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

Alibaba (9988.HK) Earnings Preview: Historical Reactions Suggest Upside to Implied Move

Tencent (700 HK) Tactical Outlook After Positive Earnings Results

Hong Kong Single Stock Options Weekly (Mar 16–20): Call Volumes Elevated Ahead Of Busy Earnings Week

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>Tencent reports shortly with options implying a moderate move. This Insight reviews the volatility backdrop, historical earnings reactions, and recent price behavior ahead of the release.</li>
<li>Implied volatility has risen alongside recent stock weakness, but broader historical comparisons suggest the implied jump is not particularly stretched.</li>
<li>Q4 is notable for the direction of earnings day moves as well as the magnitude of the average absolute price change.</li>
</ul>


Tencent reports shortly with options implying a moderate move. This Insight reviews the volatility backdrop, historical earnings reactions, and recent price behavior ahead of the release.
Implied volatility has risen alongside recent stock weakness, but broader historical comparisons suggest the implied jump is not particularly stretched.
Q4 is notable for the direction of earnings day moves as well as the magnitude of the average absolute price change.


Tencent (700.HK) Earnings Preview: Volatility Backdrop, Implied Jump and Post-Release Price Behavior