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 jump on Wednesday led implied vol higher but vols were otherwise soft with passing of key events in November.</li>
<li>Large jump in option activity on Wednesday was likely due to positions being closed out as open interest declined for both Puts and Calls on the week.</li>
<li>HSCEI has more support for implied vols at these levels with short term historic vols trading above 1M implied vol. </li>
</ul>


Price jump on Wednesday led implied vol higher but vols were otherwise soft with passing of key events in November.
Large jump in option activity on Wednesday was likely due to positions being closed out as open interest declined for both Puts and Calls on the week.
HSCEI has more support for implied vols at these levels with short term historic vols trading above 1M implied vol. 


EQD | Hong Kong Index Options Weekly - HSI and HSCEI Nov 25-29

<ul>
<li>Put trading was heavy in the Financial sector this week. ICBC and Bank of China were the main contributors to that with 73% and 63% of their volume in Puts.</li>
<li>ANTA Sports Products had a notable pick up in Call activity this past week as the stock bounces around 3 year lows vs the Hang Seng index (graph at bottom)</li>
<li>Energy and Real Estate sectors might be the best area to look for low vol opportunities.</li>
</ul>


Put trading was heavy in the Financial sector this week. ICBC and Bank of China were the main contributors to that with 73% and 63% of their volume in Puts.
ANTA Sports Products had a notable pick up in Call activity this past week as the stock bounces around 3 year lows vs the Hang Seng index (graph at bottom)
Energy and Real Estate sectors might be the best area to look for low vol opportunities.


EQD | Hong Kong Single Stock Options Weekly Nov 25-29

<ul>
<li>We introduce a new section this month showing implied vol vs average absolute December price movement. A good way to screen for straddle candidates for the month ahead.</li>
<li>Implied vols came in hard in November with the US election and the FOMC in the rear-view mirror.</li>
<li>Price performance across markets especially strong in the final week of the month with SP500, Nifty and SPASX200 postive on the month ~ 70% of the time. </li>
</ul>


We introduce a new section this month showing implied vol vs average absolute December price movement. A good way to screen for straddle candidates for the month ahead.
Implied vols came in hard in November with the US election and the FOMC in the rear-view mirror.
Price performance across markets especially strong in the final week of the month with SP500, Nifty and SPASX200 postive on the month ~ 70% of the time. 


EQD | Asia December Vol Roadmap - The Big Exhale

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>
<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> implied volatility exhibited little change over the last week. It is in its 30th percentile. The term structure is flat and the skew smiles.</li>
<li>Transaction data shows that the relatively low implied volatility favors long vola strategies. Traders also take advantage of the skew through Call and Put Spreads alike.</li>
<li>Strategies reveal a bias towards a bearish view, with an expectation for volatility to pick up in late December and January.</li>
</ul>



Hang Seng Index (HSI INDEX) implied volatility exhibited little change over the last week. It is in its 30th percentile. The term structure is flat and the skew smiles.
Transaction data shows that the relatively low implied volatility favors long vola strategies. Traders also take advantage of the skew through Call and Put Spreads alike.
Strategies reveal a bias towards a bearish view, with an expectation for volatility to pick up in late December and January.


EQD | Hang Seng (HSI Index) - Most Popular Option Strategies, Long Vola with Bearish Bias

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>Revisiting some of our old favourites- China, Japan and Gold</li>
<li>Short-Term trades continue to work but investors only interested in US equities</li>
</ul>


A review of recent events/data impacting our investment themes or outlook
Revisiting some of our old favourites- China, Japan and Gold
Short-Term trades continue to work but investors only interested in US equities


Overview #13 - The US Dollar Peaks, Japan Struggles While China Treads Water

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 Index Options Weekly - HSI and HSCEI Nov 25-29

Lower open interest week over week and softer implied vols argue that positions were being taken off into Wednsday's rally. HSCEI 1M implied vol...

John Ley

EQD | Hong Kong Single Stock Options Weekly Nov 25-29

Heavy put trading in Financial sector, with ICBC and Bank of China leading. ANTA Sports sees increase in call activity. Energy and Real Estate...

John Ley

EQD | Asia December Vol Roadmap - The Big Exhale

New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

John Ley

EQD | Hang Seng (HSI Index) - Most Popular Option Strategies, Long Vola with Bearish Bias

Hang Seng Index implied volatility remains stable in the low twenties, favoring long vola strategies. Transaction data shows traders taking...

Gaudenz Schneider

Overview #13 - The US Dollar Peaks, Japan Struggles While China Treads Water

A review of recent events/data impacting our investment themes and outlook. We look at the some recent trends in China, Japan and the USD

Rikki Malik

EQD | Hong Kong Index Options Weekly - HSI and HSCEI Nov 25-29

Lower open interest week over week and softer implied vols argue that positions were being taken off into Wednsday's rally. HSCEI 1M implied vol...

John Ley

EQD | Hong Kong Single Stock Options Weekly Nov 25-29

​Heavy put trading in Financial sector, with ICBC and Bank of China leading. ANTA Sports sees increase in call activity. Energy and Real Estate...

John Ley

EQD | Asia December Vol Roadmap - The Big Exhale

​New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

John Ley

EQD | Hang Seng (HSI Index) - Most Popular Option Strategies, Long Vola with Bearish Bias

​Hang Seng Index implied volatility remains stable in the low twenties, favoring long vola strategies. Transaction data shows traders taking...

Gaudenz Schneider

Overview #13 - The US Dollar Peaks, Japan Struggles While China Treads Water

A review of recent events/data impacting our investment themes and outlook. We look at the some recent trends in China, Japan and the USD

Rikki Malik

Heavy put trading in Financial sector, with ICBC and Bank of China leading. ANTA Sports sees increase in call activity. Energy and Real Estate...

New section introduced to compare implied volatility with average price movement in December, useful for identifying straddle candidates. Implied...

Hang Seng Index implied volatility remains stable in the low twenties, favoring long vola strategies. Transaction data shows traders taking...