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>Sleepy week highlighted by small closing price ranges that were among the 3-5 quietest of the year.</li>
<li>Volumes across both indexes were down about 1/3 from the prior week.</li>
<li>Despite low volumes open interest expanded across out-of-the-money options for both Puts and Calls.</li>
</ul>


Sleepy week highlighted by small closing price ranges that were among the 3-5 quietest of the year.
Volumes across both indexes were down about 1/3 from the prior week.
Despite low volumes open interest expanded across out-of-the-money options for both Puts and Calls.


EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 16-20

<ul>
<li>Both HSI and HSCEI show characteristics of being short gamma at higher strikes highlighted by Mondays pop in spot and vol in both markets.</li>
<li>Implied vol did a complete round-trip closing virtually unchanged from last week despite spot holding on to modest gains on the week and large high – low range.</li>
<li>Up-Strike Calls look to have been added in both markets which will help maintain the positive spot vol correlation.</li>
</ul>


Both HSI and HSCEI show characteristics of being short gamma at higher strikes highlighted by Mondays pop in spot and vol in both markets.
Implied vol did a complete round-trip closing virtually unchanged from last week despite spot holding on to modest gains on the week and large high – low range.
Up-Strike Calls look to have been added in both markets which will help maintain the positive spot vol correlation.


EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 09-13

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

Zhejiang Leapmotor Technologie / Index Rebalance

<ul>
<li>There could be 1 change for the <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index (HSTECH INDEX)</a> in December. Announcement is on 21 November with implementation at the close on 5 December.</li>
<li>Depending on the stocks included in the universe, <a href="https://www.smartkarma.com/entities/asm-pacific-technology-ltd" target="_blank" data-smartkarma-citation="entities:15061:1" rel="noopener">ASM Pacific Technology (522 HK)</a> could be deleted and that could lead to <a href="https://www.smartkarma.com/entities/zhejiang-leapmotor-technologie" target="_blank" data-smartkarma-citation="entities:35968:1" rel="noopener">Zhejiang Leapmotor Technologie (9863 HK)</a>'s inclusion. </li>
<li>If the add and deletes are as forecast, one-way turnover will be 4.25% and will result in a round-trip trade of HK$25.3bn (US$3.22bn).</li>
</ul>


There could be 1 change for the Hang Seng TECH Index (HSTECH INDEX) in December. Announcement is on 21 November with implementation at the close on 5 December.
Depending on the stocks included in the universe, ASM Pacific Technology (522 HK) could be deleted and that could lead to Zhejiang Leapmotor Technologie (9863 HK)'s inclusion. 
If the add and deletes are as forecast, one-way turnover will be 4.25% and will result in a round-trip trade of HK$25.3bn (US$3.22bn).


HSTECH Index Rebalance Preview: Can Leapmotor Leap into the Index?

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>This Insight analyzes <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> tailor-made option strategies traded between December 9-13, covering strategy analysis, trends, highlights, and volatility context.</li>
<li>Last week saw high activity with over 5,000 option contracts traded as combinations; the Iron Condor was notably popular, particularly on Monday and Tuesday.</li>
<li>The highest premium earned was for a January '25 Iron Condor. The largest trade was a December '24 Bull Call Spread, reflecting the popularity of bullish and long volatility strategies.</li>
</ul>


This Insight analyzes Hang Seng Index (HSI INDEX) tailor-made option strategies traded between December 9-13, covering strategy analysis, trends, highlights, and volatility context.
Last week saw high activity with over 5,000 option contracts traded as combinations; the Iron Condor was notably popular, particularly on Monday and Tuesday.
The highest premium earned was for a January '25 Iron Condor. The largest trade was a December '24 Bull Call Spread, reflecting the popularity of bullish and long volatility strategies.


EQD | Hang Seng (HSI Index) - Popular Option Strategies and Top Trades, Soaring with the Iron Condor

<ul>
<li>Last week, 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> gained 2.3% an increase while volatility slightly declined by 0.2%. The volatility surface provides the context for last week's most popular strategies, </li>
<li>Low implied volatility and a flat term structure support long volatility strategies and Calendar Spreads. In a bullish sentiment shift, almost half the strategies reflect a bullish view.</li>
<li>The largest volume trade, an Iron Condor, is a rare example of a strategy generating premium income. This insight provides both aggregate data analysis and drill-down into individual trade parameters.</li>
</ul>


Last week, the Hang Seng Index (HSI INDEX) gained 2.3% an increase while volatility slightly declined by 0.2%. The volatility surface provides the context for last week's most popular strategies, 
Low implied volatility and a flat term structure support long volatility strategies and Calendar Spreads. In a bullish sentiment shift, almost half the strategies reflect a bullish view.
The largest volume trade, an Iron Condor, is a rare example of a strategy generating premium income. This insight provides both aggregate data analysis and drill-down into individual trade parameters.


EQD | Hang Seng (HSI Index) - Most Popular Option Strategies, Calendar Strategies on the Rise

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 December 16-20

One of the smallest weekly ranges of the past year - if you were short volatility, it was feet on the desk; if you were long volatility, it was...

John Ley

EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 09-13

Both HSI and HSCEI show signs of being short gamma at higher strikes, with implied vol being very reactive to upside price moves.

John Ley

HSTECH Index Rebalance Preview: Can Leapmotor Leap into the Index?

Leapmotor could be added to the HSTECH in Dec, replacing ASMPT - it's a close call. Impact on the stocks is pretty big. Even with no stock changes,...

Brian Freitas

EQD | Hang Seng (HSI Index) - Popular Option Strategies and Top Trades, Soaring with the Iron Condor

Hang Seng Index option strategies traded Dec 9-13, highlighting top trades and providing volatility context. Iron Condor proving to be popular.

Gaudenz Schneider

EQD | Hang Seng (HSI Index) - Most Popular Option Strategies, Calendar Strategies on the Rise

Last week, Hang Seng Index gained 2.3% with a slight decrease in volatility. Low implied volatility supports long volatility strategies and...

Gaudenz Schneider

EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 16-20

One of the smallest weekly ranges of the past year - if you were short volatility, it was feet on the desk; if you were long volatility, it was...

John Ley

EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 09-13

​Both HSI and HSCEI show signs of being short gamma at higher strikes, with implied vol being very reactive to upside price moves.

John Ley

HSTECH Index Rebalance Preview: Can Leapmotor Leap into the Index?

Leapmotor could be added to the HSTECH in Dec, replacing ASMPT - it's a close call. Impact on the stocks is pretty big. Even with no stock changes,...

Brian Freitas

EQD | Hang Seng (HSI Index) - Popular Option Strategies and Top Trades, Soaring with the Iron Condor

Hang Seng Index option strategies traded Dec 9-13, highlighting top trades and providing volatility context. Iron Condor proving to be popular.

Gaudenz Schneider

EQD | Hang Seng (HSI Index) - Most Popular Option Strategies, Calendar Strategies on the Rise

​Last week, Hang Seng Index gained 2.3% with a slight decrease in volatility. Low implied volatility supports long volatility strategies and...

Gaudenz Schneider

Both HSI and HSCEI show signs of being short gamma at higher strikes, with implied vol being very reactive to upside price moves.

Last week, Hang Seng Index gained 2.3% with a slight decrease in volatility. Low implied volatility supports long volatility strategies and...