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 | Kospi Index Options Weekly (January 20 – 24): Stalled Rally, Flat Implied Vol

EQD | Hong Kong Index Options Weekly (HSI and HSCEI January 20-24): Seasonals Provide Tailwind

EQD | Tactically Overbought HSI May Start Pulling Back After Lunar New Year

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>All three markets exhibited larger average returns in the 5 days leading up to Lunar New Years compared to out-of-sample data.</li>
<li>The pattern for the period after Lunar New Year does not show the same characteristics as prior to Lunar New Year.</li>
<li>The strongest returns were seen in FXI with average returns 10X out-of-sample average returns.</li>
</ul>


All three markets exhibited larger average returns in the 5 days leading up to Lunar New Years compared to out-of-sample data.
The pattern for the period after Lunar New Year does not show the same characteristics as prior to Lunar New Year.
The strongest returns were seen in FXI with average returns 10X out-of-sample average returns.


Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

EQD| Lunar New Year: Do HSI, KOSPI, and FXI Follow a Pattern?

Hang Seng Index

EQD| Lunar New Year: Do HSI, KOSPI, and FXI Follow a Pattern?