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>Across markets realized volatility generally came in below implied, making June favorable for volatility sellers.</li>
<li>July has historically rewarded vol sellers; we reference a prior Insight on volatility during Trump’s first term highlighting a large deviation from average in July.</li>
<li>Average July returns are mixed, but there are clear standouts among the macro markets.</li>
</ul>


Across markets realized volatility generally came in below implied, making June favorable for volatility sellers.
July has historically rewarded vol sellers; we reference a prior Insight on volatility during Trump’s first term highlighting a large deviation from average in July.
Average July returns are mixed, but there are clear standouts among the macro markets.


Global Macro Outlook (July): Trump Volatility Playbook Offers Clues for July Positioning

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>A quick synoptic look at the tactical models for some key indices, stocks, commodities and bonds we cover, for the week June 30 - July 4.</li>
<li>US Markets will be closed for Independence Day celebrations on July 4th.</li>
<li>Most stocks and global indices appear to be overbought or nearly overbought. 10-year US Treasuries Futures are also overbought. Commodities like Gold and Crude Oil are down. </li>
</ul>


A quick synoptic look at the tactical models for some key indices, stocks, commodities and bonds we cover, for the week June 30 - July 4.
US Markets will be closed for Independence Day celebrations on July 4th.
Most stocks and global indices appear to be overbought or nearly overbought. 10-year US Treasuries Futures are also overbought. Commodities like Gold and Crude Oil are down. 


Global Markets Tactical Outlook: Week of June 30 – July 4

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

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/xero-ltd" target="_blank" data-smartkarma-citation="entities:390:1" rel="noopener">Xero Ltd (XRO AU)</a> has entered into a binding agreement to acquire Melio Limited for an upfront cash consideration of US$2.5bn in cash and <a href="https://www.smartkarma.com/entities/xero-ltd" target="_blank" data-smartkarma-citation="entities:390:1" rel="noopener">Xero Ltd (XRO AU)</a> stock.</li>
<li>The cash consideration is being funded mainly through a fully underwritten A$1.85bn (US$1.2bn) institutional placement. There is also a non-underwritten Share Purchase Plan to raise around A$200m.</li>
<li>Given the large size of the institutional placement, there will be an increase in index shares and the passive buying that follows should mop up over 20% of the placement.</li>
</ul>



Xero Ltd (XRO AU) has entered into a binding agreement to acquire Melio Limited for an upfront cash consideration of US$2.5bn in cash and Xero Ltd (XRO AU) stock.
The cash consideration is being funded mainly through a fully underwritten A$1.85bn (US$1.2bn) institutional placement. There is also a non-underwritten Share Purchase Plan to raise around A$200m.
Given the large size of the institutional placement, there will be an increase in index shares and the passive buying that follows should mop up over 20% of the placement.


Xero (XRO AU): Index Flows Following the Capital Raise

<ul>
<li>
<a href="https://www.smartkarma.com/entities/greatland-gold-plc" target="_blank" data-smartkarma-citation="entities:44285:1" rel="noopener">Greatland Resources (GGP AU)</a> started trading on the <a href="https://www.smartkarma.com/entities/asx-ltd" target="_blank" data-smartkarma-citation="entities:552:1" rel="noopener">ASX Ltd (ASX AU)</a> on 24 June after selling shares worth A$504m in a primary and secondary offering across Australia/UK.</li>
<li>Greatland has a full market cap of A$4.9bn and a high free float since <a href="https://www.smartkarma.com/entities/greatland-gold-plc" target="_blank" data-smartkarma-citation="entities:44285:1" rel="noopener">Greatland Gold Plc (GGP LN)</a> was listed on the AIM market of the <a href="https://www.smartkarma.com/entities/london-stock-exchange-group" target="_blank" data-smartkarma-citation="entities:22034:1" rel="noopener">London Stock Exchange</a>.</li>
<li>Given the large market cap and high float, the stock could be added to multiple indices over the next few months.</li>
</ul>



Greatland Resources (GGP AU) started trading on the ASX Ltd (ASX AU) on 24 June after selling shares worth A$504m in a primary and secondary offering across Australia/UK.
Greatland has a full market cap of A$4.9bn and a high free float since Greatland Gold Plc (GGP LN) was listed on the AIM market of the London Stock Exchange.
Given the large market cap and high float, the stock could be added to multiple indices over the next few months.


Greatland Resources (GGP AU): Big Index Inclusions for Recent IPO

<ul>
<li>Gemlife (GLF AU) is looking to raise A$750m in a primary offering, valuing the company at A$1.58bn. The stock is expected to start trading on 3 July.</li>
<li>The Puljich family and <a href="https://www.smartkarma.com/entities/thakral-corp-ltd" target="_blank" data-smartkarma-citation="entities:5482:1" rel="noopener">Thakral Corp (THK SP)</a> are escrowed on their shares till mid 2026 at the earliest. </li>
<li>Gemlife (GLF AU) could be added to global indexes in November and December this year, but S&amp;P/ASX 300 Index inclusion could take place only in March 2026.</li>
</ul>


Gemlife (GLF AU) is looking to raise A$750m in a primary offering, valuing the company at A$1.58bn. The stock is expected to start trading on 3 July.
The Puljich family and Thakral Corp (THK SP) are escrowed on their shares till mid 2026 at the earliest. 
Gemlife (GLF AU) could be added to global indexes in November and December this year, but S&amp;P/ASX 300 Index inclusion could take place only in March 2026.


Gemlife (GLF AU): Index Inclusions Start Later This Year

Australia

The S&P/ASX 200 measures the performance of the 200 largest index-eligible stocks listed on the ASX by float-adjusted market capitalization. Representative liquid and tradable, it is widely considered Australia's preeminent benchmark index. The index is float-adjusted. The index was launched in April 2000.

S&P/ASX 200 (AS51 INDEX)

Global Macro Outlook (July): Trump Volatility Playbook Offers Clues for July Positioning

An in-depth look at price and volatilty across macro markets. July has historically been fertile ground for volatiilty sellers and we take a deeper...

John Ley

Global Markets Tactical Outlook: Week of June 30 – July 4

Many Asian/Pacific indices and stocks are overbought, US stocks are not yet overbought (apart from NVDA), Gold and Crude oil are down, 10-Year US...

Nico Rosti

Xero (XRO AU): Index Flows Following the Capital Raise

Xero is raising A$1.85bn to partially fund its Melio acquisition. The issue price is a 9.4% discount to last and is fully underwritten. Passives...

Brian Freitas

Greatland Resources (GGP AU): Big Index Inclusions for Recent IPO

Greatland Resources listed on the ASX after A$504m was raised via a primary+secondary issue in AU/UK. Free float market cap over A$3bn should...

Brian Freitas

Gemlife (GLF AU): Index Inclusions Start Later This Year

Gemlife is looking to raise A$750m at a valuation of A$1.58bn. Stock starts trading on 3 July. Smallcap global index inclusions could be in Nov and...

Brian Freitas