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>USD/JPY more volatile relative to Nikkei, trading in a 2.3% range on the week and historic vol continuing to climb compressing the hv spread.</li>
<li>Nikkei is trading at the mid-point of the sideways range it’s been in since the end of September.  </li>
<li>Most heavily traded strikes were at the top and bottom of the sideways range.</li>
</ul>


USD/JPY more volatile relative to Nikkei, trading in a 2.3% range on the week and historic vol continuing to climb compressing the hv spread.
Nikkei is trading at the mid-point of the sideways range it’s been in since the end of September.  
Most heavily traded strikes were at the top and bottom of the sideways range.


EQD | Nikkei Index Options Weekly (February 10 – 14): Mired in Sideways Range

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.

Event-Driven

<ul><li>Stock performance is confirming the ADD of Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T)</li><li>Stock performance is confirming the DEL of Mitsubishi Logistics (9301.T) and (maybe?) Kanadavia (7004.T)</li><li>Best Rebalance portfolio: the Long Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T) vs. Short Fast Retailing (9983.T) with 34.17% performance over the past two months.</li></ul>

Stock performance is confirming the ADD of Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T)Stock performance is confirming the DEL of Mitsubishi Logistics (9301.T) and (maybe?) Kanadavia (7004.T)Best Rebalance portfolio: the Long Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T) vs. Short Fast Retailing (9983.T) with 34.17% performance over the past two months.

Nikkei 225 Rebalancing: Stock Performance

<ul><li>Another sharp increase in the dividend curve despite a weak equity return</li><li>Increase from 2025 to 2027: 2025 +13.6 2026 +9.4 and 2027 +3.8</li><li>Large volumes in the dividend future market especially on 2025, 2026 and 2025 dividend future vs. MAR/DEC25 future rolls.</li></ul>

Another sharp increase in the dividend curve despite a weak equity returnIncrease from 2025 to 2027: 2025 +13.6 2026 +9.4 and 2027 +3.8Large volumes in the dividend future market especially on 2025, 2026 and 2025 dividend future vs. MAR/DEC25 future rolls.

EQD: Nikkei Dividends Update (Jan 31st – Jan 7th)

<ul><li>Lower USDJPY from 155 to 151 pushed the Nikkei 225 down to 38,500.</li><li>NKY 1M implied volatility spiked 4.15 to stabilize around 21.7%.</li><li>Low volumes and new open interests despite a higher realized volatility.</li></ul>

Lower USDJPY from 155 to 151 pushed the Nikkei 225 down to 38,500.NKY 1M implied volatility spiked 4.15 to stabilize around 21.7%.Low volumes and new open interests despite a higher realized volatility.

EQD: Weekly Nikkei Volatility Update (Jan 31st – Jan 7th)

<ul>
<li>Nikkei down 2.66% on Monday with Implied vol very reactive to the move jumping almost 3 points.</li>
<li>USD/JPY dropped 2.35% for the week, Nikkei fared better only losing 1.96%.</li>
<li>Open interest in the Nikkei dominated by Puts with 2 outstanding for every 1 Call.</li>
</ul>


Nikkei down 2.66% on Monday with Implied vol very reactive to the move jumping almost 3 points.
USD/JPY dropped 2.35% for the week, Nikkei fared better only losing 1.96%.
Open interest in the Nikkei dominated by Puts with 2 outstanding for every 1 Call.


EQD | Nikkei Index Options Weekly (January 27 – 31): Implied Vol Very Reactive to Spot

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)

EQD | Nikkei Index Options Weekly (February 10 – 14): Mired in Sideways Range

USD/JPY more volatile than Nikkei, trading in a 2.3% range with historic volatility increasing, while Nikkei remains in a sideways range since...

John Ley

Nikkei 225 Rebalancing: Stock Performance

Stock performance is confirming the ADD of Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T) Stock performance is...

Vantage Capital Markets Japan

EQD: Nikkei Dividends Update (Jan 31st – Jan 7th)

Another sharp increase in the dividend curve despite a weak equity return. Increase from 2025 to 2027: 2025 +13.6 2026 +9.4 and 2027 +3.8

Vantage Capital Markets Japan

EQD: Weekly Nikkei Volatility Update (Jan 31st – Jan 7th)

Lower USDJPY from 155 to 151 pushed the Nikkei 225 down to 38,500. NKY 1M implied volatility spiked 4.15 to stabilize around 21.7%.

Vantage Capital Markets Japan

EQD | Nikkei Index Options Weekly (January 27 – 31): Implied Vol Very Reactive to Spot

Nikkei drops 1.96% as USD/JPY falls 2.35%. Big jump in Nikkei implied vols on Monnday but most of the gains given back by Friday.

John Ley

EQD | Nikkei Index Options Weekly (February 10 – 14): Mired in Sideways Range

​USD/JPY more volatile than Nikkei, trading in a 2.3% range with historic volatility increasing, while Nikkei remains in a sideways range since...

John Ley

Nikkei 225 Rebalancing: Stock Performance

Stock performance is confirming the ADD of Kokusai Electric (6525.T), BayCurrent Consulting (6532.T) and Shift Inc. (3697.T) Stock performance is...

Vantage Capital Markets Japan

EQD: Nikkei Dividends Update (Jan 31st – Jan 7th)

Another sharp increase in the dividend curve despite a weak equity return. Increase from 2025 to 2027: 2025 +13.6 2026 +9.4 and 2027 +3.8

Vantage Capital Markets Japan

EQD: Weekly Nikkei Volatility Update (Jan 31st – Jan 7th)

Lower USDJPY from 155 to 151 pushed the Nikkei 225 down to 38,500. NKY 1M implied volatility spiked 4.15 to stabilize around 21.7%.

Vantage Capital Markets Japan

EQD | Nikkei Index Options Weekly (January 27 – 31): Implied Vol Very Reactive to Spot

​Nikkei drops 1.96% as USD/JPY falls 2.35%. Big jump in Nikkei implied vols on Monnday but most of the gains given back by Friday.

John Ley

USD/JPY more volatile than Nikkei, trading in a 2.3% range with historic volatility increasing, while Nikkei remains in a sideways range since...

Nikkei drops 1.96% as USD/JPY falls 2.35%. Big jump in Nikkei implied vols on Monnday but most of the gains given back by Friday.