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>Nikkei breaks lower, USD/JPY and trade tensions weighing on the market.</li>
<li>Implied volatility rose as the market declined. We discuss implications of current spot levels that is dominated by Put open interest.</li>
<li>Historic volatility continues to lag implied vol, we provide visuals on the extent of the lag.</li>
</ul>


Nikkei breaks lower, USD/JPY and trade tensions weighing on the market.
Implied volatility rose as the market declined. We discuss implications of current spot levels that is dominated by Put open interest.
Historic volatility continues to lag implied vol, we provide visuals on the extent of the lag.


Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

Equity Derivatives Broker - Delta One Japan, Vantage Capital Markets Japan

François-Xavier Pustoc'h

Equity Derivatives Broker - Delta One Japan

Independent Financial Broker

Vantage Capital Markets Japan

We provide world class financial solutions to our extensive institutional client base including rapidly growing corporations, leading investment banks, commercial banks, asset managers, private equity funds, family offices and hedge funds.

Our services include capital market offerings and placements, wholesale brokerage and execution of cash and derivative products (both listed and OTC) across a range of asset classes.

VCM has offices in London, Hong Kong, Tokyo and Dubai from where we service our global client base. Our strength lies in the experience and quality of our teams, supported by excellent operations and infrastructure.

<ul>
<li>6 business days before Mar25 SQ on Nikkei and Topix Futures &amp; Options</li>
<li>Volumes are slowly going up and expected to increase in the next 3 business days</li>
<li>Current Roll Levels: NK MAR25/JUN25 ROLL -236/-235, TP MAR25/JUN25 ROLL -25.1/-25.0</li>
</ul>


6 business days before Mar25 SQ on Nikkei and Topix Futures &amp; Options
Volumes are slowly going up and expected to increase in the next 3 business days
Current Roll Levels: NK MAR25/JUN25 ROLL -236/-235, TP MAR25/JUN25 ROLL -25.1/-25.0


<ul>
<li>1M Implied volatility spiked to 27.32 as the Nikkei 225 broke its range.</li>
<li>Sharp increase in volumes especially centered on the 39,000 strike.</li>
<li>1M implied volatility following its 3M regression volatility/spot dynamic.</li>
</ul>


1M Implied volatility spiked to 27.32 as the Nikkei 225 broke its range.
Sharp increase in volumes especially centered on the 39,000 strike.
1M implied volatility following its 3M regression volatility/spot dynamic.


Nikkei Volatility Update (Feb 21st – Feb 28th)

<ul>
<li>The Nikkei dividend curve under pressure again last week.                              </li>
<li>Selling pressure driven by the 2026 and 2027 dividend futures.</li>
<li>Nikkei 225 dividend yield is now back above 2.10%.</li>
</ul>


The Nikkei dividend curve under pressure again last week.                              
Selling pressure driven by the 2026 and 2027 dividend futures.
Nikkei 225 dividend yield is now back above 2.10%.


Nikkei Dividends Update (Feb 21st – Feb 28th)

<ul>
<li>Sideways range finally breaks giving way to higher 1M implied vols, now above the 75th percentile.</li>
<li>Move lower potentially exacerbated by short gamma positions around the 38,000 strike.</li>
<li>Seasonals not favorable for Nikkei over the next two weeks.</li>
</ul>


Sideways range finally breaks giving way to higher 1M implied vols, now above the 75th percentile.
Move lower potentially exacerbated by short gamma positions around the 38,000 strike.
Seasonals not favorable for Nikkei over the next two weeks.


Nikkei Index Options Weekly (Feb 24 – 28): The Range Breaks

Japan

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

Nikkei 225 (NKY INDEX)

Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...

John Ley

Nikkei & Topix Future Roll Update

6 business days before Mar25 SQ on Nikkei and Topix Futures & Options. Volumes are slowly going up and expected to increase in the next 3 business...

Vantage Capital Markets Japan

Nikkei Volatility Update (Feb 21st – Feb 28th)

1M Implied volatility spiked to 27.32 as the Nikkei 225 broke its range. Sharp increase in volumes especially centered on the 39,000 strike. 1M...

Vantage Capital Markets Japan

Nikkei Dividends Update (Feb 21st – Feb 28th)

The Nikkei dividend curve under pressure again last week. Selling pressure driven by the 2026 and 2027 dividend futures. Nikkei 225 dividend yield...

Vantage Capital Markets Japan

Nikkei Index Options Weekly (Feb 24 – 28): The Range Breaks

Sideways range in Nikkei breaks, leading to higher implied vols and potential downside pressure from short gamma positions around 38,000 strike....

John Ley

Nikkei Index Options Weekly (Mar 03–07): Implied Volatility Climbs as Market Extends Decline

​Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...

John Ley

Nikkei & Topix Future Roll Update

6 business days before Mar25 SQ on Nikkei and Topix Futures & Options. Volumes are slowly going up and expected to increase in the next 3 business...

Vantage Capital Markets Japan

Nikkei Volatility Update (Feb 21st – Feb 28th)

1M Implied volatility spiked to 27.32 as the Nikkei 225 broke its range. Sharp increase in volumes especially centered on the 39,000 strike. 1M...

Vantage Capital Markets Japan

Nikkei Dividends Update (Feb 21st – Feb 28th)

The Nikkei dividend curve under pressure again last week. Selling pressure driven by the 2026 and 2027 dividend futures. Nikkei 225 dividend yield...

Vantage Capital Markets Japan

Nikkei Index Options Weekly (Feb 24 – 28): The Range Breaks

​Sideways range in Nikkei breaks, leading to higher implied vols and potential downside pressure from short gamma positions around 38,000 strike....

John Ley

Nikkei falls as USD/JPY and trade tensions weigh on market, with rising implied volatility and lagging historic volatility which we demonstrate...

Sideways range in Nikkei breaks, leading to higher implied vols and potential downside pressure from short gamma positions around 38,000 strike....