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>The 150 level on USD/JPY seems to be an area of heightened interest. We see potential for greater disparity of Nikkei returns below this level.</li>
<li>Nikkei 1-month implied vol is at the 17th percentile; while not currently monetizing, caution is warranted on short vol positions as USD/JPY vol trends higher.</li>
<li>Call volume dropped sharply vs total volume, with Puts outpacing Calls every day this week.</li>
</ul>


The 150 level on USD/JPY seems to be an area of heightened interest. We see potential for greater disparity of Nikkei returns below this level.
Nikkei 1-month implied vol is at the 17th percentile; while not currently monetizing, caution is warranted on short vol positions as USD/JPY vol trends higher.
Call volume dropped sharply vs total volume, with Puts outpacing Calls every day this week.


Nikkei Index Options Weekly (Feb 17 – 21): USD/JPY at Inflection Point

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.

<ul><li>Stabilization of 2025 dividend futures while longer-term expiries remain bid</li><li>Lower volumes this week mostly around 2025 and 2025 expiries</li><li>Potential dividend risk on the index dividend from Trend Micro (4704.T) as few private equity firms are looking to take the company private.</li></ul>

Stabilization of 2025 dividend futures while longer-term expiries remain bidLower volumes this week mostly around 2025 and 2025 expiriesPotential dividend risk on the index dividend from Trend Micro (4704.T) as few private equity firms are looking to take the company private.

EQD: Nikkei Dividends Update (Feb 7th – Feb 14th)

<ul>
<li>1M NKY implied volatility closed at 21.11 (down 0.58) as NKY went up 0.90%</li>
<li>Nikkei225 spots and 1M implied volatility are trading in a range with an increasing correlation to USDJPY.</li>
<li>Low volumes this week with a focus on gamma roll from Feb25 to Mar25 with some interests on skew structures from Mar25 to Dec25 in the inter-dealer broker market.</li>
</ul>


1M NKY implied volatility closed at 21.11 (down 0.58) as NKY went up 0.90%
Nikkei225 spots and 1M implied volatility are trading in a range with an increasing correlation to USDJPY.
Low volumes this week with a focus on gamma roll from Feb25 to Mar25 with some interests on skew structures from Mar25 to Dec25 in the inter-dealer broker market.


EQD: Weekly Nikkei Volatility Update (Feb 7th – Feb 14th)

<ul>
<li>USD/JPY more volatile relative to Nikkei, trading in a 2.3% range on the week and historic vol continuing to climb compressing the hv spread.</li>
<li>Nikkei is trading at the mid-point of the sideways range it’s been in since the end of September.  </li>
<li>Most heavily traded strikes were at the top and bottom of the sideways range.</li>
</ul>


USD/JPY more volatile relative to Nikkei, trading in a 2.3% range on the week and historic vol continuing to climb compressing the hv spread.
Nikkei is trading at the mid-point of the sideways range it’s been in since the end of September.  
Most heavily traded strikes were at the top and bottom of the sideways range.


EQD | Nikkei Index Options Weekly (February 10 – 14): Mired in Sideways Range

Event-Driven

<ul><li>Stock performance is confirming the ADD of Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T)</li><li>Stock performance is confirming the DEL of Mitsubishi Logistics (9301.T) and (maybe?) Kanadavia (7004.T)</li><li>Best Rebalance portfolio: the Long Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T) vs. Short Fast Retailing (9983.T) with 34.17% performance over the past two months.</li></ul>

Stock performance is confirming the ADD of Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T)Stock performance is confirming the DEL of Mitsubishi Logistics (9301.T) and (maybe?) Kanadavia (7004.T)Best Rebalance portfolio: the Long Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T) vs. Short Fast Retailing (9983.T) with 34.17% performance over the past two months.

Nikkei 225 Rebalancing: Stock Performance

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 Index Options Weekly (Feb 17 – 21): USD/JPY at Inflection Point

Heightened interest in the 150 level on USD/JPY with potential for greater disparity in Nikkei returns below that; caution advised on short Nikkei...

John Ley

EQD: Nikkei Dividends Update (Feb 7th – Feb 14th)

Stabilization of 2025 dividend futures while longer-term expiries remain bid. Lower volumes this week mostly around 2025 and 2025 expiries

Vantage Capital Markets Japan

EQD: Weekly Nikkei Volatility Update (Feb 7th – Feb 14th)

1M NKY implied volatility closed at 21.11 (down 0.58) as NKY went up 0.90%. Nikkei225 spots and 1M implied volatility are trading in a range with...

Vantage Capital Markets Japan

EQD | Nikkei Index Options Weekly (February 10 – 14): Mired in Sideways Range

USD/JPY more volatile than Nikkei, trading in a 2.3% range with historic volatility increasing, while Nikkei remains in a sideways range since...

John Ley

Nikkei 225 Rebalancing: Stock Performance

Stock performance is confirming the ADD of Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T) Stock performance is...

Vantage Capital Markets Japan

Nikkei Index Options Weekly (Feb 17 – 21): USD/JPY at Inflection Point

​Heightened interest in the 150 level on USD/JPY with potential for greater disparity in Nikkei returns below that; caution advised on short Nikkei...

John Ley

EQD: Nikkei Dividends Update (Feb 7th – Feb 14th)

Stabilization of 2025 dividend futures while longer-term expiries remain bid. Lower volumes this week mostly around 2025 and 2025 expiries

Vantage Capital Markets Japan

EQD: Weekly Nikkei Volatility Update (Feb 7th – Feb 14th)

1M NKY implied volatility closed at 21.11 (down 0.58) as NKY went up 0.90%. Nikkei225 spots and 1M implied volatility are trading in a range with...

Vantage Capital Markets Japan

EQD | Nikkei Index Options Weekly (February 10 – 14): Mired in Sideways Range

​USD/JPY more volatile than Nikkei, trading in a 2.3% range with historic volatility increasing, while Nikkei remains in a sideways range since...

John Ley

Nikkei 225 Rebalancing: Stock Performance

Stock performance is confirming the ADD of Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T) Stock performance is...

Vantage Capital Markets Japan

Heightened interest in the 150 level on USD/JPY with potential for greater disparity in Nikkei returns below that; caution advised on short Nikkei...

USD/JPY more volatile than Nikkei, trading in a 2.3% range with historic volatility increasing, while Nikkei remains in a sideways range since...