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>November’s seasonal strength extends into the U.S. Thanksgiving period, where macro markets have tended to post positive returns.</li>
<li>Despite the positive averages, dispersion in returns remains wide, reminding traders that seasonality is no guarantee.</li>
<li>Positive seasonals can align with favorable trading setups, but timing and risk management remain key.</li>
</ul>


November’s seasonal strength extends into the U.S. Thanksgiving period, where macro markets have tended to post positive returns.
Despite the positive averages, dispersion in returns remains wide, reminding traders that seasonality is no guarantee.
Positive seasonals can align with favorable trading setups, but timing and risk management remain key.


Macro Markets and the U.S. Thanksgiving Effect: Shedding Light on Historical Patterns

<ul>
<li>October seasonals, despite their reputation, show most markets with better than 60% odds of finishing higher albeit with meager returns. </li>
<li>Volatility trends have diverged, with implied vols climbing even as realized vols fell, raising questions about early signs of risk sensitivity.</li>
<li>Implied vols on most markets have been trending higher vs the SP500 despite the US being ground zero for policy uncertainty.</li>
</ul>


October seasonals, despite their reputation, show most markets with better than 60% odds of finishing higher albeit with meager returns. 
Volatility trends have diverged, with implied vols climbing even as realized vols fell, raising questions about early signs of risk sensitivity.
Implied vols on most markets have been trending higher vs the SP500 despite the US being ground zero for policy uncertainty.


Monthly Macro Markets (October): Diverging Volatility Trends Highlight Risk Sensitivity

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Commodities

<ul>
<li>A review of recent events and data impacting our investment themes and outlook</li>
<li>Central banks add fuel to the ongoing commodity bull market</li>
<li>Could we see a meaningful de-escalation in US and China tensions</li>
</ul>


A review of recent events and data impacting our investment themes and outlook
Central banks add fuel to the ongoing commodity bull market
Could we see a meaningful de-escalation in US and China tensions


Overview #43 – The Gift that Keeps on Giving

<ul>
<li>AS51 broke out of a tight multi day range Friday with one of the strongest moves of the year.</li>
<li>Relative performance versus SPX has begun to improve, hinting at a potential shift after prolonged underperformance.</li>
<li>SPASX200 1-month implied vol remains pinned near historic lows which could provide an interesting setup into year end.</li>
</ul>


AS51 broke out of a tight multi day range Friday with one of the strongest moves of the year.
Relative performance versus SPX has begun to improve, hinting at a potential shift after prolonged underperformance.
SPASX200 1-month implied vol remains pinned near historic lows which could provide an interesting setup into year end.


Australia Single Stock Options (Dec 08–12): AS51 Escapes Range as Relative Performance Vs SPX Turns

<ul>
<li>Macro assets reveal shifting volatility landscapes, with inexpensive implied vols, seasonal headwinds, and notable divergences across key markets.</li>
<li>Seasonal pressures are turning negative, with September historically weaker, while risk-reward spreads highlight CSI300 strength and SPASX200 vulnerability.</li>
<li>Implied vols remain inexpensive across most assets, with NKY, Nifty, and SPASX200 near historic lows despite shifting market dynamics.</li>
</ul>


Macro assets reveal shifting volatility landscapes, with inexpensive implied vols, seasonal headwinds, and notable divergences across key markets.
Seasonal pressures are turning negative, with September historically weaker, while risk-reward spreads highlight CSI300 strength and SPASX200 vulnerability.
Implied vols remain inexpensive across most assets, with NKY, Nifty, and SPASX200 near historic lows despite shifting market dynamics.


Global Macro Outlook (September): Cheap Vols Meet Seasonal Weakness Across Key Assets

United States

The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.

S&P 500 INDEX (SPX INDEX)

Macro Markets and the U.S. Thanksgiving Effect: Shedding Light on Historical Patterns

Examining 25 years of macro market behavior around U.S. Thanksgiving to uncover recurring seasonal patterns and what they may reveal about risk and...

John Ley

Monthly Macro Markets (October): Diverging Volatility Trends Highlight Risk Sensitivity

Despite October’s reputation for turmoil, history points to gains, though volatility signals have begun to diverge underscoring possible increasing...

John Ley

Overview #43 – The Gift that Keeps on Giving

A review of recent events/data impacting our investment themes and outlook. Central Bank Pronouncements and the potential for US-China tension de...

Rikki Malik

Australia Single Stock Options (Dec 08–12): AS51 Escapes Range as Relative Performance Vs SPX Turns

AS51 shows strong breakout, improving relative performance against SPX, low volatility may set up interesting year-end opportunity.

John Ley

Global Macro Outlook (September): Cheap Vols Meet Seasonal Weakness Across Key Assets

September outlook highlights inexpensive implied vols, seasonal pressures, and risk-reward spreads that favor CSI300 while underscoring poorrisk...

John Ley

Macro Markets and the U.S. Thanksgiving Effect: Shedding Light on Historical Patterns

Examining 25 years of macro market behavior around U.S. Thanksgiving to uncover recurring seasonal patterns and what they may reveal about risk and...

John Ley

Monthly Macro Markets (October): Diverging Volatility Trends Highlight Risk Sensitivity

Despite October’s reputation for turmoil, history points to gains, though volatility signals have begun to diverge underscoring possible increasing...

John Ley

Overview #43 – The Gift that Keeps on Giving

A review of recent events/data impacting our investment themes and outlook. Central Bank Pronouncements and the potential for US-China tension de...

Rikki Malik

Australia Single Stock Options (Dec 08–12): AS51 Escapes Range as Relative Performance Vs SPX Turns

​AS51 shows strong breakout, improving relative performance against SPX, low volatility may set up interesting year-end opportunity.

John Ley

Global Macro Outlook (September): Cheap Vols Meet Seasonal Weakness Across Key Assets

September outlook highlights inexpensive implied vols, seasonal pressures, and risk-reward spreads that favor CSI300 while underscoring poorrisk...

John Ley

AS51 shows strong breakout, improving relative performance against SPX, low volatility may set up interesting year-end opportunity.