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>A weekly recap of volatility and price metrics, covering option volumes, volatility trends, the spot/implied relationship, and open interest statistics.</li>
<li>A strong start to the week reversed sharply after key earnings releases.</li>
<li>We examine the dislocation between implied and historic volatility and assess whether this week’s drop in implied vol was overdone.</li>
</ul>


A weekly recap of volatility and price metrics, covering option volumes, volatility trends, the spot/implied relationship, and open interest statistics.
A strong start to the week reversed sharply after key earnings releases.
We examine the dislocation between implied and historic volatility and assess whether this week’s drop in implied vol was overdone.


HSCEI Index Options Weekly (March 17-21): Optimism Fades as Key Earnings Weigh on Markets

<ul>
<li>We highlight HSCEI’s outperformance vs. SPX across both long- and short-term price histories.</li>
<li>Mixed performance this week, with stimulus enthusiasm on Friday helping the market recover to a flat finish.</li>
<li>Given recent outperformance, we outline a tactical hedge to manage risk.</li>
</ul>


We highlight HSCEI’s outperformance vs. SPX across both long- and short-term price histories.
Mixed performance this week, with stimulus enthusiasm on Friday helping the market recover to a flat finish.
Given recent outperformance, we outline a tactical hedge to manage risk.


HSCEI Index Options Weekly (March 10-14): A Tactical Hedge as Relative Outperformance Continues

<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

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 17-21): Optimism Fades as Key Earnings Weigh on Markets

Weekly recap of volatility and price metrics, analyzing the dislocation between implied and historic volatility following a sharp reversal in...

John Ley

HSCEI Index Options Weekly (March 10-14): A Tactical Hedge as Relative Outperformance Continues

HSCEI outperforms SPX in both long- and short-term, with mixed performance this week and a tactical hedge recommended to manage risk.

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 (March 17-21): Optimism Fades as Key Earnings Weigh on Markets

​Weekly recap of volatility and price metrics, analyzing the dislocation between implied and historic volatility following a sharp reversal in...

John Ley

HSCEI Index Options Weekly (March 10-14): A Tactical Hedge as Relative Outperformance Continues

​HSCEI outperforms SPX in both long- and short-term, with mixed performance this week and a tactical hedge recommended to manage risk.

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

Weekly recap of volatility and price metrics, analyzing the dislocation between implied and historic volatility following a sharp reversal in...

HSCEI outperforms SPX in both long- and short-term, with mixed performance this week and a tactical hedge recommended to manage risk.

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.