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>Broad based weakness, less than ½ of optionable stocks were up on the week with the average size of losses larger than average size of gains.</li>
<li>Total single stock Put option volume the highest in the past 4 months pushing the Put/Call ratio to a local extreme. </li>
<li>Laggards from the rally holding on, rally leaders broadly weak.</li>
</ul>


Broad based weakness, less than ½ of optionable stocks were up on the week with the average size of losses larger than average size of gains.
Total single stock Put option volume the highest in the past 4 months pushing the Put/Call ratio to a local extreme. 
Laggards from the rally holding on, rally leaders broadly weak.


Hong Kong Single Stock Options Weekly (Feb 24 – 28): Broad Deterioration

<ul>
<li>HSI down 1.64% on the week but under the hood volatility was percolating with a larger weekly range and 2 daily moves &gt; 3%.</li>
<li>Volatilities rise across the board and shift in the skew favoring Puts.</li>
<li>Trading dynamics between spot and implied vol continue to evolve and seasonal setup over the next two weeks not favourable for HSI.</li>
</ul>


HSI down 1.64% on the week but under the hood volatility was percolating with a larger weekly range and 2 daily moves &gt; 3%.
Volatilities rise across the board and shift in the skew favoring Puts.
Trading dynamics between spot and implied vol continue to evolve and seasonal setup over the next two weeks not favourable for HSI.


HSI Index Options Weekly (Feb 24-28): Volatility Increases as Rally Reverses

<ul>
<li>Monthly deep-dive into price and vol metrics across Asian indexes as well as macro assets.</li>
<li>Provides an in-depth look at the current state of the markets as well as how volatility and price are likely to unfold for March.</li>
<li>HSI, Nifty, SP500, SPASX200 and Gold are all highlighted as having tradeable patterns in March.</li>
</ul>


Monthly deep-dive into price and vol metrics across Asian indexes as well as macro assets.
Provides an in-depth look at the current state of the markets as well as how volatility and price are likely to unfold for March.
HSI, Nifty, SP500, SPASX200 and Gold are all highlighted as having tradeable patterns in March.


Macro Vol Monthly - March:  Weakness Could Continue into Mid-March

<ul>
<li>Mixed bag with narrowing participation, widening distribution of returns but with the highest total option volume since November.</li>
<li>Option volumes over the past 2 weeks are 80% higher than the prior 3-month average.</li>
<li>Implied vols weaker across the board with 9 of 11 sectors seeing softer implieds.</li>
</ul>


Mixed bag with narrowing participation, widening distribution of returns but with the highest total option volume since November.
Option volumes over the past 2 weeks are 80% higher than the prior 3-month average.
Implied vols weaker across the board with 9 of 11 sectors seeing softer implieds.


Hong Kong Single Stock Options Weekly (February 17 – 21): Option Volumes Surge as Rally Narrows

<ul>
<li>The scorching rally continues with Alibaba saving a lackluster week with huge earnings driven move on Friday.  </li>
<li>Implied vols are in the 85th percentile and struggling to move higher with spot.</li>
<li>Third week in a row where Call volume as a percent of total slipped indicating that buying fatigue might be setting in.</li>
</ul>


The scorching rally continues with Alibaba saving a lackluster week with huge earnings driven move on Friday.  
Implied vols are in the 85th percentile and struggling to move higher with spot.
Third week in a row where Call volume as a percent of total slipped indicating that buying fatigue might be setting in.


HSI Index Options Weekly (Feb 17-21): Alibaba Reignites Momentum

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)

Hong Kong Single Stock Options Weekly (Feb 24 – 28): Broad Deterioration

The market saw broad weakness with less than half of optionable stocks up for the week. Put option volumes at 4-month high, pushing Put/Call ratio...

John Ley

HSI Index Options Weekly (Feb 24-28): Volatility Increases as Rally Reverses

HSI down 1.64% with increased volatility and shift towards Puts, implied vol dynamics evolving with unfavorable seasonal setup ahead.

John Ley

Macro Vol Monthly - March: Weakness Could Continue into Mid-March

March market outlook for price and volatility across Asian indexes and macro assets, highlighting tradeable patterns in HSI, Nifty, SP500,...

John Ley

Hong Kong Single Stock Options Weekly (February 17 – 21): Option Volumes Surge as Rally Narrows

Option volumes have surged in recent weeks, with narrowing participation and softer implied volatility in most sectors.

John Ley

HSI Index Options Weekly (Feb 17-21): Alibaba Reignites Momentum

Alibaba's strong earnings give the maket a jolt as implied vols struggle to rise and Call buying declines, suggesting buying fatigue may be...

John Ley

Hong Kong Single Stock Options Weekly (Feb 24 – 28): Broad Deterioration

​The market saw broad weakness with less than half of optionable stocks up for the week. Put option volumes at 4-month high, pushing Put/Call ratio...

John Ley

HSI Index Options Weekly (Feb 24-28): Volatility Increases as Rally Reverses

​HSI down 1.64% with increased volatility and shift towards Puts, implied vol dynamics evolving with unfavorable seasonal setup ahead.

John Ley

Macro Vol Monthly - March: Weakness Could Continue into Mid-March

​March market outlook for price and volatility across Asian indexes and macro assets, highlighting tradeable patterns in HSI, Nifty, SP500,...

John Ley

Hong Kong Single Stock Options Weekly (February 17 – 21): Option Volumes Surge as Rally Narrows

​Option volumes have surged in recent weeks, with narrowing participation and softer implied volatility in most sectors.

John Ley

HSI Index Options Weekly (Feb 17-21): Alibaba Reignites Momentum

​Alibaba's strong earnings give the maket a jolt as implied vols struggle to rise and Call buying declines, suggesting buying fatigue may be...

John Ley

The market saw broad weakness with less than half of optionable stocks up for the week. Put option volumes at 4-month high, pushing Put/Call ratio...

HSI down 1.64% with increased volatility and shift towards Puts, implied vol dynamics evolving with unfavorable seasonal setup ahead.

March market outlook for price and volatility across Asian indexes and macro assets, highlighting tradeable patterns in HSI, Nifty, SP500,...

Option volumes have surged in recent weeks, with narrowing participation and softer implied volatility in most sectors.

Alibaba's strong earnings give the maket a jolt as implied vols struggle to rise and Call buying declines, suggesting buying fatigue may be...