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>The lead up to Lunar New Year typically sees stronger than normal returns and last week was no exception with the strong rally continuing for both markets.</li>
<li>Price action was more volatile than has been seen lately pushing up short term historic volatility measures with 1M implieds +- 1point.</li>
<li>June 6000 Puts in HSCEI seeing continued trading interest at the June 27 expiry.</li>
</ul>


The lead up to Lunar New Year typically sees stronger than normal returns and last week was no exception with the strong rally continuing for both markets.
Price action was more volatile than has been seen lately pushing up short term historic volatility measures with 1M implieds +- 1point.
June 6000 Puts in HSCEI seeing continued trading interest at the June 27 expiry.


EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 20-24): Seasonals Provide Tailwind

<ul>
<li>All three markets exhibited larger average returns in the 5 days leading up to Lunar New Years compared to out-of-sample data.</li>
<li>The pattern for the period after Lunar New Year does not show the same characteristics as prior to Lunar New Year.</li>
<li>The strongest returns were seen in FXI with average returns 10X out-of-sample average returns.</li>
</ul>


All three markets exhibited larger average returns in the 5 days leading up to Lunar New Years compared to out-of-sample data.
The pattern for the period after Lunar New Year does not show the same characteristics as prior to Lunar New Year.
The strongest returns were seen in FXI with average returns 10X out-of-sample average returns.


EQD| Lunar New Year: Do HSI, KOSPI, and FXI Follow a Pattern?

<ul>
<li>Familiar theme across a lot of names with prices either back to the lows of range over the last 2 months or having given back all of the stimulus gains.</li>
<li>Call volumes back to normal levels making up 57% of all single-stock trading. High volumes for Tencent did not repeat this weak as Tencent trading settled back to normal levels. </li>
<li>Materials were the strongest sector with the median stock rising just under 6%.</li>
</ul>


Familiar theme across a lot of names with prices either back to the lows of range over the last 2 months or having given back all of the stimulus gains.
Call volumes back to normal levels making up 57% of all single-stock trading. High volumes for Tencent did not repeat this weak as Tencent trading settled back to normal levels. 
Materials were the strongest sector with the median stock rising just under 6%.


EQD | Hong Kong Single Stock Options Weekly (January 13 – 17): Stocks at Inflection Point.

<ul>
<li>Abrupt change in course for HSI which bottomed on Monday and moved higher in a straight line the rest of the week. Price action was aided by stabilization in Tencent.</li>
<li>Implied vols were softer on the week and have a fairly large spread to historic vols. Caution warranted for long vol positions as this can persist with holidays dead ahead.  </li>
<li>Call volumes have rebounded to normal levels with the strong price action.</li>
</ul>


Abrupt change in course for HSI which bottomed on Monday and moved higher in a straight line the rest of the week. Price action was aided by stabilization in Tencent.
Implied vols were softer on the week and have a fairly large spread to historic vols. Caution warranted for long vol positions as this can persist with holidays dead ahead.  
Call volumes have rebounded to normal levels with the strong price action.


EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 13-17): Long Vol Gets a Caution Flag

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Thematic (Sector/Industry)

<ul>
<li>Investor positioning and sentiment in the energy sector mean potential upside surprises</li>
<li>The US Natural Gas price breakout will impact European and Asian pricing</li>
<li>Our basket of Asian companies provides a mix of cheap growth and income</li>
</ul>


Investor positioning and sentiment in the energy sector mean potential upside surprises
The US Natural Gas price breakout will impact European and Asian pricing
Our basket of Asian companies provides a mix of cheap growth and income


Natural Gas: The Bridge Fuel, The Breakout Trade - A Basket of Asian Gas Companies

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)

EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 20-24): Seasonals Provide Tailwind

Lunar New Year lead-up boosts market returns, volatility increases with heightened trading interest in June 6000 Puts for HSCEI.

John Ley

EQD| Lunar New Year: Do HSI, KOSPI, and FXI Follow a Pattern?

Markets show higher returns leading up to Lunar New Year, particularly in FXI, but post-holiday period does not exhibit same pattern.

John Ley

EQD | Hong Kong Single Stock Options Weekly (January 13 – 17): Stocks at Inflection Point.

A number of single stocks have seen their prices either return to lows of the past 2 months or have lost all of their stimulus gains. Option...

John Ley

EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 13-17): Long Vol Gets a Caution Flag

HSI saw a sudden upward trend, supported by Tencent's stability. Implied vols softer with caution warranted for long vol positions due to evolving...

John Ley

Natural Gas: The Bridge Fuel, The Breakout Trade - A Basket of Asian Gas Companies

A basket of Asian oil and gas plays poised to benefit as US Natural Gas prices rise and impact global pricing. Basket offers a mix of income and...

Rikki Malik

EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 20-24): Seasonals Provide Tailwind

​Lunar New Year lead-up boosts market returns, volatility increases with heightened trading interest in June 6000 Puts for HSCEI.

John Ley

EQD| Lunar New Year: Do HSI, KOSPI, and FXI Follow a Pattern?

​Markets show higher returns leading up to Lunar New Year, particularly in FXI, but post-holiday period does not exhibit same pattern.

John Ley

EQD | Hong Kong Single Stock Options Weekly (January 13 – 17): Stocks at Inflection Point.

​A number of single stocks have seen their prices either return to lows of the past 2 months or have lost all of their stimulus gains. Option...

John Ley

EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 13-17): Long Vol Gets a Caution Flag

​HSI saw a sudden upward trend, supported by Tencent's stability. Implied vols softer with caution warranted for long vol positions due to evolving...

John Ley

Natural Gas: The Bridge Fuel, The Breakout Trade - A Basket of Asian Gas Companies

A basket of Asian oil and gas plays poised to benefit as US Natural Gas prices rise and impact global pricing. Basket offers a mix of income and...

Rikki Malik

Lunar New Year lead-up boosts market returns, volatility increases with heightened trading interest in June 6000 Puts for HSCEI.

Markets show higher returns leading up to Lunar New Year, particularly in FXI, but post-holiday period does not exhibit same pattern.

A number of single stocks have seen their prices either return to lows of the past 2 months or have lost all of their stimulus gains. Option...

HSI saw a sudden upward trend, supported by Tencent's stability. Implied vols softer with caution warranted for long vol positions due to evolving...