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

Tencent Holdings Limited operates as an investment holding company. The Company, through its subsidiaries, provides Internet and mobile value-added services (VAS), online advertising, and e-commerce transactions. Tencent Holdings offers services to users worldwide.

<ul>
<li>Top Ten most active contracts for the week all traded on Monday. Most of the active contracts were Calls with December expiries.</li>
<li>
<a href="https://www.smartkarma.com/entities/xiaomi-corp" target="_blank" data-smartkarma-citation="entities:24409:1" rel="noopener">Xiaomi Corp (1810 HK)</a> makes the Top Ten non-Tencent most active contracts with both Puts and Call active – likely stock replacement and hedges following torrid run higher.</li>
<li>Tencent implied vols trading at their lowest levels of the past year.</li>
</ul>


Top Ten most active contracts for the week all traded on Monday. Most of the active contracts were Calls with December expiries.

Xiaomi Corp (1810 HK) makes the Top Ten non-Tencent most active contracts with both Puts and Call active – likely stock replacement and hedges following torrid run higher.
Tencent implied vols trading at their lowest levels of the past year.


EQD | Hong Kong Single Stock Options Weekly December 09 – 13

<ul>
<li>Both HSI and HSCEI show characteristics of being short gamma at higher strikes highlighted by Mondays pop in spot and vol in both markets.</li>
<li>Implied vol did a complete round-trip closing virtually unchanged from last week despite spot holding on to modest gains on the week and large high – low range.</li>
<li>Up-Strike Calls look to have been added in both markets which will help maintain the positive spot vol correlation.</li>
</ul>


Both HSI and HSCEI show characteristics of being short gamma at higher strikes highlighted by Mondays pop in spot and vol in both markets.
Implied vol did a complete round-trip closing virtually unchanged from last week despite spot holding on to modest gains on the week and large high – low range.
Up-Strike Calls look to have been added in both markets which will help maintain the positive spot vol correlation.


EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 09-13

Korea Stock Exchange KOSPI 200 / Event-Driven

The KOSPI 200 Index is a capitalization-weighted index of 200 Korean stocks which make up 93% of the total market value of the Korea Stock Exchange. The index was developed with a base value of 100 as of January 3, 1990.

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>Risk reward for owning implied vol has shifted to the long side here given spot/vol dynamics and limited vol upside since market peaked 17% higher.</li>
<li>Strong price action after a soggy start to the week sees a significant portion of open interest cleared out.</li>
<li>Largest open interest is at the 300 strike with ~ 42k Put contracts outstanding.</li>
</ul>


Risk reward for owning implied vol has shifted to the long side here given spot/vol dynamics and limited vol upside since market peaked 17% higher.
Strong price action after a soggy start to the week sees a significant portion of open interest cleared out.
Largest open interest is at the 300 strike with ~ 42k Put contracts outstanding.


EQD | Kospi Index Options Weekly – December 09 - 13

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>A bid for out-of-the-money puts combined with positive change in Put open interest and Put volume totals argues that Puts and being bought.</li>
<li>70% of NKY open interest is below 38,000 with only 20% of the open interest above 40,000.</li>
<li>NKY nearing top of range while registering quiet historic volatility levels 4-5 points below implied vols. </li>
</ul>


A bid for out-of-the-money puts combined with positive change in Put open interest and Put volume totals argues that Puts and being bought.
70% of NKY open interest is below 38,000 with only 20% of the open interest above 40,000.
NKY nearing top of range while registering quiet historic volatility levels 4-5 points below implied vols. 


EQD | Nikkei Index Options Weekly - December 09 - 13

Clifton Derivatives

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 | Hong Kong Single Stock Options Weekly December 09 – 13

Top Ten most active contracts traded on Monday, mostly Calls with December expiries. Xiaomi Corp makes most active contracts list with Puts and...

John Ley

EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 09-13

Both HSI and HSCEI show signs of being short gamma at higher strikes, with implied vol being very reactive to upside price moves.

John Ley

EQD | Kospi Index Options Weekly – December 09 - 13

Implied volatility positioning favors long side due to spot/vol dynamics and limited upside since market peak. Strong price action sees...

John Ley

EQD | Nikkei Index Options Weekly - December 09 - 13

Investors are buying out-of-the-money puts on NKY as the change in open interest is skewed towards Puts at lower levels and price action...

John Ley

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 | Hong Kong Single Stock Options Weekly December 09 – 13

​Top Ten most active contracts traded on Monday, mostly Calls with December expiries. Xiaomi Corp makes most active contracts list with Puts and...

John Ley

EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 09-13

​Both HSI and HSCEI show signs of being short gamma at higher strikes, with implied vol being very reactive to upside price moves.

John Ley

EQD | Kospi Index Options Weekly – December 09 - 13

​Implied volatility positioning favors long side due to spot/vol dynamics and limited upside since market peak. Strong price action sees...

John Ley

EQD | Nikkei Index Options Weekly - December 09 - 13

​Investors are buying out-of-the-money puts on NKY as the change in open interest is skewed towards Puts at lower levels and price action...

John Ley

Top Ten most active contracts traded on Monday, mostly Calls with December expiries. Xiaomi Corp makes most active contracts list with Puts and...

Both HSI and HSCEI show signs of being short gamma at higher strikes, with implied vol being very reactive to upside price moves.

Implied volatility positioning favors long side due to spot/vol dynamics and limited upside since market peak. Strong price action sees...

Investors are buying out-of-the-money puts on NKY as the change in open interest is skewed towards Puts at lower levels and price action...