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

EQD | Hong Kong Single Stock Options Weekly (January 13 – 17): Stocks at Inflection Point.

EQD | Nikkei Index Options Weekly (January 14 – 17): Volatility Needs a Break from the Range

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Equity Derivatives

<ul>
<li>Abrupt change in course for HSI which bottomed on Monday and moved higher in a straight line the rest of the week. Price action was aided by stabilization in Tencent.</li>
<li>Implied vols were softer on the week and have a fairly large spread to historic vols. Caution warranted for long vol positions as this can persist with holidays dead ahead.  </li>
<li>Call volumes have rebounded to normal levels with the strong price action.</li>
</ul>


Abrupt change in course for HSI which bottomed on Monday and moved higher in a straight line the rest of the week. Price action was aided by stabilization in Tencent.
Implied vols were softer on the week and have a fairly large spread to historic vols. Caution warranted for long vol positions as this can persist with holidays dead ahead.  
Call volumes have rebounded to normal levels with the strong price action.


Hang Seng China Enterprises Index (HSCEI INDEX)

EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 13-17): Long Vol Gets a Caution Flag

Hang Seng Index

EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 13-17): Long Vol Gets a Caution Flag