Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Ex-Portfolio Manager with over 25 years of derivatives experience across products and geographies. Specializing in all things Vol - Relative Value volatility trading, Cross-Asset volatility strategies and event handicapping and trading. Develops own proprietary trading tools and analysis.  
Previously: Options Specialist and Market Maker at BMO, Managing Director Global Equity Derivatives at TDS. Most recently, Portfolio Manager of volatility portfolio at Polar Aset Management Partners (> $USD 7 billion multi-strategy hedge fund) focusing on cross-asset relative value volatility and derivative fund overlays.

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>Last week’s upside break failed quickly pulling AS51 back into the narrow range that it had been confined to.</li>
<li>Market participation weakened meaningfully, with fewer stocks advancing and losses outweighing gains beneath the surface.</li>
<li>We introduce new analysis comparing average single stock implied vol with AS51 index vol, highlighting a significant disconnect.</li>
</ul>


Last week’s upside break failed quickly pulling AS51 back into the narrow range that it had been confined to.
Market participation weakened meaningfully, with fewer stocks advancing and losses outweighing gains beneath the surface.
We introduce new analysis comparing average single stock implied vol with AS51 index vol, highlighting a significant disconnect.


Australia Single Stock Options (Dec 15 – 19): Rejected Rally and Rising Volatility Dispersion

S&P/ASX 200

Australia Single Stock Options (Dec 15 – 19): Rejected Rally and Rising Volatility Dispersion