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

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>The widening gap between Japanese single stock and index implied volatility appears concentrated rather than broadly distributed across the market.</li>
<li>Information Technology and Industrials account for much of the concentration among stocks trading at unusually wide implied vol spreads.</li>
<li>A number of stocks have gone from merely over-extended to dislocated, potentially pointing to a regime change in their volatility relationship against the Nikkei.</li>
</ul>


The widening gap between Japanese single stock and index implied volatility appears concentrated rather than broadly distributed across the market.
Information Technology and Industrials account for much of the concentration among stocks trading at unusually wide implied vol spreads.
A number of stocks have gone from merely over-extended to dislocated, potentially pointing to a regime change in their volatility relationship against the Nikkei.


Japanese Single Stock Implied Volatility: The Growing Gap Between Stocks and the Nikkei

Nikkei 225

Japanese Single Stock Implied Volatility: The Growing Gap Between Stocks and the Nikkei