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>Across markets realized volatility generally came in below implied, making June favorable for volatility sellers.</li>
<li>July has historically rewarded vol sellers; we reference a prior Insight on volatility during Trump’s first term highlighting a large deviation from average in July.</li>
<li>Average July returns are mixed, but there are clear standouts among the macro markets.</li>
</ul>


Across markets realized volatility generally came in below implied, making June favorable for volatility sellers.
July has historically rewarded vol sellers; we reference a prior Insight on volatility during Trump’s first term highlighting a large deviation from average in July.
Average July returns are mixed, but there are clear standouts among the macro markets.


Global Macro Outlook (July): Trump Volatility Playbook Offers Clues for July Positioning

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>A quick synoptic look at the tactical models for some key indices, stocks, commodities and bonds we cover, for the week June 30 - July 4.</li>
<li>US Markets will be closed for Independence Day celebrations on July 4th.</li>
<li>Most stocks and global indices appear to be overbought or nearly overbought. 10-year US Treasuries Futures are also overbought. Commodities like Gold and Crude Oil are down. </li>
</ul>


A quick synoptic look at the tactical models for some key indices, stocks, commodities and bonds we cover, for the week June 30 - July 4.
US Markets will be closed for Independence Day celebrations on July 4th.
Most stocks and global indices appear to be overbought or nearly overbought. 10-year US Treasuries Futures are also overbought. Commodities like Gold and Crude Oil are down. 


Global Markets Tactical Outlook: Week of June 30 – July 4

<ul>
<li>This insight offers a quick look at the probability of reversal for a number of stocks and indices in the Asia/Pacific Region, plus <a href="https://www.smartkarma.com/entities/gold" target="_blank" data-smartkarma-citation="entities:22870:1" rel="noopener">Gold (GOLD COMDTY)</a> and <a href="https://www.smartkarma.com/entities/crude-oil" target="_blank" data-smartkarma-citation="entities:22869:1" rel="noopener">Crude Oil (CL1)</a> </li>
<li>Both <a href="https://www.smartkarma.com/entities/gold" target="_blank" data-smartkarma-citation="entities:22870:1" rel="noopener">Gold (GOLD COMDTY)</a> and <a href="https://www.smartkarma.com/entities/crude-oil" target="_blank" data-smartkarma-citation="entities:22869:1" rel="noopener">Crude Oil (CL1 COM COMDTY)</a> appear overbought, but <a href="https://www.smartkarma.com/insights/key-markets-tactical-outlooks-after-israel-strike-on-iran" target="_blank" rel="noopener">as discussed in a recent insight</a>, Crude Oil can certainly go higher.</li>
<li>
<a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> and <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)</a> are also very overbought, detailed outlooks have been recently discussed <a href="https://www.smartkarma.com/insights/s-p-asx-200-tactical-outlook-post-index-rebalance-announcement" target="_blank" rel="noopener">here (ASX200)</a> and <a href="https://www.smartkarma.com/insights/kospi-200-update-market-moves-after-lee-jae-myung-s-victory" target="_blank" rel="noopener">here (KOSPI200).</a>
</li>
</ul>


This insight offers a quick look at the probability of reversal for a number of stocks and indices in the Asia/Pacific Region, plus Gold (GOLD COMDTY) and Crude Oil (CL1) 
Both Gold (GOLD COMDTY) and Crude Oil (CL1 COM COMDTY) appear overbought, but as discussed in a recent insight, Crude Oil can certainly go higher.

S&amp;P/ASX 200 (AS51 INDEX) and Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY) are also very overbought, detailed outlooks have been recently discussed here (ASX200) and here (KOSPI200).



Heat Maps: Asia/Pacific Stocks and Commodities

<ul>
<li>Most major indices extended their April rally through May, but seasonal patterns suggest caution from here.</li>
<li>Implied volatility declined across most markets, but remains above historical medians in several key regions.</li>
<li>Vol premium analysis highlights a few standouts where short vol has historically outperformed.</li>
</ul>


Most major indices extended their April rally through May, but seasonal patterns suggest caution from here.
Implied volatility declined across most markets, but remains above historical medians in several key regions.
Vol premium analysis highlights a few standouts where short vol has historically outperformed.


Global Macro Outlook (June): From Rally to Reversal? Macro Trends Shift as June Unfolds

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

Index Rebalance

<ul>
<li>There could be 2 changes for the FnGuide Top 10 Index and 1 change for the FnGuide Top 10 Equal Weight Index in June.</li>
<li>There will be capping inflows for <a href="https://www.smartkarma.com/entities/samsung-electronics-co-ltd" target="_blank" data-smartkarma-citation="entities:191:1" rel="noopener">Samsung Electronics (005930 KS)</a>, capping outflows for <a href="https://www.smartkarma.com/entities/sk-hynix-inc" target="_blank" data-smartkarma-citation="entities:16955:1" rel="noopener">SK Hynix (000660 KS)</a> and funding outflows for the other index constituents.</li>
<li>A long adds/ short deletes trade has performed well historically for the FnGuide Top 10 Index with positive performance till implementation followed by reversion post implementation in most cases.</li>
</ul>


There could be 2 changes for the FnGuide Top 10 Index and 1 change for the FnGuide Top 10 Equal Weight Index in June.
There will be capping inflows for Samsung Electronics (005930 KS), capping outflows for SK Hynix (000660 KS) and funding outflows for the other index constituents.
A long adds/ short deletes trade has performed well historically for the FnGuide Top 10 Index with positive performance till implementation followed by reversion post implementation in most cases.


FnGuide Top 10 & Equal Weight Index Rebalance Preview: Outperformance Continues

South Korea

The KOSPI 200 Index is a capitalization-weighted index of 200 Korean stocks which make up 93% of the total market value of the Korea Stock Exchange. The index was developed with a base value of 100 as of January 3, 1990.

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

Global Macro Outlook (July): Trump Volatility Playbook Offers Clues for July Positioning

An in-depth look at price and volatilty across macro markets. July has historically been fertile ground for volatiilty sellers and we take a deeper...

John Ley

Global Markets Tactical Outlook: Week of June 30 – July 4

Many Asian/Pacific indices and stocks are overbought, US stocks are not yet overbought (apart from NVDA), Gold and Crude oil are down, 10-Year US...

Nico Rosti

Heat Maps: Asia/Pacific Stocks and Commodities

A synoptic view of the reversal probabilities for equities and indices across the Asia-Pacific region, as well as Gold and Crude Oil.

Nico Rosti

Global Macro Outlook (June): From Rally to Reversal? Macro Trends Shift as June Unfolds

Major indices continued their rally in May, but caution is advised due to seasonal patterns. Implied volatility has decreased but remains high in...

John Ley

FnGuide Top 10 & Equal Weight Index Rebalance Preview: Outperformance Continues

There could be 2 changes for the FnGuide Top 10 Index and 1 change for the FnGuide Top 10 Equal Weight Index in June. The forecast adds have...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Global Macro Outlook (July): Trump Volatility Playbook Offers Clues for July Positioning

An in-depth look at price and volatilty across macro markets. July has historically been fertile ground for volatiilty sellers and we take a deeper...

John Ley

Global Markets Tactical Outlook: Week of June 30 – July 4

Many Asian/Pacific indices and stocks are overbought, US stocks are not yet overbought (apart from NVDA), Gold and Crude oil are down, 10-Year US...

Nico Rosti

Heat Maps: Asia/Pacific Stocks and Commodities

A synoptic view of the reversal probabilities for equities and indices across the Asia-Pacific region, as well as Gold and Crude Oil.

Nico Rosti

Global Macro Outlook (June): From Rally to Reversal? Macro Trends Shift as June Unfolds

​Major indices continued their rally in May, but caution is advised due to seasonal patterns. Implied volatility has decreased but remains high in...

John Ley

FnGuide Top 10 & Equal Weight Index Rebalance Preview: Outperformance Continues

There could be 2 changes for the FnGuide Top 10 Index and 1 change for the FnGuide Top 10 Equal Weight Index in June. The forecast adds have...

Brian Freitas

Major indices continued their rally in May, but caution is advised due to seasonal patterns. Implied volatility has decreased but remains high in...