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

Hong Kong Single Stock Options Weekly (May 04–07): Earnings and Pop Mart Flows (Again) In Focus

Tencent (700.HK) Earnings: Underperformance, Subdued Vols and Elevated Expectations

Alibaba (9988.HK) Earnings: Elevated Implied Jump Into Q4 Results

Macro Monthly (April): Elevated Implied Volatility Set Against a Traditionally Supportive Backdrop

Oil: Price and Volatility Shock Create High Probability Setups

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>April delivered broad-based gains and prior observations on seasonality played out, with all markets providing a positive vol premium. </li>
<li>Historically monthly price changes in May are mixed with returns across markets clustering around flat outcomes.</li>
<li>Nikkei, Oil, Kospi and Gold all have implied vols significantly above what has historically reallized in May. </li>
</ul>


April delivered broad-based gains and prior observations on seasonality played out, with all markets providing a positive vol premium. 
Historically monthly price changes in May are mixed with returns across markets clustering around flat outcomes.
Nikkei, Oil, Kospi and Gold all have implied vols significantly above what has historically reallized in May. 


Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Macro Monthly (May): Elevated Vols Persist Despite April Compression