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 (November): Rising Volatility, Positive Seasonals and a Concerning Trend

Kospi: Rising Volatility and Early Warnings From a Seven-Month Surge

Hong Kong Single Stock Options Weekly (Nov 03–07): Growing Split Between Old and New Economy Sectors

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>October seasonals, despite their reputation, show most markets with better than 60% odds of finishing higher albeit with meager returns. </li>
<li>Volatility trends have diverged, with implied vols climbing even as realized vols fell, raising questions about early signs of risk sensitivity.</li>
<li>Implied vols on most markets have been trending higher vs the SP500 despite the US being ground zero for policy uncertainty.</li>
</ul>


October seasonals, despite their reputation, show most markets with better than 60% odds of finishing higher albeit with meager returns. 
Volatility trends have diverged, with implied vols climbing even as realized vols fell, raising questions about early signs of risk sensitivity.
Implied vols on most markets have been trending higher vs the SP500 despite the US being ground zero for policy uncertainty.


Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

VanEck Vectors Junior Gold Miners ETF (GDXJ US)

Monthly Macro Markets (October): Diverging Volatility Trends Highlight Risk Sensitivity

S&P 500 INDEX

Monthly Macro Markets (October): Diverging Volatility Trends Highlight Risk Sensitivity