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>Major markets are in a waiting game with vols not monetizing yet implied holding up with US FOMC and the election this week. </li>
<li>Hang Seng Index (HSI INDEX) , Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) have elevated implied vols vs average historical observations for November.</li>
<li>November typically sees strong price performance, particularly in the 3rd week, leading to softer historic vols in that time frame. </li>
</ul>


Major markets are in a waiting game with vols not monetizing yet implied holding up with US FOMC and the election this week. 
Hang Seng Index (HSI INDEX) , Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) have elevated implied vols vs average historical observations for November.
November typically sees strong price performance, particularly in the 3rd week, leading to softer historic vols in that time frame. 


EQD | Asia November Vol Roadmap - The Waiting Game

<ul>
<li>A challenging week for HK single stocks, with weak breadth and sharp losses punctuated by a gap lower to start the week.</li>
<li>Monday marked the highest options volume day of the year, with a spike in the Put/Call ratio and unusual ETF option activity.</li>
<li>Implied vols surged, with the average implied vol percentile at very elevated levels.</li>
</ul>


A challenging week for HK single stocks, with weak breadth and sharp losses punctuated by a gap lower to start the week.
Monday marked the highest options volume day of the year, with a spike in the Put/Call ratio and unusual ETF option activity.
Implied vols surged, with the average implied vol percentile at very elevated levels.


Hong Kong Single Stock Options Weekly (Apr 07–11): Vol Spikes, Breadth Cracks & ETF Activity Surges

<ul>
<li>A volatile week for HSI, with sharp moves in price, volume, and implied volatility concentrated around Monday’s gap lower.</li>
<li>We discuss the shift in spot-vol dynamics and how it may influence short-term vol trading.</li>
<li>Changes in open interest and vol structure are examined in the context of ongoing global tensions.</li>
</ul>


A volatile week for HSI, with sharp moves in price, volume, and implied volatility concentrated around Monday’s gap lower.
We discuss the shift in spot-vol dynamics and how it may influence short-term vol trading.
Changes in open interest and vol structure are examined in the context of ongoing global tensions.


HSI Index Options Weekly (Apr 07–11): Vol Shifts and Early Signs of USD Toxicity

<ul>
<li>A shortened trading week masks the true extent of the HSI sell-off, with global markets down sharply Thursday and Friday</li>
<li>We use related indexes and historical relationships to estimate Monday’s price change and 1M implied vol for HSI.</li>
<li>Put activity surged, with heavy interest at the 19,600 strike potentially adding pressure to price and vol on Monday.</li>
</ul>


A shortened trading week masks the true extent of the HSI sell-off, with global markets down sharply Thursday and Friday
We use related indexes and historical relationships to estimate Monday’s price change and 1M implied vol for HSI.
Put activity surged, with heavy interest at the 19,600 strike potentially adding pressure to price and vol on Monday.


HSI Index Options Weekly (Mar 31-Apr 03): Global Meltdown, What to Expect on Monday

Co-Founder & CEO, Newmark Risk

Nicholas Pezolano

Co-Founder & CEO

Option analytics for institutional investors

Newmark Risk

Fin-tech company focused on providing option derived analytics for institutional investors.

We handle the complexity of options data so you don't have to.

- Data and Analytics available all in one place so you can focus on Strategy Development
- Custom Solutions for your data and/or portfolio needs
- Advisory services to lend our expertise

Knowledge is something that was meant to be shared and we provide insights to our clients and to the community via posting about our research findings.

TSE Tokyo Price Index TOPIX / Equity Derivatives

<ul><li>A cross-country study on the post earning announcement drift effect.</li><li>We explore the use of various options-implied analytics to systematically view returns around earnings announcements.  </li><li>Options-Implied Analytics can provide empowering information to better inform investment decisions.</li></ul>

A cross-country study on the post earning announcement drift effect.We explore the use of various options-implied analytics to systematically view returns around earnings announcements.  Options-Implied Analytics can provide empowering information to better inform investment decisions.

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

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 November Vol Roadmap - The Waiting Game

Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

John Ley

Hong Kong Single Stock Options Weekly (Apr 07–11): Vol Spikes, Breadth Cracks & ETF Activity Surges

HK single stocks faced a tough week with sharp losses, high options volume, surging implied vols and very poor breadth.

John Ley

HSI Index Options Weekly (Apr 07–11): Vol Shifts and Early Signs of USD Toxicity

This Insight analyzes the recent volatility in HSI and its impact on short-term vol trading, highlighting shifts in spot-vol dynamics and changes...

John Ley

HSI Index Options Weekly (Mar 31-Apr 03): Global Meltdown, What to Expect on Monday

Global markets experienced a sharp sell-off at the end of the shortened trading week, with potential pressure on price and volatility for the Hang...

John Ley

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

We leverage a few analytics from NewMark Risk's proprietary Options Implied Analytics library to enhance common strategies to trade earnings...

Nicholas Pezolano

EQD | Asia November Vol Roadmap - The Waiting Game

​Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

John Ley

Hong Kong Single Stock Options Weekly (Apr 07–11): Vol Spikes, Breadth Cracks & ETF Activity Surges

​HK single stocks faced a tough week with sharp losses, high options volume, surging implied vols and very poor breadth.

John Ley

HSI Index Options Weekly (Apr 07–11): Vol Shifts and Early Signs of USD Toxicity

​This Insight analyzes the recent volatility in HSI and its impact on short-term vol trading, highlighting shifts in spot-vol dynamics and changes...

John Ley

HSI Index Options Weekly (Mar 31-Apr 03): Global Meltdown, What to Expect on Monday

​Global markets experienced a sharp sell-off at the end of the shortened trading week, with potential pressure on price and volatility for the Hang...

John Ley

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

We leverage a few analytics from NewMark Risk's proprietary Options Implied Analytics library to enhance common strategies to trade earnings...

Nicholas Pezolano

Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

HK single stocks faced a tough week with sharp losses, high options volume, surging implied vols and very poor breadth.

This Insight analyzes the recent volatility in HSI and its impact on short-term vol trading, highlighting shifts in spot-vol dynamics and changes...

Global markets experienced a sharp sell-off at the end of the shortened trading week, with potential pressure on price and volatility for the Hang...