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>
<a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899" rel="noopener">Hang Seng Index (HSI INDEX)</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)</a> and <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909" rel="noopener">Nikkei 225 (NKY INDEX)</a> all have elevated implied vols vs their peers and vs historical observations for October.</li>
<li>
<a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617" rel="noopener">NIFTY Index (NIFTY INDEX)</a> , <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a> and <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>  implied vols are on the low end of what is typically realized in October.</li>
<li>Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.</li>
</ul>



Hang Seng Index (HSI INDEX), Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) all have elevated implied vols vs their peers and vs historical observations for October.

NIFTY Index (NIFTY INDEX) , S&amp;P 500 INDEX (SPX INDEX) and S&amp;P/ASX 200 (AS51 INDEX)  implied vols are on the low end of what is typically realized in October.
Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.


EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

Korea Stock Exchange KOSPI 200 / Event-Driven

<ul>
<li>If the CGT threshold drops from ₩5B to ₩1B, year-end retail selling could surge—net sales were ₩14T in Nov–Dec 2023 versus just ₩2.5T in the same period of 2024.</li>
<li>Retail may react strongly this year due to higher unrealized gains and the ₩1B CGT threshold return; about 65% of KOSPI stocks still use year-end dividend record dates.</li>
<li>Odds are high for a classic year-end CGT-driven retail sell-off and a sharp KOSPI cash-futures basis move, fueled by dividend uncertainty we can capitalize on.</li>
</ul>


If the CGT threshold drops from ₩5B to ₩1B, year-end retail selling could surge—net sales were ₩14T in Nov–Dec 2023 versus just ₩2.5T in the same period of 2024.
Retail may react strongly this year due to higher unrealized gains and the ₩1B CGT threshold return; about 65% of KOSPI stocks still use year-end dividend record dates.
Odds are high for a classic year-end CGT-driven retail sell-off and a sharp KOSPI cash-futures basis move, fueled by dividend uncertainty we can capitalize on.


Everything to Know About the Year-End CGT-Driven Retail Sell-Off & KOSPI Basis Move

<ul>
<li>Trading tax gradually dropped from 0.25% in 2020 to 0.15% in 2025, boosting volatility and short-term trades; a hike to 0.25% could cool momentum but widen arbitrage and basis spreads.</li>
<li>If the major shareholder tax threshold drops to ₩1B, year-end retail dumps and Jan buybacks will return—but with less wild swings and more measured short-term fade and momentum trades.</li>
<li>If the tax revamp drops end-July, expect a September Assembly push. Usually effective next January, but like 2023’s cap gains hike, changes might apply immediately in 2025.</li>
</ul>


Trading tax gradually dropped from 0.25% in 2020 to 0.15% in 2025, boosting volatility and short-term trades; a hike to 0.25% could cool momentum but widen arbitrage and basis spreads.
If the major shareholder tax threshold drops to ₩1B, year-end retail dumps and Jan buybacks will return—but with less wild swings and more measured short-term fade and momentum trades.
If the tax revamp drops end-July, expect a September Assembly push. Usually effective next January, but like 2023’s cap gains hike, changes might apply immediately in 2025.


Two New Tax Tweaks Set to Shake Up Korea’s Local Stock Market: Trading Tax & CGT Threshold

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>As reported by <a href="https://www.smartkarma.com/profiles/gaudenz-schneider" target="_blank" data-smartkarma-citation="accounts:66501" rel="noopener">Gaudenz Schneider</a> , South Korea left interest rates unchanged on July 11th, but significant uncertainty from US Tariffs policies pose a challenge for its economy.
</li>
<li>In our previous <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>'s insight we flagged an <a href="https://www.smartkarma.com/insights/kospi-200-tactical-warning-overbought" target="_blank" rel="noopener">'overbought warning'</a>, yet the index extended its rally for four more weeks, closing at 428 — near its all-time highs (449).</li>
<li>The index is now off the chart on our time model and approaching the upper limit of our SHORT price model. A WEEKLY pullback is imminent, but may be short-lived.</li>
</ul>


As reported by Gaudenz Schneider , South Korea left interest rates unchanged on July 11th, but significant uncertainty from US Tariffs policies pose a challenge for its economy.

In our previous KOSPI 200's insight we flagged an 'overbought warning', yet the index extended its rally for four more weeks, closing at 428 — near its all-time highs (449).
The index is now off the chart on our time model and approaching the upper limit of our SHORT price model. A WEEKLY pullback is imminent, but may be short-lived.


KOSPI 200 Tactical Outlook Amid Renewed Uncertainty from US Tariff Risks

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>
Context: The Bank of Korea will announce its rate decision on July 10, 2025. This Insight compares market and option-implied expectations with historical <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> reactions.</li>
<li>
Highlights: While average market reactions to BoK moves are historically muted, options are pricing in elevated volatility. Two event-driven strategies are discussed.</li>
<li>
Why Read: This Insight offers actionable, volatility-focused options strategies grounded in empirical data and current pricing—timely for traders seeking to monetize elevated volatility ahead of central bank and geopolitical events.</li>
</ul>



Context: The Bank of Korea will announce its rate decision on July 10, 2025. This Insight compares market and option-implied expectations with historical KOSPI 200 reactions.

Highlights: While average market reactions to BoK moves are historically muted, options are pricing in elevated volatility. Two event-driven strategies are discussed.

Why Read: This Insight offers actionable, volatility-focused options strategies grounded in empirical data and current pricing—timely for traders seeking to monetize elevated volatility ahead of central bank and geopolitical events.


KOSPI 200: Event-Driven Strategies into the July 10 BoK Decision

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)

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

Everything to Know About the Year-End CGT-Driven Retail Sell-Off & KOSPI Basis Move

This post covers everything we need to know about the year-end CGT-driven retail sell-off and the resulting KOSPI basis move, unpacking key drivers...

Sanghyun Park

Two New Tax Tweaks Set to Shake Up Korea’s Local Stock Market: Trading Tax & CGT Threshold

This post covers two new tax changes impacting Korea’s local stock market: updates to the trading tax and capital gains threshold.

Sanghyun Park

KOSPI 200 Tactical Outlook Amid Renewed Uncertainty from US Tariff Risks

The KOSPI 200 Index is near to its all-time highs - extremely overbought, a pullback is imminent. US Tariffs threats may be the catalyst for the...

Nico Rosti

KOSPI 200: Event-Driven Strategies into the July 10 BoK Decision

Ahead of the Bank of Korea’s July 10 rate decision, option pricing implies larger-than-usual index moves. This Insight outlines two event-driven...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

​Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

Everything to Know About the Year-End CGT-Driven Retail Sell-Off & KOSPI Basis Move

This post covers everything we need to know about the year-end CGT-driven retail sell-off and the resulting KOSPI basis move, unpacking key drivers...

Sanghyun Park

Two New Tax Tweaks Set to Shake Up Korea’s Local Stock Market: Trading Tax & CGT Threshold

This post covers two new tax changes impacting Korea’s local stock market: updates to the trading tax and capital gains threshold.

Sanghyun Park

KOSPI 200 Tactical Outlook Amid Renewed Uncertainty from US Tariff Risks

The KOSPI 200 Index is near to its all-time highs - extremely overbought, a pullback is imminent. US Tariffs threats may be the catalyst for the...

Nico Rosti

KOSPI 200: Event-Driven Strategies into the July 10 BoK Decision

Ahead of the Bank of Korea’s July 10 rate decision, option pricing implies larger-than-usual index moves. This Insight outlines two event-driven...

Gaudenz Schneider

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...