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

China Petroleum & Chemical / Equity Derivatives

<ul>
<li>With Sinopec down 8.47% since the last quarter, we take an in-depth look at price patterns, implied vol, and the earnings implied jump compared to historical outcomes.</li>
<li>Implied vols stand out across a variety of metrics including relative valuation.</li>
<li>Examining average absolute price moves across quarters, Q1 tends to have the second-largest average absolute move.</li>
</ul>


With Sinopec down 8.47% since the last quarter, we take an in-depth look at price patterns, implied vol, and the earnings implied jump compared to historical outcomes.
Implied vols stand out across a variety of metrics including relative valuation.
Examining average absolute price moves across quarters, Q1 tends to have the second-largest average absolute move.


Sinopec (386) Earnings: Volatility Setup and Post-Release Price Behavior

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>One-Month implied volatility for <a href="https://www.smartkarma.com/entities/meituan" target="_blank" data-smartkarma-citation="entities:26970:1" rel="noopener">Meituan (3690 HK)</a> has decreased from recent highs to around its three-year median, while realized volatility, a lagging indicator, remains significantly higher at the 87th percentile.</li>
<li>The term structure is flat, with May and June implied volatilities nearly identical, indicating no significant impact from the upcoming earnings announcement in early June.</li>
<li>Open interest is spread over the next nine months, with April calls concentrated at strikes 145 to 150 and deep out of the money calls at strikes 180 to 200.</li>
</ul>


One-Month implied volatility for Meituan (3690 HK) has decreased from recent highs to around its three-year median, while realized volatility, a lagging indicator, remains significantly higher at the 87th percentile.
The term structure is flat, with May and June implied volatilities nearly identical, indicating no significant impact from the upcoming earnings announcement in early June.
Open interest is spread over the next nine months, with April calls concentrated at strikes 145 to 150 and deep out of the money calls at strikes 180 to 200.


Meituan (3690 HK): Options Insights and Analysis, Skew Shift Amid Earnings Calm

<ul>
<li>Over the past five trading days, <a href="https://www.smartkarma.com/entities/meituan" target="_blank" data-smartkarma-citation="entities:26970:1" rel="noopener">Meituan (3690 HK)</a> multi-leg option strategies showcased a variety of approaches. Strategy highlights are provided.</li>
<li>Long volatility strategies dominate, with the ratio of bearish vs. bullish positions approximately 2:1.</li>
<li>Diagonal Spreads account for 25% of all strategies and can make for near self-financing strategies. </li>
</ul>


Over the past five trading days, Meituan (3690 HK) multi-leg option strategies showcased a variety of approaches. Strategy highlights are provided.
Long volatility strategies dominate, with the ratio of bearish vs. bullish positions approximately 2:1.
Diagonal Spreads account for 25% of all strategies and can make for near self-financing strategies. 


Meituan (3690 HK): Top Trades and Strategic Insights from HKEX Options Trading

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

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/byd-co-ltd-h" target="_blank" data-smartkarma-citation="entities:20962:1" rel="noopener">BYD (1211 HK)</a> raised US$5.6bn in a secondary offering a few weeks ago and the stock is trading a lot higher than the placement price.</li>
<li>Buying from global index trackers is done, but there will be more passive buying from <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)</a> and <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index (HSCEI)</a> trackers later this month.</li>
<li>With the release of the God's Eye advanced driver-assistance system (ADAS), the stock could be added to 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 June, bringing more passive inflows.</li>
</ul>



BYD (1211 HK) raised US$5.6bn in a secondary offering a few weeks ago and the stock is trading a lot higher than the placement price.
Buying from global index trackers is done, but there will be more passive buying from Hang Seng Index (HSI) and Hang Seng China Enterprises Index (HSCEI) trackers later this month.
With the release of the God's Eye advanced driver-assistance system (ADAS), the stock could be added to the Hang Seng TECH Index (HSTECH INDEX) in June, bringing more passive inflows.


BYD (1211 HK): God's Eye & Potential HSTECH Index Inclusion

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

Rikki Malik

Cross Asset Strategy

<ul>
<li>A review of recent events/data impacting our investment themes or outlook</li>
<li>Gold is now considered the most crowded trade. Should we be worried?</li>
<li>Who is going to buy US government bonds going forward?</li>
</ul>


A review of recent events/data impacting our investment themes or outlook
Gold is now considered the most crowded trade. Should we be worried?
Who is going to buy US government bonds going forward?


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)

Sinopec (386) Earnings: Volatility Setup and Post-Release Price Behavior

Sinopec's recent 8.47% drop prompts analysis of price patterns, implied vols, and earnings implications, with Q1 historically being the quarter...

John Ley

Meituan (3690 HK): Options Insights and Analysis, Skew Shift Amid Earnings Calm

Meituan's implied volatility has dropped to median levels, but realized volatility remains high. Flat term structure suggests little impact from...

Gaudenz Schneider

Meituan (3690 HK): Top Trades and Strategic Insights from HKEX Options Trading

Meituan's multi-leg option strategies show dominance of long volatility and 25% use of Diagonal Spreads, providing a variety of approaches in the...

Gaudenz Schneider

BYD (1211 HK): God's Eye & Potential HSTECH Index Inclusion

BYD has corrected recently. There could be passive buying in the stock later this week as the index shares increase (following the placement) for...

Brian Freitas

Overview #23 Gold, Bonds and the USD

A review of recent events/data impacting our investment themes and outlook. We look at recent investor sentiment towards gold, the USD, bonds and...

Rikki Malik

Sinopec (386) Earnings: Volatility Setup and Post-Release Price Behavior

​Sinopec's recent 8.47% drop prompts analysis of price patterns, implied vols, and earnings implications, with Q1 historically being the quarter...

John Ley

Meituan (3690 HK): Options Insights and Analysis, Skew Shift Amid Earnings Calm

​Meituan's implied volatility has dropped to median levels, but realized volatility remains high. Flat term structure suggests little impact from...

Gaudenz Schneider

Meituan (3690 HK): Top Trades and Strategic Insights from HKEX Options Trading

​Meituan's multi-leg option strategies show dominance of long volatility and 25% use of Diagonal Spreads, providing a variety of approaches in the...

Gaudenz Schneider

BYD (1211 HK): God's Eye & Potential HSTECH Index Inclusion

BYD has corrected recently. There could be passive buying in the stock later this week as the index shares increase (following the placement) for...

Brian Freitas

Overview #23 Gold, Bonds and the USD

A review of recent events/data impacting our investment themes and outlook. We look at recent investor sentiment towards gold, the USD, bonds and...

Rikki Malik

Sinopec's recent 8.47% drop prompts analysis of price patterns, implied vols, and earnings implications, with Q1 historically being the quarter...

Meituan's implied volatility has dropped to median levels, but realized volatility remains high. Flat term structure suggests little impact from...

Meituan's multi-leg option strategies show dominance of long volatility and 25% use of Diagonal Spreads, providing a variety of approaches in the...