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

Hang Seng China Enterprises Index / Equity Derivatives

<ul>
<li>HSCEI rebounded 5.90%, reversing last week’s weakness and extending its rally since mid-January.</li>
<li>Volatility softened in the short term, with implieds trending below key historic vol measures.</li>
<li>Skew shifted as demand for tail risk increased, with both out-of-the-money Puts and Calls seeing higher implied volatility, reflecting a bid for protection and upside exposure.</li>
</ul>


HSCEI rebounded 5.90%, reversing last week’s weakness and extending its rally since mid-January.
Volatility softened in the short term, with implieds trending below key historic vol measures.
Skew shifted as demand for tail risk increased, with both out-of-the-money Puts and Calls seeing higher implied volatility, reflecting a bid for protection and upside exposure.


HSCEI Index Options Weekly (March 03-07): Strong Gains as Skew Signals Tail Demand

<ul>
<li>Positive sentiment helps push HSI to new highs aided by rally in Alibaba.</li>
<li>Implied vol at high levels but so far supported by historic vols that are above implieds.</li>
<li>We highlight a large trade in out-of-the-money Calls for May expiry.</li>
</ul>


Positive sentiment helps push HSI to new highs aided by rally in Alibaba.
Implied vol at high levels but so far supported by historic vols that are above implieds.
We highlight a large trade in out-of-the-money Calls for May expiry.


HSI Index Options Weekly (March 03-07): Alibaba’s Breakout and Policy Support Boost HSI

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

<ul>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI INDEX</a> has been defying gravity, recently. It is up more than 30% from its most recent low.</li>
<li>In our previous, <a href="https://www.smartkarma.com/insights/hsi-to-find-strong-support-between-18-8k-and-17-5k-long-term-uptrend-set-to-restart" target="_blank" rel="noopener">Jan. 11th insight</a> we highlighted very precisely the support zone (18.8k-17.5k) from where the index was poised to resume its rally (the bottom was printed at 18671).</li>
<li>
Our models are currently indicating a very overbought condition. Leveraging the information relayed by <a href="https://www.smartkarma.com/profiles/gaudenz-schneider" target="_blank" data-smartkarma-citation="accounts:66501" rel="noopener">Gaudenz Schneider</a> in a recent insight, we think a "HSI PUT" could make sense here. </li>
</ul>


The HSI INDEX has been defying gravity, recently. It is up more than 30% from its most recent low.
In our previous, Jan. 11th insight we highlighted very precisely the support zone (18.8k-17.5k) from where the index was poised to resume its rally (the bottom was printed at 18671).

Our models are currently indicating a very overbought condition. Leveraging the information relayed by Gaudenz Schneider in a recent insight, we think a "HSI PUT" could make sense here. 


The HSI PUT: Hedging Strategies for an Overextended Rally

Asian Hedge Fund Manager, Long Short Equity, Macro

David Mudd

Equity Bottom-Up

Zoomlion Heavy Industry H / Equity Bottom-Up

<ul>
<li>Hong Kong continues its secular bull market and has now reached its first significant resistance in the 24k to 25k.  Growth factor investing is leading in long-only investing.</li>
<li>Mainland buyers continue buying Hong Kong stocks at a historic rate with buying focused in the tech sector and specifically in AI-related companies.</li>
<li>
<a href="https://www.smartkarma.com/entities/zoomlion-heavy-industry-h" target="_blank" data-smartkarma-citation="entities:7817:1" rel="noopener">Zoomlion Heavy Industry H (1157 HK)</a> has broken its double-top formation and is at a new high.  <a href="https://www.smartkarma.com/entities/vtech-holdings-ltd" target="_blank" data-smartkarma-citation="entities:18812:1" rel="noopener">Vtech Holdings (303 HK)</a> broke out to a new high with improving momentum.
</li>
</ul>


Hong Kong continues its secular bull market and has now reached its first significant resistance in the 24k to 25k.  Growth factor investing is leading in long-only investing.
Mainland buyers continue buying Hong Kong stocks at a historic rate with buying focused in the tech sector and specifically in AI-related companies.

Zoomlion Heavy Industry H (1157 HK) has broken its double-top formation and is at a new high.  Vtech Holdings (303 HK) broke out to a new high with improving momentum.



Technically Speaking, Breakouts and Breakdowns: HONG KONG (March 6)

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>While <a href="https://www.smartkarma.com/entities/alibaba-group-holding-ltd-d7b798e2-202d-4e01-9a1e-799e2ae8f0c7" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba Group Holding (9988 HK)</a> rallied, lower in-the-money calls were closed, realizing gains, while higher out-of-the-money strikes gained popularity.</li>
<li>The median strike price lagged the sharp increase in stock price. The median strike currently stands at 107.50.</li>
<li>With 81% of March calls currently in-the-money and higher strikes trading at premium implied volatility, active trading is expected in the 150-170 strike range.</li>
</ul>


While Alibaba Group Holding (9988 HK) rallied, lower in-the-money calls were closed, realizing gains, while higher out-of-the-money strikes gained popularity.
The median strike price lagged the sharp increase in stock price. The median strike currently stands at 107.50.
With 81% of March calls currently in-the-money and higher strikes trading at premium implied volatility, active trading is expected in the 150-170 strike range.


Alibaba (9988 HK): Trends in CALL Strikes and Open Interest Visualized in Animation and Charts

China

Alibaba Group Holding Limited provides online sales services. The Company provides internet infrastructure, electronic commerce, online financial, and internet content services through its subsidiaries. Alibaba Group Holding offers its products and services worldwide.

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Alibaba (BABA US)

HSCEI Index Options Weekly (March 03-07): Strong Gains as Skew Signals Tail Demand

HSCEI rebounds nearly 6%, showing increased demand for tail risk as volatility softens and implieds trend below historic measures.

John Ley

HSI Index Options Weekly (March 03-07): Alibaba’s Breakout and Policy Support Boost HSI

Positive sentiment and a rally in Alibaba drive HSI to new highs, with implied volatility high but supported by historic vol levels. Notable large...

John Ley

The HSI PUT: Hedging Strategies for an Overextended Rally

The HSI Index is defying gravity, up over 30% from its recent lows, but our models suggest it is very overbought, indicating a potential...

Nico Rosti

Technically Speaking, Breakouts and Breakdowns: HONG KONG (March 6)

Hong Kong continues its secular bull market outperforming global markets over the last year. After advancing more than 20% this year, the market...

David Mudd

Alibaba (9988 HK): Trends in CALL Strikes and Open Interest Visualized in Animation and Charts

Alibaba stock rally prompts closure of lower in-the-money calls, while higher out-of-the-money strikes gain popularity. Active trading expected in...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

HSCEI Index Options Weekly (March 03-07): Strong Gains as Skew Signals Tail Demand

​HSCEI rebounds nearly 6%, showing increased demand for tail risk as volatility softens and implieds trend below historic measures.

John Ley

HSI Index Options Weekly (March 03-07): Alibaba’s Breakout and Policy Support Boost HSI

​Positive sentiment and a rally in Alibaba drive HSI to new highs, with implied volatility high but supported by historic vol levels. Notable large...

John Ley

The HSI PUT: Hedging Strategies for an Overextended Rally

​The HSI Index is defying gravity, up over 30% from its recent lows, but our models suggest it is very overbought, indicating a potential...

Nico Rosti

Technically Speaking, Breakouts and Breakdowns: HONG KONG (March 6)

Hong Kong continues its secular bull market outperforming global markets over the last year. After advancing more than 20% this year, the market...

David Mudd

Alibaba (9988 HK): Trends in CALL Strikes and Open Interest Visualized in Animation and Charts

​Alibaba stock rally prompts closure of lower in-the-money calls, while higher out-of-the-money strikes gain popularity. Active trading expected in...

Gaudenz Schneider

HSCEI rebounds nearly 6%, showing increased demand for tail risk as volatility softens and implieds trend below historic measures.

Positive sentiment and a rally in Alibaba drive HSI to new highs, with implied volatility high but supported by historic vol levels. Notable large...

The HSI Index is defying gravity, up over 30% from its recent lows, but our models suggest it is very overbought, indicating a potential...

Alibaba stock rally prompts closure of lower in-the-money calls, while higher out-of-the-money strikes gain popularity. Active trading expected in...