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>December seasonals across major markets show a generally positive profile, but the path is uneven, with most gains clustering in the final days of the month.</li>
<li>Several markets offer appealing vol selling setups, particularly those with consistently positive December vol premiums and elevated implied levels relative to past outcomes.</li>
<li>Nifty vol appears attractively priced, but its tendency not to monetize in December requires traders to think differently about how they extract value.</li>
</ul>


December seasonals across major markets show a generally positive profile, but the path is uneven, with most gains clustering in the final days of the month.
Several markets offer appealing vol selling setups, particularly those with consistently positive December vol premiums and elevated implied levels relative to past outcomes.
Nifty vol appears attractively priced, but its tendency not to monetize in December requires traders to think differently about how they extract value.


Macro Monthly (December): Seasonal Strength, Vol Selling Edges and a Notable Nifty Setup

<ul>
<li>This week we add in some additional graphs and commentary highlighting USD/JPY vs Nikkei 225.</li>
<li>Implied vols were very reactive to spot to open the week with Nikkei dropping almost 1% on Monday.</li>
<li>Heavier volume on the down days with Puts making up 57.8% of the total weekly volume.</li>
</ul>


This week we add in some additional graphs and commentary highlighting USD/JPY vs Nikkei 225.
Implied vols were very reactive to spot to open the week with Nikkei dropping almost 1% on Monday.
Heavier volume on the down days with Puts making up 57.8% of the total weekly volume.


EQD | Nikkei Index Options Weekly (January 27 – 31): USD/JPY and Nikkei at a Stalemate

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>NKY dividends moved up sharply this week despite a weak equity market.</li>
<li>An increase across the curve: 2025 +21.6, 2026 +8.40, 2027 +11.3 and 2028 +4.</li>
<li>Large volumes around the month end in 2025, 2026 and 2026/2027 spreads.</li>
</ul>


NKY dividends moved up sharply this week despite a weak equity market.
An increase across the curve: 2025 +21.6, 2026 +8.40, 2027 +11.3 and 2028 +4.
Large volumes around the month end in 2025, 2026 and 2026/2027 spreads.


EQD: Nikkei Dividends Update (Jan 24th – Jan 31st)

<ul><li>Nikkei implied volatility spiked and reverted as NKY index stabilized quickly after the technology sell-off.</li><li>Nikkei 1M volatility is slowly going lower as NKY index trades in a range.</li><li>Volumes and new open interest focused on downside and short-term expiry this week.</li></ul>

Nikkei implied volatility spiked and reverted as NKY index stabilized quickly after the technology sell-off.Nikkei 1M volatility is slowly going lower as NKY index trades in a range.Volumes and new open interest focused on downside and short-term expiry this week.

EQD: Weekly Nikkei Volatility Update (Jan 24th – Jan 31st)

<ul>
<li>Nikkei back at the top of the price range rising 3.85%. Gains may be more limited from here without an assist from the currency.</li>
<li>Implied vols softened on the week from a combination of factors includes low realized volatility on the week.</li>
<li>Active trade in Put and Call strikes at the edge of the recent trading range.</li>
</ul>


Nikkei back at the top of the price range rising 3.85%. Gains may be more limited from here without an assist from the currency.
Implied vols softened on the week from a combination of factors includes low realized volatility on the week.
Active trade in Put and Call strikes at the edge of the recent trading range.


EQD | Nikkei Index Options Weekly (January 20 – 24): Looking for an Assist

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)

Macro Monthly (December): Seasonal Strength, Vol Selling Edges and a Notable Nifty Setup

December’s uneven but historically positive pattern sets the backdrop, with several markets offering strong vol selling edges and Nifty presenting...

John Ley

EQD | Nikkei Index Options Weekly (January 27 – 31): USD/JPY and Nikkei at a Stalemate

This Insight discusses the relationship between USD/JPY and Nikkei 225, noting the reactive nature of implied vols and heavier volume on down...

John Ley

EQD: Nikkei Dividends Update (Jan 24th – Jan 31st)

NKY dividends moved up sharply this week despite a weak equity market. An increase across the curve: 2025 +21.6, 2026 +8.40, 2027 +11.3 and 2028...

Vantage Capital Markets Japan

EQD: Weekly Nikkei Volatility Update (Jan 24th – Jan 31st)

Nikkei implied volatility spiked and reverted as NKY index stabilized quickly after the technology sell-off. Nikkei 1M volatility is slowly going...

Vantage Capital Markets Japan

EQD | Nikkei Index Options Weekly (January 20 – 24): Looking for an Assist

Nikkei reaches top of price range with 3.85% gain, potential for limited gains without currency boost. Implied vols soften due to low realized...

John Ley

Macro Monthly (December): Seasonal Strength, Vol Selling Edges and a Notable Nifty Setup

December’s uneven but historically positive pattern sets the backdrop, with several markets offering strong vol selling edges and Nifty presenting...

John Ley

EQD | Nikkei Index Options Weekly (January 27 – 31): USD/JPY and Nikkei at a Stalemate

​This Insight discusses the relationship between USD/JPY and Nikkei 225, noting the reactive nature of implied vols and heavier volume on down...

John Ley

EQD: Nikkei Dividends Update (Jan 24th – Jan 31st)

NKY dividends moved up sharply this week despite a weak equity market. An increase across the curve: 2025 +21.6, 2026 +8.40, 2027 +11.3 and 2028...

Vantage Capital Markets Japan

EQD: Weekly Nikkei Volatility Update (Jan 24th – Jan 31st)

Nikkei implied volatility spiked and reverted as NKY index stabilized quickly after the technology sell-off. Nikkei 1M volatility is slowly going...

Vantage Capital Markets Japan

EQD | Nikkei Index Options Weekly (January 20 – 24): Looking for an Assist

​Nikkei reaches top of price range with 3.85% gain, potential for limited gains without currency boost. Implied vols soften due to low realized...

John Ley

This Insight discusses the relationship between USD/JPY and Nikkei 225, noting the reactive nature of implied vols and heavier volume on down...

Nikkei reaches top of price range with 3.85% gain, potential for limited gains without currency boost. Implied vols soften due to low realized...