQD | Nikkei Index Options Weekly - December 16 - 20

​Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

John Ley

Nikkei 225 Index Rebalance: 🚨Ibiden (4062 JP) To Replace Nidec (6594 JP) 🚨

TOPIX trackers are estimated to sell a lot of Nidec shares at the close today. Ibiden is already up a lot and that could lead to inclusion in a...

Brian Freitas

Nidec: Navigating Regulatory Challenges and Unlocking Value

​Nidec faces dilemma of a regulatory deadline, but maintains strong position as global leader in electric motors with potential for rebound in...

Jay Cameron

Renesas Electronics (6723 JP): Denso Exits as Stock Price Falters

Denso should raise US$940m by selling nearly their entire holding in Renesas Electronics. Unlikely to be any passive buying in the near term, but...

Brian Freitas

April Global Macro Volatility: Strong Price and Vol Seasonals

​Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...

John Ley

Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

Nidec faces dilemma of a regulatory deadline, but maintains strong position as global leader in electric motors with potential for rebound in...

Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...