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>Third week in a row with declining participation in the rally.</li>
<li>Information technology the hottest sector with all names up more than double digits, all but 2 stocks closing at a 52-week high and median implied vols at 96th percentile.</li>
<li>Single Stock option volume registers the two highest days in the last 3 months but Call trading as a percentage of the total slipped week over week.</li>
</ul>


Third week in a row with declining participation in the rally.
Information technology the hottest sector with all names up more than double digits, all but 2 stocks closing at a 52-week high and median implied vols at 96th percentile.
Single Stock option volume registers the two highest days in the last 3 months but Call trading as a percentage of the total slipped week over week.


EQD | Hong Kong Single Stock Options Weekly (February 02 – 07): Rally Narrows, Info Tech Hot

Hang Seng China Enterprises Index / Equity Derivatives

<ul>
<li>Big rally for HSCEI, rising 5.44% which puts the move at the 92nd percentile for all weekly moves since 2000.</li>
<li>Implied vols appear to have hit a wall and may find short-term gains on a continued rally difficult from this point.</li>
<li>We expect implied vol to be more sensitive to lower moves in spot from here and will struggle to rise from here. </li>
</ul>


Big rally for HSCEI, rising 5.44% which puts the move at the 92nd percentile for all weekly moves since 2000.
Implied vols appear to have hit a wall and may find short-term gains on a continued rally difficult from this point.
We expect implied vol to be more sensitive to lower moves in spot from here and will struggle to rise from here. 


EQD | HSCEI Index Options Weekly (Feb 02-07): 92nd Percentile 1-Week Move

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>Travel / In Depth: Gulf states roll out the welcome mat for Chinese tourists as focus shifts from oil</li><li>Hong Kong /: Hong Kong stocks rebound after sharp drop as Trump’s tariff war weighs on markets</li><li>Google /: China launches antitrust probe into Google’s market dominance</li></ul>

Travel / In Depth: Gulf states roll out the welcome mat for Chinese tourists as focus shifts from oilHong Kong /: Hong Kong stocks rebound after sharp drop as Trump’s tariff war weighs on marketsGoogle /: China launches antitrust probe into Google’s market dominance

CX Daily: Gulf States Roll Out the Welcome Mat for Chinese Tourists as Focus Shifts From Oil 

<ul>
<li>All markets surveyed here tend to see price weakness along with increased volatility in the second half of February. </li>
<li>SP500 was the only market for which realized vol in January was greater than implied at the end of December.</li>
<li>Gold, SP500 and SPASX200 have all gone over 450 days without a 10% correction. Nifty moving in opposite direction, 127 days without a 10% rally.</li>
</ul>


All markets surveyed here tend to see price weakness along with increased volatility in the second half of February. 
SP500 was the only market for which realized vol in January was greater than implied at the end of December.
Gold, SP500 and SPASX200 have all gone over 450 days without a 10% correction. Nifty moving in opposite direction, 127 days without a 10% rally.


EQD | February Macro Vol Roadmap – Stay Alert to Trend Change in 2nd Half of Month

Derivatives and Quantitative Strategist

Gaudenz Schneider

Quantitative Analysis

<ul>
<li>This Insight presents intraday data to illustrate regional volatility moves over the past one and a half trading days. </li>
<li>Sunday’s US tariff announcement led to a global decline in equities and a spike in volatility on Monday. Asian indices began to recover today with a slight decrease in volatility.</li>
<li>Market reaction to Sunday's announcement was short-lived, so far, and the impact on implied volatility muted. The risk of a renewed volatility spike to or above Monday's intraday high's remains.</li>
</ul>


This Insight presents intraday data to illustrate regional volatility moves over the past one and a half trading days. 
Sunday’s US tariff announcement led to a global decline in equities and a spike in volatility on Monday. Asian indices began to recover today with a slight decrease in volatility.
Market reaction to Sunday's announcement was short-lived, so far, and the impact on implied volatility muted. The risk of a renewed volatility spike to or above Monday's intraday high's remains.


EQD Intraday | Tariff Tantrum Impact on Intraday Volatility

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 | Hong Kong Single Stock Options Weekly (February 02 – 07): Rally Narrows, Info Tech Hot

Participation declines for the third consecutive week, with information technology sector leading the charge. Single stock option volume surges,...

John Ley

EQD | HSCEI Index Options Weekly (Feb 02-07): 92nd Percentile 1-Week Move

HSCEI had a big rally, but implied vols may struggle to see short-term gains as they may have hit a wall and will be more sensitive to lower spot...

John Ley

CX Daily: Gulf States Roll Out the Welcome Mat for Chinese Tourists as Focus Shifts From Oil

Travel / In Depth: Gulf states roll out the welcome mat for Chinese tourists as focus shifts from oil Amid a global green push, Middle Eastern...

Caixin Global

EQD | February Macro Vol Roadmap – Stay Alert to Trend Change in 2nd Half of Month

Markets show price weakness and increased volatility in late February. Gold, SP500, and SPASX200 have gone > 450 days without 10% corrections,...

John Ley

EQD Intraday | Tariff Tantrum Impact on Intraday Volatility

The Tariff Tantrum triggered a universal equity decline and spike in volatility. Intra-day data shows that market reaction was short-lived, but...

Gaudenz Schneider

EQD | Hong Kong Single Stock Options Weekly (February 02 – 07): Rally Narrows, Info Tech Hot

Participation declines for the third consecutive week, with information technology sector leading the charge. Single stock option volume surges,...

John Ley

EQD | HSCEI Index Options Weekly (Feb 02-07): 92nd Percentile 1-Week Move

​HSCEI had a big rally, but implied vols may struggle to see short-term gains as they may have hit a wall and will be more sensitive to lower spot...

John Ley

CX Daily: Gulf States Roll Out the Welcome Mat for Chinese Tourists as Focus Shifts From Oil

Travel / In Depth: Gulf states roll out the welcome mat for Chinese tourists as focus shifts from oil Amid a global green push, Middle Eastern...

Caixin Global

EQD | February Macro Vol Roadmap – Stay Alert to Trend Change in 2nd Half of Month

​Markets show price weakness and increased volatility in late February. Gold, SP500, and SPASX200 have gone > 450 days without 10% corrections,...

John Ley

EQD Intraday | Tariff Tantrum Impact on Intraday Volatility

The Tariff Tantrum ​triggered a universal equity decline and spike in volatility. Intra-day data shows that market reaction was short-lived, but...

Gaudenz Schneider

HSCEI had a big rally, but implied vols may struggle to see short-term gains as they may have hit a wall and will be more sensitive to lower spot...

Markets show price weakness and increased volatility in late February. Gold, SP500, and SPASX200 have gone > 450 days without 10% corrections,...

The Tariff Tantrum triggered a universal equity decline and spike in volatility. Intra-day data shows that market reaction was short-lived, but...