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

Macro Monthly (March): Kospi Dislocation, Nifty’s Seasonal Edge

Kospi200: Rally Enters Rare Territory With History Urging Caution

Clifton Derivatives

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

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>We examine the sharp shift in Kospi implied vol following the index’s extreme advance and assess changing volatility dynamics.</li>
<li>Implied vols have moved higher alongside price, altering the usual spot-vol dynamic during this latest up-leg.</li>
<li>With implied volatility elevated, we explore structures designed to moderate vega risk.</li>
</ul>


We examine the sharp shift in Kospi implied vol following the index’s extreme advance and assess changing volatility dynamics.
Implied vols have moved higher alongside price, altering the usual spot-vol dynamic during this latest up-leg.
With implied volatility elevated, we explore structures designed to moderate vega risk.


Kospi200: Changing Volatility Regime and Practical Hedging Approaches