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.

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>Sleepy week highlighted by small closing price ranges that were among the 3-5 quietest of the year.</li>
<li>Volumes across both indexes were down about 1/3 from the prior week.</li>
<li>Despite low volumes open interest expanded across out-of-the-money options for both Puts and Calls.</li>
</ul>


Sleepy week highlighted by small closing price ranges that were among the 3-5 quietest of the year.
Volumes across both indexes were down about 1/3 from the prior week.
Despite low volumes open interest expanded across out-of-the-money options for both Puts and Calls.


EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 16-20

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 guided lower as Inflation data furthers expectations of easier monetary policy. Weekly IVs lower by -3.3 vols, Monthly IVs lower by -1.6 vols &amp; Quarterly IVs remained unaffected.</li>
<li>IV mark-down seems overdone given the heavy upcoming event-risk calendar. Weekly contracts capture the 18.12.2024 FOMC meeting. </li>
<li>Strategic Implications: (1) Consider Long Gamma positioning given upcoming event risk &amp; IV markdown (2) Retain Short Vega allocations while Monthly IVs still above 10.5%.</li>
</ul>


IVs guided lower as Inflation data furthers expectations of easier monetary policy. Weekly IVs lower by -3.3 vols, Monthly IVs lower by -1.6 vols &amp; Quarterly IVs remained unaffected.
IV mark-down seems overdone given the heavy upcoming event-risk calendar. Weekly contracts capture the 18.12.2024 FOMC meeting. 
Strategic Implications: (1) Consider Long Gamma positioning given upcoming event risk &amp; IV markdown (2) Retain Short Vega allocations while Monthly IVs still above 10.5%.


EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Quantitative Analysis

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> has been rallying more than 5% since its bottom 4 weeks ago. However the index has not returned to its all time high (26277).</li>
<li>Our models indicate that the index is starting to be overbought, but is not yet super-overbought, so the question is: will it continue higher? Or will it pullback soon?</li>
<li>This coming week will be crucial to sustain momentum and possibly accelerate, our models say that when this pattern is encountered the index can rally up to 7-8 weeks.</li>
</ul>


The NIFTY Index has been rallying more than 5% since its bottom 4 weeks ago. However the index has not returned to its all time high (26277).
Our models indicate that the index is starting to be overbought, but is not yet super-overbought, so the question is: will it continue higher? Or will it pullback soon?
This coming week will be crucial to sustain momentum and possibly accelerate, our models say that when this pattern is encountered the index can rally up to 7-8 weeks.


EQD | NIFTY at a Fork: Is the Rally Over? or Can It Stretch for 3 More Weeks?

Derivatives and Quantitative Strategist

Gaudenz Schneider

The NASDAQ-100 Index is a modified capitalization-weighted index of the 100 largest and most active non-financial domestic and international issues listed on the NASDAQ. No security can have more than a 24% weighting. The index was developed with a base value of 125 as of February 1, 1985. Prior to December 21,1998 the Nasdaq 100 was a cap-weighted index.

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener"><strong>Nasdaq-100</strong> Index (NDX INDEX) </a><strong>dropped 3.6%</strong> following the FED’s communication of fewer than previously expected rate cuts in 2025. Quantitative analysis suggests that the Index is oversold.</li>
<li>Implied volatility spikes up from low levels to above median levels. The Skew steepens considerably as traders brace for more downside.</li>
<li>Risk Reversals are attractively priced right now in historic comparison. Parameters of a zero-cost risk reversal strategy are presented as an example.</li>
</ul>


The Nasdaq-100 Index (NDX INDEX) dropped 3.6% following the FED’s communication of fewer than previously expected rate cuts in 2025. Quantitative analysis suggests that the Index is oversold.
Implied volatility spikes up from low levels to above median levels. The Skew steepens considerably as traders brace for more downside.
Risk Reversals are attractively priced right now in historic comparison. Parameters of a zero-cost risk reversal strategy are presented as an example.


EQD | Nasdaq-100 Index Option Opportunity - Tactical Play on an Oversold Market and Volatility Skew

Shanghai Shenzhen CSI 300 Index / Event-Driven

The CSI 300 Index is a free-float weighted index that consists of 300 A-share stocks listed on the Shanghai or Shenzhen Stock Exchanges. Index has a base level of 1000 on 12/31/2004. * Due to our agreement with CSI, shares in the index is restricted, please visit SSIS<go> for more information and access. This ticker holds prices fed from Shenzhen Stock Exchange.

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

<ul>
<li>The <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 Index)</a> exploded higher in mid-September 2024, then went flat in a range (still there as we write). </li>
<li>Our models currently see uptrend and downtrend targets positioned at an equal distance from the last WEEKLY CLose on December 13th.</li>
<li>In short this means that the index is "perfectly neutral" at the moment, a rare scenario that requires straddle and strangle-like strategies to be able to profit.</li>
</ul>


The Shanghai Shenzhen CSI 300 Index (SHSZ300 Index) exploded higher in mid-September 2024, then went flat in a range (still there as we write). 
Our models currently see uptrend and downtrend targets positioned at an equal distance from the last WEEKLY CLose on December 13th.
In short this means that the index is "perfectly neutral" at the moment, a rare scenario that requires straddle and strangle-like strategies to be able to profit.


EQD | CSI 300 Stuck in Neutral: Equal Chances to Rally or Drop

Equity Derivatives and Vol-Based Insights

Equity Derivatives
Equity Derivatives and Vol-Based Insights

EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 16-20

One of the smallest weekly ranges of the past year - if you were short volatility, it was feet on the desk; if you were long volatility, it was...

John Ley

EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

Nifty50 weakness & FOMC event-risk has triggered a move higher in IVs. Weekly IVs jumped from 11.0% to 15.0%.& Monthly IVs jumped from 12.2% to...

AceGama Advisors

EQD | NIFTY at a Fork: Is the Rally Over? or Can It Stretch for 3 More Weeks?

The NIFTY 50 this week broke through the support level at 24407 (50% probability of reversal) and got closer to the 23718 level (75% probability of...

Nico Rosti

EQD | Nasdaq-100 Index Option Opportunity - Tactical Play on an Oversold Market and Volatility Skew

The Nasdaq-100 Index dropped 3.6% after the FED's rate cut news, with quantitative analysis suggesting oversold conditions. Historically cheap...

Gaudenz Schneider

EQD | CSI 300 Stuck in Neutral: Equal Chances to Rally or Drop

The Shanghai Shenzhen CSI 300 Index is currently right in the middle of a support and resistance range identified by our models. We present the...

Nico Rosti

EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 16-20

One of the smallest weekly ranges of the past year - if you were short volatility, it was feet on the desk; if you were long volatility, it was...

John Ley

EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

Nifty50 weakness & FOMC event-risk has triggered a move higher in IVs. Weekly IVs jumped from 11.0% to 15.0%.& Monthly IVs jumped from 12.2% to...

AceGama Advisors

EQD | NIFTY at a Fork: Is the Rally Over? or Can It Stretch for 3 More Weeks?

The NIFTY 50 this week broke through the support level at 24407 (50% probability of reversal) and got closer to the 23718 level (75% probability of...

Nico Rosti

EQD | Nasdaq-100 Index Option Opportunity - Tactical Play on an Oversold Market and Volatility Skew

​The Nasdaq-100 Index dropped 3.6% after the FED's rate cut news, with quantitative analysis suggesting oversold conditions. Historically cheap...

Gaudenz Schneider

EQD | CSI 300 Stuck in Neutral: Equal Chances to Rally or Drop

​The Shanghai Shenzhen CSI 300 Index is currently right in the middle of a support and resistance range identified by our models. We present the...

Nico Rosti

The Nasdaq-100 Index dropped 3.6% after the FED's rate cut news, with quantitative analysis suggesting oversold conditions. Historically cheap...

The Shanghai Shenzhen CSI 300 Index is currently right in the middle of a support and resistance range identified by our models. We present the...