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>Weak price action to start the year for the Nikkei with little direction from USD/JPY which was grinding higher throughout the week.</li>
<li>Volatility at the start of the week helped push short term historic vol higher with at-the-money implied vol up about 1 point.</li>
<li>Volumes picked up substantially over year-end levels with Puts making up 53.5% of all contracts traded.</li>
</ul>


Weak price action to start the year for the Nikkei with little direction from USD/JPY which was grinding higher throughout the week.
Volatility at the start of the week helped push short term historic vol higher with at-the-money implied vol up about 1 point.
Volumes picked up substantially over year-end levels with Puts making up 53.5% of all contracts traded.


EQD | Nikkei Index Options Weekly - January 06 - 10

<ul>
<li>NKY looks to be playing catch-up with USD/JPY, rising 4.03% on the week and breaking out of recent range after not moving much in the first half of the month.</li>
<li>Implied volatility continues to slide lower with 1M implied vol down 2.5 points on the week.</li>
<li>Call volumes larger than Put volumes for the first time in a while on Fridays 1.80% price surge.</li>
</ul>


NKY looks to be playing catch-up with USD/JPY, rising 4.03% on the week and breaking out of recent range after not moving much in the first half of the month.
Implied volatility continues to slide lower with 1M implied vol down 2.5 points on the week.
Call volumes larger than Put volumes for the first time in a while on Fridays 1.80% price surge.


EQD | Nikkei Index Options Weekly - December 23 - 27

<ul>
<li>All 5 trading days of the past week saw non-volatile price declines but with implied vols still ticking higher leaving historic vol and implied vol moving in opposite directions.</li>
<li>Trading activity focused on Puts, 59.5% of all options trades were Puts last week</li>
<li>Postions being covered into market weakness as seen from large decrease in open interest (60% of the decline was Puts).</li>
</ul>


All 5 trading days of the past week saw non-volatile price declines but with implied vols still ticking higher leaving historic vol and implied vol moving in opposite directions.
Trading activity focused on Puts, 59.5% of all options trades were Puts last week
Postions being covered into market weakness as seen from large decrease in open interest (60% of the decline was Puts).


EQD | Nikkei Index Options Weekly - December 16 - 20

<ul>
<li>A bid for out-of-the-money puts combined with positive change in Put open interest and Put volume totals argues that Puts and being bought.</li>
<li>70% of NKY open interest is below 38,000 with only 20% of the open interest above 40,000.</li>
<li>NKY nearing top of range while registering quiet historic volatility levels 4-5 points below implied vols. </li>
</ul>


A bid for out-of-the-money puts combined with positive change in Put open interest and Put volume totals argues that Puts and being bought.
70% of NKY open interest is below 38,000 with only 20% of the open interest above 40,000.
NKY nearing top of range while registering quiet historic volatility levels 4-5 points below implied vols. 


EQD | Nikkei Index Options Weekly - December 09 - 13

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

<ul>
<li>The JPX has designated <a href="https://www.smartkarma.com/entities/nidec-corp" target="_blank" data-smartkarma-citation="entities:7245:1" rel="noopener">Nidec Corp (6594 JP)</a> as a 'Security on Special Alert' due to a disclaimer of opinion in the annual report (among other issues).</li>
<li>Nikkei has announced the deletion of <a href="https://www.smartkarma.com/entities/nidec-corp" target="_blank" data-smartkarma-citation="entities:7245:1" rel="noopener">Nidec Corp (6594 JP)</a> from the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a>. <a href="https://www.smartkarma.com/entities/ibiden-co-ltd" target="_blank" data-smartkarma-citation="entities:16630:1" rel="noopener">Ibiden Co Ltd (4062 JP)</a> will be added to the index.</li>
<li>
<a href="https://www.smartkarma.com/entities/nidec-corp" target="_blank" data-smartkarma-citation="entities:7245:1" rel="noopener">Nidec Corp (6594 JP)</a> should also be deleted from the <a href="https://www.smartkarma.com/entities/tokyo-stock-exchange-tokyo-price-index-topix" target="_blank" data-smartkarma-citation="entities:22910:1" rel="noopener">TSE Tokyo Price Index TOPIX (TPX INDEX)</a>. Both index deletions should take the stock a lot lower from here.</li>
</ul>


The JPX has designated Nidec Corp (6594 JP) as a 'Security on Special Alert' due to a disclaimer of opinion in the annual report (among other issues).
Nikkei has announced the deletion of Nidec Corp (6594 JP) from the Nikkei 225 (NKY INDEX). Ibiden Co Ltd (4062 JP) will be added to the index.

Nidec Corp (6594 JP) should also be deleted from the TSE Tokyo Price Index TOPIX (TPX INDEX). Both index deletions should take the stock a lot lower from here.


Nikkei 225 Index Rebalance: 🚨Ibiden (4062 JP) To Replace Nidec (6594 JP) 🚨

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 - January 06 - 10

Weak price action for Nikkei at start of year, little direction from USD/JPY. Volatility increased, volumes were up with Puts dominating trades....

John Ley

EQD | Nikkei Index Options Weekly - December 23 - 27

NKY appears to be catching up to USD/JPY, with a 4.03% rise breaking out of recent range. Implied volatility is down and call volumes surpass put...

John Ley

EQD | Nikkei Index Options Weekly - December 16 - 20

Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

John Ley

EQD | Nikkei Index Options Weekly - December 09 - 13

Investors are buying out-of-the-money puts on NKY as the change in open interest is skewed towards Puts at lower levels and price action...

John Ley

Nikkei 225 Index Rebalance: 🚨Ibiden (4062 JP) To Replace Nidec (6594 JP) 🚨

TOPIX trackers are estimated to sell a lot of Nidec shares at the close today. Ibiden is already up a lot and that could lead to inclusion in a...

Brian Freitas

EQD | Nikkei Index Options Weekly - January 06 - 10

​Weak price action for Nikkei at start of year, little direction from USD/JPY. Volatility increased, volumes were up with Puts dominating trades....

John Ley

EQD | Nikkei Index Options Weekly - December 23 - 27

​NKY appears to be catching up to USD/JPY, with a 4.03% rise breaking out of recent range. Implied volatility is down and call volumes surpass put...

John Ley

EQD | Nikkei Index Options Weekly - December 16 - 20

​Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

John Ley

EQD | Nikkei Index Options Weekly - December 09 - 13

​Investors are buying out-of-the-money puts on NKY as the change in open interest is skewed towards Puts at lower levels and price action...

John Ley

Nikkei 225 Index Rebalance: 🚨Ibiden (4062 JP) To Replace Nidec (6594 JP) 🚨

TOPIX trackers are estimated to sell a lot of Nidec shares at the close today. Ibiden is already up a lot and that could lead to inclusion in a...

Brian Freitas

Weak price action for Nikkei at start of year, little direction from USD/JPY. Volatility increased, volumes were up with Puts dominating trades....

NKY appears to be catching up to USD/JPY, with a 4.03% rise breaking out of recent range. Implied volatility is down and call volumes surpass put...

Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

Investors are buying out-of-the-money puts on NKY as the change in open interest is skewed towards Puts at lower levels and price action...