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>Baba has rallied 26.6% off the April low but remains 6.82% below its March high. Against this backdrop, we examine implied vol, the earnings-implied jump, and post-earnings price patterns.</li>
<li>Implied volatility and the implied jump are both elevated relative to historical norms.</li>
<li>Given the setup, we suggest a short-vega hedge that offers downside protection while preserving limited upside participation.</li>
</ul>


Baba has rallied 26.6% off the April low but remains 6.82% below its March high. Against this backdrop, we examine implied vol, the earnings-implied jump, and post-earnings price patterns.
Implied volatility and the implied jump are both elevated relative to historical norms.
Given the setup, we suggest a short-vega hedge that offers downside protection while preserving limited upside participation.


BABA (9988.HK) Earnings: Volatility Setup, Post-Release Price Behavior and Hedge Recommendation

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

<ul>
<li>Post market close on Friday, Hang Seng Indexes will announce the changes for 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> that will be implemented at the close on 6 June.</li>
<li>With no constituent changes, one-way turnover will be 1.9% with 3 stocks being capped and FAF changes for a few stocks due to a methodology change for Secondary Listings. </li>
<li>We highlight 7 stocks that have a higher probability of being added to the index. Everything depends on the index committee, and we would not be surprised by zero changes.</li>
</ul>


Post market close on Friday, Hang Seng Indexes will announce the changes for the Hang Seng Index (HSI INDEX) that will be implemented at the close on 6 June.
With no constituent changes, one-way turnover will be 1.9% with 3 stocks being capped and FAF changes for a few stocks due to a methodology change for Secondary Listings. 
We highlight 7 stocks that have a higher probability of being added to the index. Everything depends on the index committee, and we would not be surprised by zero changes.


Hang Seng Index (HSI) Rebalance Preview: Inclusion Candidates for June25

<ul>
<li>Tencent has rallied 17.29% off the April low—against this backdrop, we analyze implied vol, the earnings-implied jump, and post-earnings price patterns.</li>
<li>Relative to past earnings cycles, current implied vol screens lower across multiple timeframes and spread metrics.</li>
<li>Post-Earnings price behavior reveals some non-intuitive dynamics worthy of consideration.</li>
</ul>


Tencent has rallied 17.29% off the April low—against this backdrop, we analyze implied vol, the earnings-implied jump, and post-earnings price patterns.
Relative to past earnings cycles, current implied vol screens lower across multiple timeframes and spread metrics.
Post-Earnings price behavior reveals some non-intuitive dynamics worthy of consideration.


Tencent (700.HK) Q1 Earnings: Volatility Setup and Post-Release Price Behavior

<ul>
<li>The review period for the June rebalance of the <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a> ended on 31 March, the results will be announced on 16 May and will be implemented on 6 June.</li>
<li>
<a href="https://www.smartkarma.com/entities/pop-mart-international-group-l" target="_blank" data-smartkarma-citation="entities:29016:1" rel="noopener">Pop Mart International Group L (9992 HK)</a> could be added to the index while <a href="https://www.smartkarma.com/entities/sunny-optical-technology-group" target="_blank" data-smartkarma-citation="entities:13363:1" rel="noopener">Sunny Optical Technology Group (2382 HK)</a> could be deleted from the index.</li>
<li>There are other stocks with big flows due to a change in the FreeFloat-Adjusted Factor (FAF) methodology for Secondary Listings that will be implemented from the rebalance in June.</li>
</ul>


The review period for the June rebalance of the HSCEI ended on 31 March, the results will be announced on 16 May and will be implemented on 6 June.

Pop Mart International Group L (9992 HK) could be added to the index while Sunny Optical Technology Group (2382 HK) could be deleted from the index.
There are other stocks with big flows due to a change in the FreeFloat-Adjusted Factor (FAF) methodology for Secondary Listings that will be implemented from the rebalance in June.


HSCEI Index Rebalance Preview: Pop Mart (9992 HK) Could Replace Sunny Optical (2382 HK)

Articles from Caixin Global, Caixin Global

Caixin Global

Articles from Caixin Global

Caixin is a media group dedicated to providing financial and business news through periodicals, online content, mobile apps, conferences, books and TV/video programs. Caixin aims to blaze a trail that helps traditional media prosper in the new media age through integrated multimedia platforms.

News from Caixin

Cross Asset Strategy

<ul><li>Autos /In Depth: U.S. tariffs rattle global auto industry</li><li>China-U.S. /: China, U.S. to hold trade talks in Switzerland this week</li><li>Law /: China revises infectious disease law to better protect individual rights</li></ul>

Autos /In Depth: U.S. tariffs rattle global auto industryChina-U.S. /: China, U.S. to hold trade talks in Switzerland this weekLaw /: China revises infectious disease law to better protect individual rights

CX Daily: China Unveils Monetary Support to Stem U.S. Tariff Impact 

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)

BABA (9988.HK) Earnings: Volatility Setup, Post-Release Price Behavior and Hedge Recommendation

Baba has rallied but remains below March high, implied vol and jump are high, consider short-vega hedge for downside protection.

John Ley

Hang Seng Index (HSI) Rebalance Preview: Inclusion Candidates for June25

We highlight 7 potential inclusions for the HSI in June, though the index committee could make no changes as we have seen in the past. Pop Mart...

Brian Freitas

Tencent (700.HK) Q1 Earnings: Volatility Setup and Post-Release Price Behavior

Tencent's upcoming Q1 earnings and recent rally prompts analysis of implied volatility, earnings jumps, and post-earnings price patterns, showing...

John Ley

HSCEI Index Rebalance Preview: Pop Mart (9992 HK) Could Replace Sunny Optical (2382 HK)

Pop Mart could replace Sunny Optical in the index. There will be inflows for NetEase, Trip.com and Baidu due to a FAF methodology change. Pop Mart...

Brian Freitas

CX Daily: China Unveils Monetary Support to Stem U.S. Tariff Impact

TOP STORIES Autos / In Depth: U. S. tariffs rattle global auto industry At an October campaign rally in Michigan, then-presidential candidate...

Caixin Global

BABA (9988.HK) Earnings: Volatility Setup, Post-Release Price Behavior and Hedge Recommendation

​Baba has rallied but remains below March high, implied vol and jump are high, consider short-vega hedge for downside protection.

John Ley

Hang Seng Index (HSI) Rebalance Preview: Inclusion Candidates for June25

We highlight 7 potential inclusions for the HSI in June, though the index committee could make no changes as we have seen in the past. Pop Mart...

Brian Freitas

Tencent (700.HK) Q1 Earnings: Volatility Setup and Post-Release Price Behavior

​Tencent's upcoming Q1 earnings and recent rally prompts analysis of implied volatility, earnings jumps, and post-earnings price patterns, showing...

John Ley

HSCEI Index Rebalance Preview: Pop Mart (9992 HK) Could Replace Sunny Optical (2382 HK)

Pop Mart could replace Sunny Optical in the index. There will be inflows for NetEase, Trip.com and Baidu due to a FAF methodology change. Pop Mart...

Brian Freitas

CX Daily: China Unveils Monetary Support to Stem U.S. Tariff Impact

TOP STORIES Autos / In Depth: U. S. tariffs rattle global auto industry At an October campaign rally in Michigan, then-presidential candidate...

Caixin Global

Baba has rallied but remains below March high, implied vol and jump are high, consider short-vega hedge for downside protection.

Tencent's upcoming Q1 earnings and recent rally prompts analysis of implied volatility, earnings jumps, and post-earnings price patterns, showing...