Equity Derivatives Broker - Delta One Japan, Vantage Capital Markets Japan

François-Xavier Pustoc'h

Equity Derivatives Broker - Delta One Japan

Independent Financial Broker

Vantage Capital Markets Japan

We provide world class financial solutions to our extensive institutional client base including rapidly growing corporations, leading investment banks, commercial banks, asset managers, private equity funds, family offices and hedge funds.

Our services include capital market offerings and placements, wholesale brokerage and execution of cash and derivative products (both listed and OTC) across a range of asset classes.

VCM has offices in London, Hong Kong, Tokyo and Dubai from where we service our global client base. Our strength lies in the experience and quality of our teams, supported by excellent operations and infrastructure.

Equity Derivatives

<ul>
<li>1M Implied volatility up 0.84 at 28.16 as the Nikkei 225 trades around 36800.</li>
<li>Higher correlation to USDJPY on the downside.       </li>
<li>Increasing interest in downside protection and Mar25/Apr25 gamma roll.</li>
</ul>


1M Implied volatility up 0.84 at 28.16 as the Nikkei 225 trades around 36800.
Higher correlation to USDJPY on the downside.       
Increasing interest in downside protection and Mar25/Apr25 gamma roll.


Nikkei Volatility Update (Feb 28th – Mar 7th)

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>We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.</li>
<li>India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.</li>
<li>A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.</li>
</ul>


We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.
India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.
A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.


Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

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.

<ul>
<li>Nikkei breaks lower, USD/JPY and trade tensions weighing on the market.</li>
<li>Implied volatility rose as the market declined. We discuss implications of current spot levels that is dominated by Put open interest.</li>
<li>Historic volatility continues to lag implied vol, we provide visuals on the extent of the lag.</li>
</ul>


Nikkei breaks lower, USD/JPY and trade tensions weighing on the market.
Implied volatility rose as the market declined. We discuss implications of current spot levels that is dominated by Put open interest.
Historic volatility continues to lag implied vol, we provide visuals on the extent of the lag.


Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

<ul>
<li>6 business days before Mar25 SQ on Nikkei and Topix Futures &amp; Options</li>
<li>Volumes are slowly going up and expected to increase in the next 3 business days</li>
<li>Current Roll Levels: NK MAR25/JUN25 ROLL -236/-235, TP MAR25/JUN25 ROLL -25.1/-25.0</li>
</ul>


6 business days before Mar25 SQ on Nikkei and Topix Futures &amp; Options
Volumes are slowly going up and expected to increase in the next 3 business days
Current Roll Levels: NK MAR25/JUN25 ROLL -236/-235, TP MAR25/JUN25 ROLL -25.1/-25.0


<ul>
<li>1M Implied volatility spiked to 27.32 as the Nikkei 225 broke its range.</li>
<li>Sharp increase in volumes especially centered on the 39,000 strike.</li>
<li>1M implied volatility following its 3M regression volatility/spot dynamic.</li>
</ul>


1M Implied volatility spiked to 27.32 as the Nikkei 225 broke its range.
Sharp increase in volumes especially centered on the 39,000 strike.
1M implied volatility following its 3M regression volatility/spot dynamic.


Nikkei Volatility Update (Feb 21st – Feb 28th)

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)

Nikkei Volatility Update (Feb 28th – Mar 7th)

1M Implied volatility up 0.84 at 28.16 as the Nikkei 225 trades around 36800. Higher correlation to USDJPY on the downside. Increasing interest in...

Vantage Capital Markets Japan

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...

John Ley

Nikkei & Topix Future Roll Update

6 business days before Mar25 SQ on Nikkei and Topix Futures & Options. Volumes are slowly going up and expected to increase in the next 3 business...

Vantage Capital Markets Japan

Nikkei Volatility Update (Feb 21st – Feb 28th)

1M Implied volatility spiked to 27.32 as the Nikkei 225 broke its range. Sharp increase in volumes especially centered on the 39,000 strike. 1M...

Vantage Capital Markets Japan

Nikkei Volatility Update (Feb 28th – Mar 7th)

1M Implied volatility up 0.84 at 28.16 as the Nikkei 225 trades around 36800. Higher correlation to USDJPY on the downside. Increasing interest in...

Vantage Capital Markets Japan

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

​Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...

John Ley

Nikkei & Topix Future Roll Update

6 business days before Mar25 SQ on Nikkei and Topix Futures & Options. Volumes are slowly going up and expected to increase in the next 3 business...

Vantage Capital Markets Japan

Nikkei Volatility Update (Feb 21st – Feb 28th)

1M Implied volatility spiked to 27.32 as the Nikkei 225 broke its range. Sharp increase in volumes especially centered on the 39,000 strike. 1M...

Vantage Capital Markets Japan

Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...