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 Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

<ul>
<li>All 5 trading days of the past week saw non-volatile price declines but with implied vols still ticking higher leaving historic vol and implied vol moving in opposite directions.</li>
<li>Trading activity focused on Puts, 59.5% of all options trades were Puts last week</li>
<li>Postions being covered into market weakness as seen from large decrease in open interest (60% of the decline was Puts).</li>
</ul>


All 5 trading days of the past week saw non-volatile price declines but with implied vols still ticking higher leaving historic vol and implied vol moving in opposite directions.
Trading activity focused on Puts, 59.5% of all options trades were Puts last week
Postions being covered into market weakness as seen from large decrease in open interest (60% of the decline was Puts).


EQD | Nikkei Index Options Weekly - December 16 - 20

Market & Forensics Analyst, Beat the Street

Nimish Maheshwari

Market & Forensics Analyst

Beat the Street

Beat The Street was founded by Nimish Maheshwari and Sudarshan Bhandari, both of whom are Chartered Accountants by Profession, known for their expert analysis in the fields of Business, Sectoral analysis, and Corporate governance.

With a strong social media presence of 45,000+ Subscribers across various platforms, they are considered trusted voices in the industry. Their insights and analysis have been featured in some of India’s most prominent publications, including the Economic Times, Dalal Street Investment Journal, The Morning Context, and The Ken.

Their analysis on Bankrupt & Insolvent companies has been instrumental in saving investors from significant losses. They have a keen eye for identifying red flags and has identified exclusive redflags earlier in Vedanta, Nykaa, Dhani Services, Adani and many more.

Read Business Not Stock Prices

Thematic (Sector/Industry)

<ul>
<li>India's nuclear power capacity is projected to surge <strong>2.7 times by 2031</strong>, reaching 22.3 GW and creating a lucrative investment landscape. </li>
<li>This expansion will unlock opportunities for companies like <a href="https://www.smartkarma.com/entities/bharat-heavy-electricals" target="_blank" data-smartkarma-citation="entities:460:1" rel="noopener">Bharat Heavy Electricals (BHEL IN)</a>, <a href="https://www.smartkarma.com/entities/walchandnagar-industries" target="_blank" data-smartkarma-citation="entities:9114:1" rel="noopener">Walchandnagar Industries (WI IN)</a>, and <a href="https://www.smartkarma.com/entities/hindustan-construction-co" target="_blank" data-smartkarma-citation="entities:6446:1" rel="noopener">Hindustan Construction Co (HCC IN)</a> in manufacturing, construction, and auxiliary services. </li>
<li>The rollout of 50 Bharat Small Reactors (BSRs) presents a particularly enticing prospect with a projected investment of Rs. 2,00,000 Crore.</li>
</ul>


India's nuclear power capacity is projected to surge 2.7 times by 2031, reaching 22.3 GW and creating a lucrative investment landscape. 
This expansion will unlock opportunities for companies like Bharat Heavy Electricals (BHEL IN), Walchandnagar Industries (WI IN), and Hindustan Construction Co (HCC IN) in manufacturing, construction, and auxiliary services. 
The rollout of 50 Bharat Small Reactors (BSRs) presents a particularly enticing prospect with a projected investment of Rs. 2,00,000 Crore.


Thematic Report: India's Nuclear Power Boom: A 2.7x Growth Story

Cross-Asset Strategist & Quantitative Analyst, Pennock Idea Hub

Cam Hui

Cross-Asset Strategist & Quantitative Analyst

Pennock Idea Hub

We are creators of independent equity research. The Pennock Idea Hub team are veterans of the investment industry. Much of our team has spent their careers at Merrill Lynch, Deutsche Bank, RBC Capital Markets and Wood Gundy. We have taken every aspect of research back to the studs and returned to first principles. The Pennock Idea Hub marries the interests of the sell and buy side. 

We offer the best research for institutional investors by:

-Only publishing research from veteran analysts
-Eliminate the inherent conflicts of the traditional sell and buy side relationship
-Ensure our team is always accessible; collaboration with clients nurtures our collective success

Cross-Asset & Quantitative Research

Cross Asset Strategy

<ul>
<li>We are subscribers to Occam’s Razor, or the simplest explanation is the most satisfactory, and recent UFOs sightings are of terrestrial origin.</li>
<li>It’s nevertheless a worthwhile exercise to consider asset return expectations under the scenario of an extra-terrestrial alien invasion.</li>
<li>Our study of an alien invasion opens the door to discussing return studies. Standard assumptions about returns to bonds and equity risk premiums are useful only up to a point.</li>
</ul>


We are subscribers to Occam’s Razor, or the simplest explanation is the most satisfactory, and recent UFOs sightings are of terrestrial origin.
It’s nevertheless a worthwhile exercise to consider asset return expectations under the scenario of an extra-terrestrial alien invasion.
Our study of an alien invasion opens the door to discussing return studies. Standard assumptions about returns to bonds and equity risk premiums are useful only up to a point.


Equity Return Expectations Under An Alien Invasion

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Kokusai Electric Corporation manufactures and distributes semiconductor manufacturing systems. The Company produces batch processing systems, single wafer processing systems, and other systems. Kokusai Electric also operates advanced thermal process technology development, training, and other businesses.

<ul>
<li>Currently, 9 stocks could be deleted from global passive portfolios in February. The deletion will lead to liquidity events where trackers will need to sell multiple days of ADV.</li>
<li>There has been a buildup on shorts on few stocks with minimal positioning in the other stocks. That could change once the calendar ticks over to 2025.</li>
<li>
<a href="https://www.smartkarma.com/entities/kokusai-electric-corp" target="_blank" data-smartkarma-citation="entities:40152:1" rel="noopener">Kokusai Electric (6525 JP)</a> is a potential inclusion to the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> in March and this deletion could provide liquidity to enter a position ahead of that announcement.</li>
</ul>


Currently, 9 stocks could be deleted from global passive portfolios in February. The deletion will lead to liquidity events where trackers will need to sell multiple days of ADV.
There has been a buildup on shorts on few stocks with minimal positioning in the other stocks. That could change once the calendar ticks over to 2025.

Kokusai Electric (6525 JP) is a potential inclusion to the Nikkei 225 (NKY INDEX) in March and this deletion could provide liquidity to enter a position ahead of that announcement.


Japan: Potential Passive Selling in February

Japan Specialist

Mark Chadwick

<ul>
<li>U.S. stocks rebounded Friday after inflation data revealed a slowdown in price increases for November, with the core PCE index coming in below expectations</li>
<li>Despite the rally, all three major indices ended the week in the red, with the Nasdaq losing 1.8% and both the Dow and S&amp;P down 2%</li>
<li>Nippon Sanso will acquire Australia and New Zealand's Core Gas Group for AUD 770 million (¥75 billion)</li>
</ul>


U.S. stocks rebounded Friday after inflation data revealed a slowdown in price increases for November, with the core PCE index coming in below expectations
Despite the rally, all three major indices ended the week in the red, with the Nasdaq losing 1.8% and both the Dow and S&amp;P down 2%
Nippon Sanso will acquire Australia and New Zealand's Core Gas Group for AUD 770 million (¥75 billion)


Japan
Insights on Japan

EQD | Nikkei Index Options Weekly - December 16 - 20

Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

John Ley

Thematic Report: India's Nuclear Power Boom: A 2.7x Growth Story

India's nuclear power capacity set to surge 2.7 times by 2031, creating investment opportunities for companies like BHEL, Walchandnagar & HCC .

Nimish Maheshwari

Equity Return Expectations Under An Alien Invasion

Our study of an alien invasion opens the door to discussing return studies. Standard assumptions about returns to bonds and equity risk premiums...

Cam Hui

Japan: Potential Passive Selling in February

There are a bunch of stocks in Japan that could be sold by passive global investors in February. Kokusai Electric is one of them; but it is also a...

Brian Freitas

Ohayo Japan | Friday Bounce

U.S. stocks rebounded on Friday due to lower inflation data, but all major indices ended the week in the red. Nippon Sanso to acquire Core Gas...

Mark Chadwick

EQD | Nikkei Index Options Weekly - December 16 - 20

​Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

John Ley

Thematic Report: India's Nuclear Power Boom: A 2.7x Growth Story

​India's nuclear power capacity set to surge 2.7 times by 2031, creating investment opportunities for companies like BHEL, Walchandnagar & HCC .

Nimish Maheshwari

Equity Return Expectations Under An Alien Invasion

Our study of an alien invasion opens the door to discussing return studies. Standard assumptions about returns to bonds and equity risk premiums...

Cam Hui

Japan: Potential Passive Selling in February

There are a bunch of stocks in Japan that could be sold by passive global investors in February. Kokusai Electric is one of them; but it is also a...

Brian Freitas

Ohayo Japan | Friday Bounce

​U.S. stocks rebounded on Friday due to lower inflation data, but all major indices ended the week in the red. Nippon Sanso to acquire Core Gas...

Mark Chadwick

Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

India's nuclear power capacity set to surge 2.7 times by 2031, creating investment opportunities for companies like BHEL, Walchandnagar & HCC .

U.S. stocks rebounded on Friday due to lower inflation data, but all major indices ended the week in the red. Nippon Sanso to acquire Core Gas...