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| HSCEI Index Options Weekly (Feb 10-14): Tactical Hedges for an Extended Rally

EQD | Hong Kong Single Stock Options Weekly (Feb 10 – 14):  Strong Option Volumes Fuel Rally

Kospi Index Options Weekly (February 10 – 14): Call Volumes Rebound

EQD | February Macro Vol Roadmap – Stay Alert to Trend Change in 2nd Half of Month

EQD| HSI: 99th Percentile 2-Week Move on Low Volatility. What’s Next?

EQD | Nifty Index Options Weekly (Jan 24 – 31): Second Longest Decline Since 2007

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>Rally over the past 2 weeks has landed it in the 99th percentile since 2000 and has also been accompanied by low volatility.</li>
<li>The up-trend has a number of characteristics similar to the 21% rally in May 2024 and is in line with levels from which market has failed to advance.</li>
<li>Given how price and vol are likely to evolve over the next month we suggest tactical positions to reduce position size </li>
</ul>


Rally over the past 2 weeks has landed it in the 99th percentile since 2000 and has also been accompanied by low volatility.
The up-trend has a number of characteristics similar to the 21% rally in May 2024 and is in line with levels from which market has failed to advance.
Given how price and vol are likely to evolve over the next month we suggest tactical positions to reduce position size 


EQD| HSI Index Options Weekly (Feb 10-14): Reduce Positions with Short Volatility Edge

Hang Seng Index

EQD| HSI Index Options Weekly (Feb 10-14): Reduce Positions with Short Volatility Edge