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 150 level on USD/JPY seems to be an area of heightened interest. We see potential for greater disparity of Nikkei returns below this level.</li>
<li>Nikkei 1-month implied vol is at the 17th percentile; while not currently monetizing, caution is warranted on short vol positions as USD/JPY vol trends higher.</li>
<li>Call volume dropped sharply vs total volume, with Puts outpacing Calls every day this week.</li>
</ul>


The 150 level on USD/JPY seems to be an area of heightened interest. We see potential for greater disparity of Nikkei returns below this level.
Nikkei 1-month implied vol is at the 17th percentile; while not currently monetizing, caution is warranted on short vol positions as USD/JPY vol trends higher.
Call volume dropped sharply vs total volume, with Puts outpacing Calls every day this week.


Nikkei Index Options Weekly (Feb 17 – 21): USD/JPY at Inflection Point

Nikkei 225

Nikkei Index Options Weekly (Feb 17 – 21): USD/JPY at Inflection Point