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>Sideways range finally breaks giving way to higher 1M implied vols, now above the 75th percentile.</li>
<li>Move lower potentially exacerbated by short gamma positions around the 38,000 strike.</li>
<li>Seasonals not favorable for Nikkei over the next two weeks.</li>
</ul>


Sideways range finally breaks giving way to higher 1M implied vols, now above the 75th percentile.
Move lower potentially exacerbated by short gamma positions around the 38,000 strike.
Seasonals not favorable for Nikkei over the next two weeks.


Nikkei Index Options Weekly (Feb 24 – 28): The Range Breaks

<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

<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

<ul>
<li>Nikkei down 2.66% on Monday with Implied vol very reactive to the move jumping almost 3 points.</li>
<li>USD/JPY dropped 2.35% for the week, Nikkei fared better only losing 1.96%.</li>
<li>Open interest in the Nikkei dominated by Puts with 2 outstanding for every 1 Call.</li>
</ul>


Nikkei down 2.66% on Monday with Implied vol very reactive to the move jumping almost 3 points.
USD/JPY dropped 2.35% for the week, Nikkei fared better only losing 1.96%.
Open interest in the Nikkei dominated by Puts with 2 outstanding for every 1 Call.


EQD | Nikkei Index Options Weekly (January 27 – 31): Implied Vol Very Reactive to Spot

<ul>
<li>This week we add in some additional graphs and commentary highlighting USD/JPY vs Nikkei 225.</li>
<li>Implied vols were very reactive to spot to open the week with Nikkei dropping almost 1% on Monday.</li>
<li>Heavier volume on the down days with Puts making up 57.8% of the total weekly volume.</li>
</ul>


This week we add in some additional graphs and commentary highlighting USD/JPY vs Nikkei 225.
Implied vols were very reactive to spot to open the week with Nikkei dropping almost 1% on Monday.
Heavier volume on the down days with Puts making up 57.8% of the total weekly volume.


EQD | Nikkei Index Options Weekly (January 27 – 31): USD/JPY and Nikkei at a Stalemate

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 24 – 28): The Range Breaks

Sideways range in Nikkei breaks, leading to higher implied vols and potential downside pressure from short gamma positions around 38,000 strike....

John Ley

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 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

EQD | Nikkei Index Options Weekly (January 27 – 31): Implied Vol Very Reactive to Spot

Nikkei drops 1.96% as USD/JPY falls 2.35%. Big jump in Nikkei implied vols on Monnday but most of the gains given back by Friday.

John Ley

EQD | Nikkei Index Options Weekly (January 27 – 31): USD/JPY and Nikkei at a Stalemate

This Insight discusses the relationship between USD/JPY and Nikkei 225, noting the reactive nature of implied vols and heavier volume on down...

John Ley

Nikkei Index Options Weekly (Feb 24 – 28): The Range Breaks

​Sideways range in Nikkei breaks, leading to higher implied vols and potential downside pressure from short gamma positions around 38,000 strike....

John Ley

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 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

EQD | Nikkei Index Options Weekly (January 27 – 31): Implied Vol Very Reactive to Spot

​Nikkei drops 1.96% as USD/JPY falls 2.35%. Big jump in Nikkei implied vols on Monnday but most of the gains given back by Friday.

John Ley

EQD | Nikkei Index Options Weekly (January 27 – 31): USD/JPY and Nikkei at a Stalemate

​This Insight discusses the relationship between USD/JPY and Nikkei 225, noting the reactive nature of implied vols and heavier volume on down...

John Ley

Sideways range in Nikkei breaks, leading to higher implied vols and potential downside pressure from short gamma positions around 38,000 strike....

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...

Nikkei drops 1.96% as USD/JPY falls 2.35%. Big jump in Nikkei implied vols on Monnday but most of the gains given back by Friday.

This Insight discusses the relationship between USD/JPY and Nikkei 225, noting the reactive nature of implied vols and heavier volume on down...