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

HSI Index Options Weekly (Mar 31-Apr 03): Global Meltdown, What to Expect on Monday

Nikkei Index Options Weekly Mar 31 – Apr 04): Volatility Elevated, Put Demand Surges

Kospi Index Options Weekly (Mar 31 – Apr 4): Rising Vol, Local and Global Political Undercurrents

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>Drops greater than 5% on a Friday are rare, we examine historical returns after such events.</li>
<li>We revisit 1987 price action and reconstructed VIX levels to add historical context.</li>
<li>With circuit breakers now in place and political volatility elevated, we assess what today’s sell-off might mean for the next trading day.</li>
</ul>


Drops greater than 5% on a Friday are rare, we examine historical returns after such events.
We revisit 1987 price action and reconstructed VIX levels to add historical context.
With circuit breakers now in place and political volatility elevated, we assess what today’s sell-off might mean for the next trading day.


Chicago Board Options Exchange Volatility Index (VIX INDEX)

Chicago Board Options Exchange Volatility Index

SP500: Friday Sell-Offs, the VIX, and a Bit of 1987

S&P 500 INDEX

SP500: Friday Sell-Offs, the VIX, and a Bit of 1987