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

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>Kospi’s price action was concentrated in just two days, with the rest of the week marked by quiet trading.</li>
<li>We examine Kospi’s performance relative to SPX within the broader global index landscape. .</li>
<li>A word of caution on long volatility positions as current implied vol levels come into focus.</li>
</ul>


Kospi’s price action was concentrated in just two days, with the rest of the week marked by quiet trading.
We examine Kospi’s performance relative to SPX within the broader global index landscape. .
A word of caution on long volatility positions as current implied vol levels come into focus.


Kospi Index Options Weekly (Mar 10 – 14): Relative Strength and Volatility Trends in Focus

Podcast by Hedge Fund Manager Erik Townsend, Macro Voices

Macro Voices

Podcast by Hedge Fund Manager Erik Townsend

Weekly market commentary by Hedge Fund Manager Erik Townsend and interviews with the brightest minds in the world of finance and macroeconomics. Made possible by funding from Fourth Turning Capital Management, LLC

Macroeconomics

<ul><li>Stock market experienced a significant decline on Monday, prompting thoughts of hedging downside risk with options back in February.</li><li>There are still strategies using options to manage risk and repair portfolios, as discussed in upcoming webinar.</li><li>Variant Perception CEO Tian Yang discusses macro environment, impact of Trump's policies, and the economy in interview with Macro Voices host Eric Townsend.</li></ul><p><em>This content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.</em></p>

Stock market experienced a significant decline on Monday, prompting thoughts of hedging downside risk with options back in February.There are still strategies using options to manage risk and repair portfolios, as discussed in upcoming webinar.Variant Perception CEO Tian Yang discusses macro environment, impact of Trump's policies, and the economy in interview with Macro Voices host Eric Townsend.This content is sourced through publicly available sources and has been machine generated. Information displayed is for general informational purposes only.

MacroVoices #471 Tian Yang: Tariffs Will Continue Until Morale Improves

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>Constituent changes to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> and capping changes will result in a round-trip trade of US$15.5bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.</li>
<li>The Select Sector index trackers and S&amp;P500 Equal Weight trackers will need to buy the adds to the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P500 INDEX</a> and sell the deletes, further increasing flow for the stocks.</li>
<li>The <a href="https://www.smartkarma.com/entities/vaneck-vectors-semiconductor" target="_blank" data-smartkarma-citation="entities:32807:1" rel="noopener">VanEck Vectors Semiconductor (SMH US)</a> ETF will be selling <a href="https://www.smartkarma.com/entities/broadcom-inc" target="_blank" data-smartkarma-citation="entities:998:1" rel="noopener">Broadcom (AVGO US)</a> at the same time as the Select Sector and S&amp;P500 Equal Weight Index trackers.</li>
</ul>


Constituent changes to the S&amp;P 500 INDEX and capping changes will result in a round-trip trade of US$15.5bn across the Select Sector indices and the S&amp;P500 Equal Weight Index.
The Select Sector index trackers and S&amp;P500 Equal Weight trackers will need to buy the adds to the S&amp;P500 INDEX and sell the deletes, further increasing flow for the stocks.
The VanEck Vectors Semiconductor (SMH US) ETF will be selling Broadcom (AVGO US) at the same time as the Select Sector and S&amp;P500 Equal Weight Index trackers.


Select Sector Indices and S&P Equal Weight Rebalance: US$15.5bn Flow Post Capping

<ul>
<li>Nifty traded in an exceptionally narrow range during a holiday-shortened week, a stark contrast to volatility in other markets.</li>
<li>We highlight Nifty’s relative performance against SPX across both long- and short-term time frames.</li>
<li>Implied volatility softened as the quiet range and muted trading activity put pressure on options pricing.</li>
</ul>


Nifty traded in an exceptionally narrow range during a holiday-shortened week, a stark contrast to volatility in other markets.
We highlight Nifty’s relative performance against SPX across both long- and short-term time frames.
Implied volatility softened as the quiet range and muted trading activity put pressure on options pricing.


Nifty Index Options Weekly (Mar 10–13): Outperforming SPX in Low-Volatility Trade

<ul>
<li>We assess the effectiveness of short volatility versus long volatility positioning.</li>
<li>Nikkei’s performance relative to SPX is analyzed across three distinct time frames.</li>
<li>Volatility remained muted ahead of next week’s Bank of Japan meeting, while option volumes increased week over week.</li>
</ul>


We assess the effectiveness of short volatility versus long volatility positioning.
Nikkei’s performance relative to SPX is analyzed across three distinct time frames.
Volatility remained muted ahead of next week’s Bank of Japan meeting, while option volumes increased week over week.


Nikkei Index Options Weekly (Mar 10–14): Assessing Long Vs. Short Vol Strategies & Returns Vs. SPX

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)

Kospi Index Options Weekly (Mar 10 – 14): Relative Strength and Volatility Trends in Focus

Kospi's price action concentrated in two days, quiet trading rest of week. Caution advised on long volatility positions due to current implied vol...

John Ley

MacroVoices #471 Tian Yang: Tariffs Will Continue Until Morale Improves

The article discusses the importance of hedging downside equity market risk with options, the recent market movements, key economic indicators to...

Macro Voices

Select Sector Indices and S&P Equal Weight Rebalance: US$15.5bn Flow Post Capping

Constituent changes to the S&P 500 Index and capping changes will result in a round-trip trade of US$15.45bn across the Select Sector indices and...

Brian Freitas

Nifty Index Options Weekly (Mar 10–13): Outperforming SPX in Low-Volatility Trade

Nifty's tight trading range during holiday week contrasts with higher volatility in other markets. We examine Nifty's performance vs SPX over long...

John Ley

Nikkei Index Options Weekly (Mar 10–14): Assessing Long Vs. Short Vol Strategies & Returns Vs. SPX

Analysis of short versus long volatility positioning and comparison of Nikkei's performance to SPX across different time frames. Option Volume...

John Ley

Kospi Index Options Weekly (Mar 10 – 14): Relative Strength and Volatility Trends in Focus

​Kospi's price action concentrated in two days, quiet trading rest of week. Caution advised on long volatility positions due to current implied vol...

John Ley

MacroVoices #471 Tian Yang: Tariffs Will Continue Until Morale Improves

The article discusses the importance of hedging downside equity market risk with options, the recent market movements, key economic indicators to...

Macro Voices

Select Sector Indices and S&P Equal Weight Rebalance: US$15.5bn Flow Post Capping

Constituent changes to the S&P 500 Index and capping changes will result in a round-trip trade of US$15.45bn across the Select Sector indices and...

Brian Freitas

Nifty Index Options Weekly (Mar 10–13): Outperforming SPX in Low-Volatility Trade

​Nifty's tight trading range during holiday week contrasts with higher volatility in other markets. We examine Nifty's performance vs SPX over long...

John Ley

Nikkei Index Options Weekly (Mar 10–14): Assessing Long Vs. Short Vol Strategies & Returns Vs. SPX

​Analysis of short versus long volatility positioning and comparison of Nikkei's performance to SPX across different time frames. Option Volume...

John Ley

Kospi's price action concentrated in two days, quiet trading rest of week. Caution advised on long volatility positions due to current implied vol...

Nifty's tight trading range during holiday week contrasts with higher volatility in other markets. We examine Nifty's performance vs SPX over long...

Analysis of short versus long volatility positioning and comparison of Nikkei's performance to SPX across different time frames. Option Volume...