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

Global Macro Outlook (July): Trump Volatility Playbook Offers Clues for July Positioning

Nikkei: Failed Breakout and Summer Seasonals Signal Opportunity

Nifty’s Summer Setup: Quiet Vol and Strong Price Seasonals

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>Common perception is that Trump = Volatility. We look at average monthly historic volatility and returns across 2017-2020 and compare with prior 19 years.</li>
<li>Trumps term in office included "Volmageddon", the Christmas Massacre and Covid but we still find that the returns and historic volatility were not out of line.</li>
<li>Although a small sample size, we see a pattern to how historic volatility deviated from the average over his last term in office. </li>
</ul>


Common perception is that Trump = Volatility. We look at average monthly historic volatility and returns across 2017-2020 and compare with prior 19 years.
Trumps term in office included "Volmageddon", the Christmas Massacre and Covid but we still find that the returns and historic volatility were not out of line.
Although a small sample size, we see a pattern to how historic volatility deviated from the average over his last term in office. 


EQD| SPX Volatility During the Trump Years (2017-2020)

S&P 500 INDEX

EQD| SPX Volatility During the Trump Years (2017-2020)