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>December seasonals across major markets show a generally positive profile, but the path is uneven, with most gains clustering in the final days of the month.</li>
<li>Several markets offer appealing vol selling setups, particularly those with consistently positive December vol premiums and elevated implied levels relative to past outcomes.</li>
<li>Nifty vol appears attractively priced, but its tendency not to monetize in December requires traders to think differently about how they extract value.</li>
</ul>


December seasonals across major markets show a generally positive profile, but the path is uneven, with most gains clustering in the final days of the month.
Several markets offer appealing vol selling setups, particularly those with consistently positive December vol premiums and elevated implied levels relative to past outcomes.
Nifty vol appears attractively priced, but its tendency not to monetize in December requires traders to think differently about how they extract value.


Macro Monthly (December): Seasonal Strength, Vol Selling Edges and a Notable Nifty Setup

<ul>
<li>HSI recovered from last week’s sharp drop, helped by stronger breadth and steady but slower activity ahead of the U.S. holiday.</li>
<li>Implied vols were broadly lower against the back drop of quiet market action.</li>
<li>Materials sector names, with high implied percentiles and recent vol declines, may offer useful starting points for short vol candidates.</li>
</ul>


HSI recovered from last week’s sharp drop, helped by stronger breadth and steady but slower activity ahead of the U.S. holiday.
Implied vols were broadly lower against the back drop of quiet market action.
Materials sector names, with high implied percentiles and recent vol declines, may offer useful starting points for short vol candidates.


Hong Kong Single Stock Options Weekly (Nov 24 – 28): Broad Decline in Implied Vol

<ul>
<li>A renewed tariff threat from Trump sparked a sharp, sell-off across North American Equity markets.</li>
<li>The sell off was broad based and accordingly we look at the performance of Asian Index ETF’s that trade in North America to help prepare for Monday’s price action.</li>
<li>Implied volatility, price and option volume are displayed for each symbol.</li>
</ul>


A renewed tariff threat from Trump sparked a sharp, sell-off across North American Equity markets.
The sell off was broad based and accordingly we look at the performance of Asian Index ETF’s that trade in North America to help prepare for Monday’s price action.
Implied volatility, price and option volume are displayed for each symbol.


Market Sell-Off (Oct 10): How Asian Index ETFs Responded to Market Slide

<ul>
<li>Broad declines set a cautious tone as only a handful of single stocks avoided losses last week amid rising option volumes.</li>
<li>Market breadth deteriorated sharply, marking the weakest showing of the past year and highlighting the pressure across Hong Kong equities.</li>
<li>We highlight companies reporting next week in what shapes up as a busy week ahead with Baba and Meituan both reporting.</li>
</ul>


Broad declines set a cautious tone as only a handful of single stocks avoided losses last week amid rising option volumes.
Market breadth deteriorated sharply, marking the weakest showing of the past year and highlighting the pressure across Hong Kong equities.
We highlight companies reporting next week in what shapes up as a busy week ahead with Baba and Meituan both reporting.


Hong Kong Single Stock Options Weekly (Nov 17 – 21): Breadth Collapses, Put Volumes Rise

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>As <a href="https://www.smartkarma.com/profiles/brian-freitas" target="_blank" data-smartkarma-citation="accounts:4091" rel="noopener">Brian Freitas</a> recently outlined, the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> changes will be announced November 21st (this Friday) and take effect on December 6th.</li>
<li>Brian predicted index additions and no deletions. As with all rebalances, inflows, outflows, and adjustments could trigger volatility. Our models, trained on decades of market data, help forecast these moves.</li>
<li>Currently 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> is in a mild WEEKLY correction, after a previous modest 2-week rally. <strong>We are still waiting for a meaningful correction, after the recent monster rally</strong>.</li>
</ul>


As Brian Freitas recently outlined, the Hang Seng Index (HSI INDEX) changes will be announced November 21st (this Friday) and take effect on December 6th.
Brian predicted index additions and no deletions. As with all rebalances, inflows, outflows, and adjustments could trigger volatility. Our models, trained on decades of market data, help forecast these moves.
Currently the HSI INDEX is in a mild WEEKLY correction, after a previous modest 2-week rally. We are still waiting for a meaningful correction, after the recent monster rally.


HSI INDEX Tactical Outlook Ahead of December 6 Rebalance

Hong Kong

The Hang Seng Index is a free-float capitalization-weighted index of a selection of companies from the Stock Exchange of Hong Kong. The components of the index are divided into four subindices: Commerce and Industry, Finance, Utilities, and Properties. The index was developed with a base level of 100 as of July 31, 1964.

Hang Seng Index (HSI INDEX)

Macro Monthly (December): Seasonal Strength, Vol Selling Edges and a Notable Nifty Setup

December’s uneven but historically positive pattern sets the backdrop, with several markets offering strong vol selling edges and Nifty presenting...

John Ley

Hong Kong Single Stock Options Weekly (Nov 24 – 28): Broad Decline in Implied Vol

HSI rebounds with stronger breadth and steady activity, implied vols lower in quiet market. Materials sector may offer short vol opportunities.

John Ley

Market Sell-Off (Oct 10): How Asian Index ETFs Responded to Market Slide

The powerful surge in the silver price on Friday, which propelled it to new multi-year highs, has drawn significant market attention to placing...

John Ley

Hong Kong Single Stock Options Weekly (Nov 17 – 21): Breadth Collapses, Put Volumes Rise

Hong Kong single stocks faced sharp declines and the weakest breadth of the year, while option flows strengthened and implied vols softened.

John Ley

HSI INDEX Tactical Outlook Ahead of December 6 Rebalance

Dec 6th HSI Index rebalance changes will be announced this Friday. Expect volatility around the announcement date. Our model-based analysis...

Nico Rosti

Macro Monthly (December): Seasonal Strength, Vol Selling Edges and a Notable Nifty Setup

December’s uneven but historically positive pattern sets the backdrop, with several markets offering strong vol selling edges and Nifty presenting...

John Ley

Hong Kong Single Stock Options Weekly (Nov 24 – 28): Broad Decline in Implied Vol

​HSI rebounds with stronger breadth and steady activity, implied vols lower in quiet market. Materials sector may offer short vol opportunities.

John Ley

Market Sell-Off (Oct 10): How Asian Index ETFs Responded to Market Slide

The powerful surge in the silver price on Friday, which propelled it to new multi-year highs, has drawn significant market attention to placing...

John Ley

Hong Kong Single Stock Options Weekly (Nov 17 – 21): Breadth Collapses, Put Volumes Rise

Hong Kong single stocks faced sharp declines and the weakest breadth of the year, while option flows strengthened and implied vols softened.

John Ley

HSI INDEX Tactical Outlook Ahead of December 6 Rebalance

Dec 6th HSI Index rebalance changes will be announced this Friday. Expect volatility around the announcement date. Our model-based analysis...

Nico Rosti

HSI rebounds with stronger breadth and steady activity, implied vols lower in quiet market. Materials sector may offer short vol opportunities.