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

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

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>Nikkei has spent 55 trading days with 1M historic vol less than 1M implied vol, averaging about 4 points less.</li>
<li>The trading range since October looks similar to the trading range the market went through from May to July with similar volatility characteristics. </li>
<li>Big move on Monday didn’t spark volatility with market settling into a very narrow range to finish the week down 1.89%.</li>
</ul>


Nikkei has spent 55 trading days with 1M historic vol less than 1M implied vol, averaging about 4 points less.
The trading range since October looks similar to the trading range the market went through from May to July with similar volatility characteristics. 
Big move on Monday didn’t spark volatility with market settling into a very narrow range to finish the week down 1.89%.


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

Nikkei 225

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