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 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

<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

<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

<ul>
<li>Nikkei has spent 55 trading days with 1M historic vol less than 1M implied vol, averaging about 4 points less.</li>
<li>The trading range since October looks similar to the trading range the market went through from May to July with similar volatility characteristics. </li>
<li>Big move on Monday didn’t spark volatility with market settling into a very narrow range to finish the week down 1.89%.</li>
</ul>


Nikkei has spent 55 trading days with 1M historic vol less than 1M implied vol, averaging about 4 points less.
The trading range since October looks similar to the trading range the market went through from May to July with similar volatility characteristics. 
Big move on Monday didn’t spark volatility with market settling into a very narrow range to finish the week down 1.89%.


EQD | Nikkei Index Options Weekly (January 14 – 17): Volatility Needs a Break from the Range

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 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

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 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

EQD | Nikkei Index Options Weekly (January 14 – 17): Volatility Needs a Break from the Range

Nikkei's recent trading patterns show historical volatility consistently lower than implied volatility over the last 55 trading days.

John Ley

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

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 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

EQD | Nikkei Index Options Weekly (January 14 – 17): Volatility Needs a Break from the Range

​Nikkei's recent trading patterns show historical volatility consistently lower than implied volatility over the last 55 trading days.

John Ley

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.

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...

Nikkei's recent trading patterns show historical volatility consistently lower than implied volatility over the last 55 trading days.