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

Nikkei: Failed Breakout and Summer Seasonals Signal Opportunity

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

Hong Kong Single Stock Options Weekly (June 30 – July 04): Narrowing Breadth and Rising Put Activity

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

Kospi200: Elevated Returns, Historical Extremes and Optionality Opportunity

US Asset Correlations Spike: Early Days, But A New Regime May Be Unfolding

Kospi200: Where Implied Vol Stands After 33% Surge

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>Across markets realized volatility generally came in below implied, making June favorable for volatility sellers.</li>
<li>July has historically rewarded vol sellers; we reference a prior Insight on volatility during Trump’s first term highlighting a large deviation from average in July.</li>
<li>Average July returns are mixed, but there are clear standouts among the macro markets.</li>
</ul>


Across markets realized volatility generally came in below implied, making June favorable for volatility sellers.
July has historically rewarded vol sellers; we reference a prior Insight on volatility during Trump’s first term highlighting a large deviation from average in July.
Average July returns are mixed, but there are clear standouts among the macro markets.


Shanghai Stock Exchange Composite Index (SHCOMP INDEX)

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

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

Gold

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