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>Hong Kong equities erased last week’s gains, with further losses on Monday likely after Trump’s social media post Friday morning.</li>
<li>Weakness was not widespread, though there was a sharp reversal in breadth week over week.</li>
<li>Option volumes and ratios suggest there’s little concern in the market at this point.</li>
</ul>


Hong Kong equities erased last week’s gains, with further losses on Monday likely after Trump’s social media post Friday morning.
Weakness was not widespread, though there was a sharp reversal in breadth week over week.
Option volumes and ratios suggest there’s little concern in the market at this point.


Hong Kong Single Stock Options Weekly (Oct 06 – 10): Options Calm But Stormy Seas Ahead

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

<ul>
<li>In our <a href="https://www.smartkarma.com/insights/hang-seng-index-hsi-tactical-outlook-small-pulback-or-large-pullback" target="_blank" rel="noopener">previous insight dedicated to the Hang Seng Index</a> we formulated a key question: is this going to be a small pullback or a large pullback? 
</li>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a> pulled back just for 1 week, small pullback, our models were reset. But this week the index pulled back again, almost reaching Q2 support (mildly oversold).</li>
<li>Then, on Friday, Trump tweeted something against China, after the Asian markets closed and all hell broke loose. The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a> Oct. futures tanked to 25300. Let's discuss support zones...</li>
</ul>


In our previous insight dedicated to the Hang Seng Index we formulated a key question: is this going to be a small pullback or a large pullback? 

The HSI pulled back just for 1 week, small pullback, our models were reset. But this week the index pulled back again, almost reaching Q2 support (mildly oversold).
Then, on Friday, Trump tweeted something against China, after the Asian markets closed and all hell broke loose. The HSI Oct. futures tanked to 25300. Let's discuss support zones...


HSI Tactical Outlook: Maybe It Is a Large Pullback...

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899" rel="noopener">Hang Seng Index (HSI INDEX)</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)</a> and <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909" rel="noopener">Nikkei 225 (NKY INDEX)</a> all have elevated implied vols vs their peers and vs historical observations for October.</li>
<li>
<a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617" rel="noopener">NIFTY Index (NIFTY INDEX)</a> , <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a> and <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>  implied vols are on the low end of what is typically realized in October.</li>
<li>Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.</li>
</ul>



Hang Seng Index (HSI INDEX), Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) all have elevated implied vols vs their peers and vs historical observations for October.

NIFTY Index (NIFTY INDEX) , S&amp;P 500 INDEX (SPX INDEX) and S&amp;P/ASX 200 (AS51 INDEX)  implied vols are on the low end of what is typically realized in October.
Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.


EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

<ul>
<li>HSI extended gains to fresh highs, supported by strong breadth, surging Materials and IT names, and rising single stock option activity</li>
<li>Broad gains across all sectors highlighted strong momentum, with leadership from Materials and Information Technology.</li>
<li>We examine the distribution of returns since the April lows finding that the tails are distinctly unbalanced.</li>
</ul>


HSI extended gains to fresh highs, supported by strong breadth, surging Materials and IT names, and rising single stock option activity
Broad gains across all sectors highlighted strong momentum, with leadership from Materials and Information Technology.
We examine the distribution of returns since the April lows finding that the tails are distinctly unbalanced.


Hong Kong Single Stock Options (Sept 29 – Oct 03): Materials and IT Lead Amid Rising Option Activity

<ul>
<li>As suggested in our <a href="https://www.smartkarma.com/insights/hang-seng-index-hsi-profit-targets-has-the-rally-topped" target="_blank" rel="noopener">previous insight</a>, 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> rally was at risk of pulling back: a small correction began last week.</li>
<li>The big question now: is this just a minor 1-week pullback (a buy-the-dip opportunity)? or a larger pullback, possibly directed towards 23k?</li>
<li>This insight discusses the various tactical scenarios, including profit targets for a continuation of the rally from here.</li>
</ul>


As suggested in our previous insight, the Hang Seng Index (HSI INDEX) rally was at risk of pulling back: a small correction began last week.
The big question now: is this just a minor 1-week pullback (a buy-the-dip opportunity)? or a larger pullback, possibly directed towards 23k?
This insight discusses the various tactical scenarios, including profit targets for a continuation of the rally from here.


Hang Seng Index (HSI) Tactical Outlook: Small Pulback or Large Pullback?

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 (Oct 06 – 10): Options Calm But Stormy Seas Ahead

Hong Kong equities finished the week on a down note which was exacerbated Friday morning in the North American markets with U.S. President Trump...

John Ley

HSI Tactical Outlook: Maybe It Is a Large Pullback...

Analysis of the Hang Seng Index support/entry zones: where to buy after the sell-off triggered by Friday's Trump tweets against China. This bout...

Nico Rosti

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

Hong Kong Single Stock Options (Sept 29 – Oct 03): Materials and IT Lead Amid Rising Option Activity

HSI extended its rally with broad-based gains, sector leadership from Materials and IT, and option activity climbing to the high end of its range.

John Ley

Hang Seng Index (HSI) Tactical Outlook: Small Pulback or Large Pullback?

The current HSI pullback can be a tactical dip for re-entry or a deeper (overdue) correction, possibly to 23k. We analyze quantitatively supports...

Nico Rosti

Hong Kong Single Stock Options Weekly (Oct 06 – 10): Options Calm But Stormy Seas Ahead

Hong Kong equities finished the week on a down note which was exacerbated Friday morning in the North American markets with U.S. President Trump...

John Ley

HSI Tactical Outlook: Maybe It Is a Large Pullback...

​Analysis of the Hang Seng Index support/entry zones: where to buy after the sell-off triggered by Friday's Trump tweets against China. This bout...

Nico Rosti

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

​Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

Hong Kong Single Stock Options (Sept 29 – Oct 03): Materials and IT Lead Amid Rising Option Activity

HSI extended its rally with broad-based gains, sector leadership from Materials and IT, and option activity climbing to the high end of its range.

John Ley

Hang Seng Index (HSI) Tactical Outlook: Small Pulback or Large Pullback?

The current HSI pullback can be a tactical dip for re-entry or a deeper (overdue) correction, possibly to 23k. We analyze quantitatively supports...

Nico Rosti

Analysis of the Hang Seng Index support/entry zones: where to buy after the sell-off triggered by Friday's Trump tweets against China. This bout...

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...