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>Price action has been mired in a sideways range since hitting these levels in Feb 2024.  Implied’s have come full circle and are at the same levels they were in Feb.</li>
<li>Option volumes over the past week look to be playing for a break above the sideways range of the last two months or a break below it.</li>
<li>Skew is very steep with heavy Put volumes and open interest at levels under the current range.</li>
</ul>


Price action has been mired in a sideways range since hitting these levels in Feb 2024.  Implied’s have come full circle and are at the same levels they were in Feb.
Option volumes over the past week look to be playing for a break above the sideways range of the last two months or a break below it.
Skew is very steep with heavy Put volumes and open interest at levels under the current range.


EQD | Nikkei Index Options Weekly - Dec 02 - 06

<ul>
<li>Strong price action across the market this week coupled with implied vols having caught down to historic vols has put a floor on implied vols.</li>
<li>Tencent sees strong call buying in December 410 and 420 Calls with month end 400 strike Put buying for December and January.</li>
<li>Cathay Pacific, +21% over past 3 weeks, HSBC, at 52-week high plus up 38% on the year and BABA, down 21% from Oct 02 high all active names.</li>
</ul>


Strong price action across the market this week coupled with implied vols having caught down to historic vols has put a floor on implied vols.
Tencent sees strong call buying in December 410 and 420 Calls with month end 400 strike Put buying for December and January.
Cathay Pacific, +21% over past 3 weeks, HSBC, at 52-week high plus up 38% on the year and BABA, down 21% from Oct 02 high all active names.


EQD | Hong Kong Single Stock Options Weekly Dec 02 - 06

Hang Seng China Enterprises Index / Equity Derivatives

<ul>
<li>Although vols have stabilized this week both HSI and HSCEI are still trading about 3-4 vol above where they were pre-stimulus and are still not monetizing.</li>
<li>Strong price action this wek helped keep a floor under implied vols. </li>
<li>Positions were added in both HSI and HSCEI with demand tilted towards up-strike Calls given the rally on the week.</li>
</ul>


Although vols have stabilized this week both HSI and HSCEI are still trading about 3-4 vol above where they were pre-stimulus and are still not monetizing.
Strong price action this wek helped keep a floor under implied vols. 
Positions were added in both HSI and HSCEI with demand tilted towards up-strike Calls given the rally on the week.


EQD | Hong Kong Index Options Weekly - HSI and HSCEI Dec 02-06, Sell HSCEI Vol

Derivatives and Quantitative Strategist

Gaudenz Schneider

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> is in a steady bear market with political turmoil further depressing the outlook. Volatility increased in the near term, leading to an inverted term structure.</li>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">Nifty 50</a> is approaching its 50-day average from below. Call options profit from low implied volatility and present an attractive opportunity to profit on the upside.</li>
<li>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</a> continues to stand out as the index with positive correlation between implied volatility and index performance. Interestingly, the relationship is not symmetric between up- and down moves.</li>
</ul>


The KOSPI 200 is in a steady bear market with political turmoil further depressing the outlook. Volatility increased in the near term, leading to an inverted term structure.
The Nifty 50 is approaching its 50-day average from below. Call options profit from low implied volatility and present an attractive opportunity to profit on the upside.
The Hang Seng continues to stand out as the index with positive correlation between implied volatility and index performance. Interestingly, the relationship is not symmetric between up- and down moves.


EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

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

Rikki Malik

Cross Asset Strategy

<ul>
<li>A monthly review of how the markets and our themes are currently performing</li>
<li>Analysing what went wrong and what went right in stocks and sectors</li>
<li>Highlighting positions added or removed from the thematic investment portfolio</li>
</ul>


A monthly review of how the markets and our themes are currently performing
Analysing what went wrong and what went right in stocks and sectors
Highlighting positions added or removed from the thematic investment portfolio


November Themes and Thematic Portfolio Review

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 | Nikkei Index Options Weekly - Dec 02 - 06

Option traders are anticipating a potential breakout in price action as implied volatility has come down to levels seen when market entered...

John Ley

EQD | Hong Kong Single Stock Options Weekly Dec 02 - 06

Market showing strong price action this week with implied vols stabilizing, Tencent sees call buying, Cathay Pacific, HSBC, and BABA all active...

John Ley

EQD | Hong Kong Index Options Weekly - HSI and HSCEI Dec 02-06, Sell HSCEI Vol

Despite stabilizing volatility, HSI and HSCEI are still trading above pre-stimulus levels and not monetizing, look to sell HSCEI implied vol for...

John Ley

EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Option strategies with a focus on Asia. The Kospi 200 in a bear market amid political turmoil. Nifty 50 approaching its 50-day average in a bullish...

Gaudenz Schneider

November Themes and Thematic Portfolio Review

We review overall market performance, our investment themes, highlighting additions and substractions in the thematic portfolio.

Rikki Malik

EQD | Nikkei Index Options Weekly - Dec 02 - 06

​Option traders are anticipating a potential breakout in price action as implied volatility has come down to levels seen when market entered...

John Ley

EQD | Hong Kong Single Stock Options Weekly Dec 02 - 06

​Market showing strong price action this week with implied vols stabilizing, Tencent sees call buying, Cathay Pacific, HSBC, and BABA all active...

John Ley

EQD | Hong Kong Index Options Weekly - HSI and HSCEI Dec 02-06, Sell HSCEI Vol

​Despite stabilizing volatility, HSI and HSCEI are still trading above pre-stimulus levels and not monetizing, look to sell HSCEI implied vol for...

John Ley

EQD | Global Option Implied Volatility - Kospi 200, Hang Seng, Nifty 50

Option strategies with a focus on Asia. The Kospi 200 in a bear market amid political turmoil. Nifty 50 approaching its 50-day average in a bullish...

Gaudenz Schneider

November Themes and Thematic Portfolio Review

We review overall market performance, our investment themes, highlighting additions and substractions in the thematic portfolio.

Rikki Malik

Option traders are anticipating a potential breakout in price action as implied volatility has come down to levels seen when market entered...

Market showing strong price action this week with implied vols stabilizing, Tencent sees call buying, Cathay Pacific, HSBC, and BABA all active...

Despite stabilizing volatility, HSI and HSCEI are still trading above pre-stimulus levels and not monetizing, look to sell HSCEI implied vol for...