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>
<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

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<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?

<ul>
<li>After a 33.9% rally off the April lows HSI is starting to flash caution across a variety of metrics.</li>
<li>Weak breadth and option exuberance at the single stock level are additional areas of concern.</li>
<li>We outline the technical backdrop and recommend hedge strategies given the current level of implied vols.</li>
</ul>


After a 33.9% rally off the April lows HSI is starting to flash caution across a variety of metrics.
Weak breadth and option exuberance at the single stock level are additional areas of concern.
We outline the technical backdrop and recommend hedge strategies given the current level of implied vols.


HSI: Extended Run Faces Hurdles, Hedge Strategies Recommended

<ul>
<li>HSI tested new highs before fading, as weak breadth and strong option volumes highlighted diverging signals in Hong Kong equities.</li>
<li>Technically, HSI may have reached a level from which minor corrections have started.</li>
<li>Option trading activity surged, reaching its busiest day since November, even as overall market momentum faltered.</li>
</ul>


HSI tested new highs before fading, as weak breadth and strong option volumes highlighted diverging signals in Hong Kong equities.
Technically, HSI may have reached a level from which minor corrections have started.
Option trading activity surged, reaching its busiest day since November, even as overall market momentum faltered.


Hong Kong Single Stock Options Weekly (Sept 15 – 19): Caution Signs Emerge as HSI Stretches Higher

<ul>
<li>HSI broke out to fresh four-year highs, driven by Alibaba’s surge, with broad-based gains and rising single stock option activity.</li>
<li>Market breadth strengthened across both price action and single stock options flows.</li>
<li>Spot-Up/Vol-Up dynamics defined the week, as sectors with strong gains also posted the largest implied vol increases.</li>
</ul>


HSI broke out to fresh four-year highs, driven by Alibaba’s surge, with broad-based gains and rising single stock option activity.
Market breadth strengthened across both price action and single stock options flows.
Spot-Up/Vol-Up dynamics defined the week, as sectors with strong gains also posted the largest implied vol increases.


Hong Kong Single Stock Options Weekly (Sept 08 – 12): Alibaba Surge Helps Push HSI to Four-Year High

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 | 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

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

HSI: Extended Run Faces Hurdles, Hedge Strategies Recommended

With HSI extended, breadth deteriorating, and option volumes exuberant, the setup points to a timely window for implementing hedges.

John Ley

Hong Kong Single Stock Options Weekly (Sept 15 – 19): Caution Signs Emerge as HSI Stretches Higher

HSI tested fresh highs before fading, with weakening breadth and a surge in single stock option activity pointing to diverging signals across Hong...

John Ley

Hong Kong Single Stock Options Weekly (Sept 08 – 12): Alibaba Surge Helps Push HSI to Four-Year High

Alibaba’s rally fueled HSI’s breakout to four-year highs, with market breadth strengthening, option activity rising, and implied vols climbing...

John Ley

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

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

HSI: Extended Run Faces Hurdles, Hedge Strategies Recommended

With HSI extended, breadth deteriorating, and option volumes exuberant, the setup points to a timely window for implementing hedges.

John Ley

Hong Kong Single Stock Options Weekly (Sept 15 – 19): Caution Signs Emerge as HSI Stretches Higher

HSI tested fresh highs before fading, with weakening breadth and a surge in single stock option activity pointing to diverging signals across Hong...

John Ley

Hong Kong Single Stock Options Weekly (Sept 08 – 12): Alibaba Surge Helps Push HSI to Four-Year High

Alibaba’s rally fueled HSI’s breakout to four-year highs, with market breadth strengthening, option activity rising, and implied vols climbing...

John Ley

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