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

Co-Founder & CEO, Newmark Risk

Nicholas Pezolano

Co-Founder & CEO

Option analytics for institutional investors

Newmark Risk

Fin-tech company focused on providing option derived analytics for institutional investors.

We handle the complexity of options data so you don't have to.

- Data and Analytics available all in one place so you can focus on Strategy Development
- Custom Solutions for your data and/or portfolio needs
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Knowledge is something that was meant to be shared and we provide insights to our clients and to the community via posting about our research findings.

TSE Tokyo Price Index TOPIX / Equity Derivatives

<ul><li>A cross-country study on the post earning announcement drift effect.</li><li>We explore the use of various options-implied analytics to systematically view returns around earnings announcements.  </li><li>Options-Implied Analytics can provide empowering information to better inform investment decisions.</li></ul>

A cross-country study on the post earning announcement drift effect.We explore the use of various options-implied analytics to systematically view returns around earnings announcements.  Options-Implied Analytics can provide empowering information to better inform investment decisions.

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>As outlined by <a href="https://www.smartkarma.com/profiles/brian-freitas" target="_blank" data-smartkarma-citation="accounts:4091" rel="noopener">Brian Freitas</a> , the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> 's September rebalance ends July 31st, the announcement of the changes will take place end August and implemented on September 29th.</li>
<li>The index has been pulling back for 3 weeks, it's oversold according to our model, 75% probability of reversing up this week.</li>
<li>Lower support limit would be 24319, while a rally could take the index to 25642 across a couple of weeks. The rally won't last more than 2 weeks probably.
</li>
</ul>


As outlined by Brian Freitas , the NIFTY Index 's September rebalance ends July 31st, the announcement of the changes will take place end August and implemented on September 29th.
The index has been pulling back for 3 weeks, it's oversold according to our model, 75% probability of reversing up this week.
Lower support limit would be 24319, while a rally could take the index to 25642 across a couple of weeks. The rally won't last more than 2 weeks probably.



NIFTY50 Index Outlook Amid Ongoing Rebalance Review

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> rally may stop briefly, for 1 or 2 weeks. At the moment the index hast started a very mild pullback, after closing higher for 2 consecutive weeks.</li>
<li>Usually the rally does not last more than 3 weeks when this pattern is encountered although there has been occasions where it lasted 7 weeks.</li>
<li>Two scenarios lie ahead: (1) if this week closes higher, expect a near-term pullback; or (2) if it closes lower—possibly continuing into next week—the rally may resume afterward.</li>
</ul>


The NIFTY Index rally may stop briefly, for 1 or 2 weeks. At the moment the index hast started a very mild pullback, after closing higher for 2 consecutive weeks.
Usually the rally does not last more than 3 weeks when this pattern is encountered although there has been occasions where it lasted 7 weeks.
Two scenarios lie ahead: (1) if this week closes higher, expect a near-term pullback; or (2) if it closes lower—possibly continuing into next week—the rally may resume afterward.


NIFTY Index at a Crossroads: Two-Week Tactical Outlook

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> rallied after RBI cuts key policy rate by 50 bps to 5.50%(but RBI governor said there is limited policy space from here).</li>
<li>Inflation forecast was cut to 3.7%; GDP growth forecast retained at 6.5, but Trump's trade tariffs and the prospect of a global economic slowdown are generating uncertainty.</li>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> was already moving up in the last 2 days and accelerated sharply on Friday. But our model signals that the index is not overbought, it can go higher.
</li>
</ul>


The NIFTY Index rallied after RBI cuts key policy rate by 50 bps to 5.50%(but RBI governor said there is limited policy space from here).
Inflation forecast was cut to 3.7%; GDP growth forecast retained at 6.5, but Trump's trade tariffs and the prospect of a global economic slowdown are generating uncertainty.
The NIFTY was already moving up in the last 2 days and accelerated sharply on Friday. But our model signals that the index is not overbought, it can go higher.



Nifty 50 Tactical Outlook After RBI's Steep Rate Cut

India

The NIFTY 50 index is National Stock Exchange of India's benchmark stock market index for Indian equity market. Nifty is owned and managed by India Index Services and Products (IISL), which is a wholly owned subsidiary of the NSE Strategic Investment Corporation Limited.

NIFTY Index (NIFTY INDEX)

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

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

We leverage a few analytics from NewMark Risk's proprietary Options Implied Analytics library to enhance common strategies to trade earnings...

Nicholas Pezolano

NIFTY50 Index Outlook Amid Ongoing Rebalance Review

The NIFTY Index shows potential for a reversal up this week and a rally to 25642 over a 2 weeks period, on the background of the looming September...

Nico Rosti

NIFTY Index at a Crossroads: Two-Week Tactical Outlook

NIFTY Index rally may pause briefly for 1-2 weeks as mild pullback could begin, after 2 consecutive weeks of gains. A potential rebound depends on...

Nico Rosti

Nifty 50 Tactical Outlook After RBI's Steep Rate Cut

RBI cut key rate by 50 bps, the NIFTY rallied; our model signals NIFTY 50 is not overbought, can rally higher in the next 2-4 weeks, even with...

Nico Rosti

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

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

We leverage a few analytics from NewMark Risk's proprietary Options Implied Analytics library to enhance common strategies to trade earnings...

Nicholas Pezolano

NIFTY50 Index Outlook Amid Ongoing Rebalance Review

The NIFTY Index shows potential for a reversal up this week and a rally to 25642 over a 2 weeks period, on the background of the looming September...

Nico Rosti

NIFTY Index at a Crossroads: Two-Week Tactical Outlook

​NIFTY Index rally may pause briefly for 1-2 weeks as mild pullback could begin, after 2 consecutive weeks of gains. A potential rebound depends on...

Nico Rosti

Nifty 50 Tactical Outlook After RBI's Steep Rate Cut

​RBI cut key rate by 50 bps, the NIFTY rallied; our model signals NIFTY 50 is not overbought, can rally higher in the next 2-4 weeks, even with...

Nico Rosti

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

NIFTY Index rally may pause briefly for 1-2 weeks as mild pullback could begin, after 2 consecutive weeks of gains. A potential rebound depends on...

RBI cut key rate by 50 bps, the NIFTY rallied; our model signals NIFTY 50 is not overbought, can rally higher in the next 2-4 weeks, even with...