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 (February): Gold and Kospi Volatility Highlight Fragile Feb Backdrop

Silver: Parabolic Advance Shaken in a Violent Friday Session

Silver: A Fifty-Year Perspective on Bull Markets and Sizing Up the Recent Correction

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>We examine the implied volatility setup as well as the markets expectations for 1-day price movement following the election.</li>
<li>Options positioning indicates increased hedging activity, with Put volume dominating recent Nikkei options flow.</li>
<li>Return dynamics have shifted for the Nikkei 225, with recent distributions appearing wider and flatter than longer-term norms.</li>
</ul>


We examine the implied volatility setup as well as the markets expectations for 1-day price movement following the election.
Options positioning indicates increased hedging activity, with Put volume dominating recent Nikkei options flow.
Return dynamics have shifted for the Nikkei 225, with recent distributions appearing wider and flatter than longer-term norms.


Nikkei: Assessing Implied Volatility and Market Expectations Into the Election