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>Put trading as a percentage of total volume continues to increase and coupled with a shift in the skew highlights changing sentiment.</li>
<li>Volatile price action this week with Wednesday and Friday both moving ~3.50%.</li>
<li>Implied and historic volatilities were all up on the week and seasonal setup over next two weeks not favorble. </li>
</ul>


Put trading as a percentage of total volume continues to increase and coupled with a shift in the skew highlights changing sentiment.
Volatile price action this week with Wednesday and Friday both moving ~3.50%.
Implied and historic volatilities were all up on the week and seasonal setup over next two weeks not favorble. 


HSCEI Index Options Weekly (Feb 24-28): Shifting Sentiment

Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

Hang Seng China Enterprises Index / Event-Driven

<ul>
<li>Several US tariffs are expected in March, but their implementation remains uncertain and is part of ongoing negotiations.</li>
<li>Central banks in India, Japan, and the US will announce rate decisions in March, with India possibly cutting rates by 0.25%.</li>
<li>Major HK stocks are set to announce earnings in March, and index changes will occur in the S&amp;P 500, Nifty 50, S&amp;P/ASX 200, and HSCEI indices.</li>
</ul>


Several US tariffs are expected in March, but their implementation remains uncertain and is part of ongoing negotiations.
Central banks in India, Japan, and the US will announce rate decisions in March, with India possibly cutting rates by 0.25%.
Major HK stocks are set to announce earnings in March, and index changes will occur in the S&amp;P 500, Nifty 50, S&amp;P/ASX 200, and HSCEI indices.


March Key Events in Asia-Pac: Tariffs, Rates, Earnings, and Indices in Focus

<ul>
<li>HSCEI sets a new 52-week high, helped in part by the large earnings related move from Alibaba to finish the week.</li>
<li>Implied vol struggling to keep up with the rally in spot, dropping 3 points despite Friday’s furious rally.</li>
<li>We show how the relationship between spot and vol over the past month has not been the norm compared to the previous year’s activity.</li>
</ul>


HSCEI sets a new 52-week high, helped in part by the large earnings related move from Alibaba to finish the week.
Implied vol struggling to keep up with the rally in spot, dropping 3 points despite Friday’s furious rally.
We show how the relationship between spot and vol over the past month has not been the norm compared to the previous year’s activity.


HSCEI Index Options Weekly (Feb 17-21): Implied Vol Weak Despite Rally

<ul>
<li>HSCEI sets new 52-week high by a hair. Rally over the last 10 days ranks in the 97th percentile since 2000.</li>
<li>Spot and implied maintain a positive correlation which will see implieds come off should this rally reverse course. </li>
<li>We recommend two trades for those looking to tactically lighten positions into the rally.</li>
</ul>


HSCEI sets new 52-week high by a hair. Rally over the last 10 days ranks in the 97th percentile since 2000.
Spot and implied maintain a positive correlation which will see implieds come off should this rally reverse course. 
We recommend two trades for those looking to tactically lighten positions into the rally.


EQD| HSCEI Index Options Weekly (Feb 10-14): Tactical Hedges for an Extended Rally

China

The Hang Seng China Enterprises Index is a free-float capitalization-weighted index comprised of H-Shares listed on the Hong Kong Stock Exchange and included in the Hang Seng Mainland Composite Index. The base value of this index is 2000 as of Jan 3, 2000. This index replaced the old HSCE index on Oct. 3, 2001.

Hang Seng China Enterprises Index (HSCEI INDEX)

Hang Seng China Enterprises Index (HSCEI INDEX)

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

HSCEI Index Options Weekly (Feb 24-28): Shifting Sentiment

Increasing trading volume percentage and shifting skew highlight changing sentiment. Volatility spiked this week with significant price movements,...

John Ley

March Key Events in Asia-Pac: Tariffs, Rates, Earnings, and Indices in Focus

March will be a busy month with US tariffs, central bank rate decisions, major HK stock earnings, and index changes on the horizon.

Gaudenz Schneider

HSCEI Index Options Weekly (Feb 17-21): Implied Vol Weak Despite Rally

HSCEI hits new high with Alibaba inspired rally on Friday but implied vol lags behind spot rally for the first time in the last 3 week.

John Ley

EQD| HSCEI Index Options Weekly (Feb 10-14): Tactical Hedges for an Extended Rally

HSCEI hits new 52-week high, but implied volatility may decrease if rally reverses; two trades recommended to lighten positions.

John Ley

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

HSCEI Index Options Weekly (Feb 24-28): Shifting Sentiment

​Increasing trading volume percentage and shifting skew highlight changing sentiment. Volatility spiked this week with significant price movements,...

John Ley

March Key Events in Asia-Pac: Tariffs, Rates, Earnings, and Indices in Focus

​March will be a busy month with US tariffs, central bank rate decisions, major HK stock earnings, and index changes on the horizon.

Gaudenz Schneider

HSCEI Index Options Weekly (Feb 17-21): Implied Vol Weak Despite Rally

​HSCEI hits new high with Alibaba inspired rally on Friday but implied vol lags behind spot rally for the first time in the last 3 week.

John Ley

EQD| HSCEI Index Options Weekly (Feb 10-14): Tactical Hedges for an Extended Rally

​HSCEI hits new 52-week high, but implied volatility may decrease if rally reverses; two trades recommended to lighten positions.

John Ley

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

Increasing trading volume percentage and shifting skew highlight changing sentiment. Volatility spiked this week with significant price movements,...

March will be a busy month with US tariffs, central bank rate decisions, major HK stock earnings, and index changes on the horizon.

HSCEI hits new high with Alibaba inspired rally on Friday but implied vol lags behind spot rally for the first time in the last 3 week.

HSCEI hits new 52-week high, but implied volatility may decrease if rally reverses; two trades recommended to lighten positions.