Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

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.

Quantitative Analysis

<ul>
<li>The US election is the ultimate of known unknowns. The markets have endured both Trump and Biden/Harris so impactful policy surprises should be limited. </li>
<li>Hedging cost are running high for Asian equities post August unwind and September stimulus combined with election. </li>
<li>Markets have some momentum and in some cases mean reversion to the price move on the day after the election. </li>
</ul>


The US election is the ultimate of known unknowns. The markets have endured both Trump and Biden/Harris so impactful policy surprises should be limited. 
Hedging cost are running high for Asian equities post August unwind and September stimulus combined with election. 
Markets have some momentum and in some cases mean reversion to the price move on the day after the election. 


EQD | US Election -  Hedge Considerations

Event-Driven

The Hang Seng Index is a free-float capitalization-weighted index of a selection of companies from the Stock Exchange of Hong Kong. The components of the index are divided into four subindices: Commerce and Industry, Finance, Utilities, and Properties. The index was developed with a base level of 100 as of July 31, 1964.

<ul>
<li>Major markets are in a waiting game with vols not monetizing yet implied holding up with US FOMC and the election this week. </li>
<li>Hang Seng Index (HSI INDEX) , Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) have elevated implied vols vs average historical observations for November.</li>
<li>November typically sees strong price performance, particularly in the 3rd week, leading to softer historic vols in that time frame. </li>
</ul>


Major markets are in a waiting game with vols not monetizing yet implied holding up with US FOMC and the election this week. 
Hang Seng Index (HSI INDEX) , Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) have elevated implied vols vs average historical observations for November.
November typically sees strong price performance, particularly in the 3rd week, leading to softer historic vols in that time frame. 


EQD | Asia November Vol Roadmap - The Waiting Game

Head of Trading/ Partner, AceGama Advisors

Sankalp Singh

Head of Trading/ Partner

Proprietary Trading Desk

AceGama Advisors

Trading desk specializing in the Listed & OTC options strategies for risk management & investment purposes.

The NIFTY 50 index is National Stock Exchange of India's benchmark stock market index for Indian equity market. Nifty is owned and managed by India Index Services and Products (IISL), which is a wholly owned subsidiary of the NSE Strategic Investment Corporation Limited.

<ul>
<li>IVs continue moving higher in spite of low RV. Nifty50 &amp; BankNifty Monthly IVs at 14.7% &amp; 16.8% respectively. Re-pricing exaggerated in Short-dated options as they cover U.S. Elections.</li>
<li>Vol-Regime Switching Model now in "High &amp; Up" state. Vol-state switch triggers scale back of risk-premia capture strategies. Consider long Gamma exposure via buying Straddles on a delta-hedged basis.</li>
<li>Higher IVs not translating to Skew/ Smile extensions. Vol-curve Term-structure has transitioned from Contango to Backwardation - front-end vol-differential at +1.6 vols.</li>
</ul>


IVs continue moving higher in spite of low RV. Nifty50 &amp; BankNifty Monthly IVs at 14.7% &amp; 16.8% respectively. Re-pricing exaggerated in Short-dated options as they cover U.S. Elections.
Vol-Regime Switching Model now in "High &amp; Up" state. Vol-state switch triggers scale back of risk-premia capture strategies. Consider long Gamma exposure via buying Straddles on a delta-hedged basis.
Higher IVs not translating to Skew/ Smile extensions. Vol-curve Term-structure has transitioned from Contango to Backwardation - front-end vol-differential at +1.6 vols.


EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a> has broken its four-week decline and reversed direction. This raises the prospect for a bull run.</li>
<li>Continued decline or relief rally? Technical and fundamental arguments lend support to both directional views.</li>
<li>We identify options with attractive cost vs. upside profiles to implement tactical trades in this environment.</li>
</ul>


The NIFTY Index (NIFTY INDEX) has broken its four-week decline and reversed direction. This raises the prospect for a bull run.
Continued decline or relief rally? Technical and fundamental arguments lend support to both directional views.
We identify options with attractive cost vs. upside profiles to implement tactical trades in this environment.


EQD | Nifty 50 – Option Strategy for Bulls and Bears

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.

<ul>
<li>The <strong>US Elections</strong> are behind the corner, this insight will try to predict both the elections' winner and the subsequent S&amp;P500 direction based on MRM research and other studies.</li>
<li>The "<strong>Trump Trade</strong>" is considered by many as a trade to take advantage of (or bet against) a number of policies that Donald Trump has promised to implement if elected.</li>
<li>Let's see what our models have to say about this crucial stock market passage that is going to happen next week, from November 5th...</li>
</ul>


The US Elections are behind the corner, this insight will try to predict both the elections' winner and the subsequent S&amp;P500 direction based on MRM research and other studies.
The "Trump Trade" is considered by many as a trade to take advantage of (or bet against) a number of policies that Donald Trump has promised to implement if elected.
Let's see what our models have to say about this crucial stock market passage that is going to happen next week, from November 5th...


EQD | SPX - The "TRUMP TRADE" (And US Elections Forecast) From Our Models Perspective

Equity Derivatives and Vol-Based Insights

Equity Derivatives
Equity Derivatives and Vol-Based Insights

EQD | US Election - Hedge Considerations

The US election brings uncertainty, but market impact should be limited due to enduring Trump and Biden/Harris policies. Asian equities face high...

John Ley

EQD | Asia November Vol Roadmap - The Waiting Game

Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

John Ley

EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

Short-dated risk premia inflated due to U.S. election uncertainty. Consider long Gamma exposure through buying Straddles. Vol-curve has shifted...

AceGama Advisors

EQD | Nifty 50 – Option Strategy for Bulls and Bears

The NIFTY 50 snaped its four-week decline. Options with attractive cost vs. upside profile make for tactical trades ahead of a recovery rally, or...

Gaudenz Schneider

EQD | SPX - The "TRUMP TRADE" (And US Elections Forecast) From Our Models Perspective

A forecast of the US elections winner, and S&P500's direction, based on our MRM research + previous 2016 / 2020 elections trade patterns. Analysis...

Nico Rosti

EQD | US Election - Hedge Considerations

​The US election brings uncertainty, but market impact should be limited due to enduring Trump and Biden/Harris policies. Asian equities face high...

John Ley

EQD | Asia November Vol Roadmap - The Waiting Game

​Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

John Ley

EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

​Short-dated risk premia inflated due to U.S. election uncertainty. Consider long Gamma exposure through buying Straddles. Vol-curve has shifted...

AceGama Advisors

EQD | Nifty 50 – Option Strategy for Bulls and Bears

​The NIFTY 50 snaped its four-week decline. Options with attractive cost vs. upside profile make for tactical trades ahead of a recovery rally, or...

Gaudenz Schneider

EQD | SPX - The "TRUMP TRADE" (And US Elections Forecast) From Our Models Perspective

A forecast of the US elections winner, and S&P500's direction, based on our MRM research + previous 2016 / 2020 elections trade patterns. Analysis...

Nico Rosti

The US election brings uncertainty, but market impact should be limited due to enduring Trump and Biden/Harris policies. Asian equities face high...

Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

Short-dated risk premia inflated due to U.S. election uncertainty. Consider long Gamma exposure through buying Straddles. Vol-curve has shifted...

The NIFTY 50 snaped its four-week decline. Options with attractive cost vs. upside profile make for tactical trades ahead of a recovery rally, or...