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

<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

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

Rikki Malik

Commodities

<ul>
<li>The current macro environment has elements of both the 1970's and mid-2000s commodity bull market</li>
<li>Investor interest and allocation to this asset class is still minimal</li>
<li>A rising cost of capital globally favours a move out of long duration into real assets</li>
</ul>


The current macro environment has elements of both the 1970's and mid-2000s commodity bull market
Investor interest and allocation to this asset class is still minimal
A rising cost of capital globally favours a move out of long duration into real assets


2026 High Conviction Idea: Our Basket of Commodity Equities Will Outperform Broad Equity Indices

<ul>
<li>Monthly deep-dive into price and vol metrics across Global indexes and macro assets.</li>
<li>In-Depth look at the current state of the markets as well as how volatility and price may unfold.</li>
<li>We highlight strong seasonal trends in April, with all markets typically rising and realized vol typically coming in below implied.</li>
</ul>


Monthly deep-dive into price and vol metrics across Global indexes and macro assets.
In-Depth look at the current state of the markets as well as how volatility and price may unfold.
We highlight strong seasonal trends in April, with all markets typically rising and realized vol typically coming in below implied.


April Global Macro Volatility: Strong Price and Vol Seasonals

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

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

2026 High Conviction Idea: Our Basket of Commodity Equities Will Outperform Broad Equity Indices

Why a basket of commodity producers provide a good risk reward for any portfolio looking to get a real return. Underowned and unloved!

Rikki Malik

April Global Macro Volatility: Strong Price and Vol Seasonals

Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...

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

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

2026 High Conviction Idea: Our Basket of Commodity Equities Will Outperform Broad Equity Indices

Why a basket of commodity producers provide a good risk reward for any portfolio looking to get a real return. Underowned and unloved!

Rikki Malik

April Global Macro Volatility: Strong Price and Vol Seasonals

​Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...

John Ley

Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...