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 SP500 has enjoyed a prolonged period of outperformance against its international peers.</li>
<li>This year’s political shift and new policy actions could challenge long-held investment assumptions.</li>
<li>We examine the SP500’s performance relative to a range of international indexes and assets.</li>
</ul>


The SP500 has enjoyed a prolonged period of outperformance against its international peers.
This year’s political shift and new policy actions could challenge long-held investment assumptions.
We examine the SP500’s performance relative to a range of international indexes and assets.


USA Against ROW: Trends in Global Market Leadership

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

Event-Driven

<ul>
<li>At the upcoming AGM, <a href="https://www.smartkarma.com/entities/rio-tinto-ltd" target="_blank" data-smartkarma-citation="entities:13:1" rel="noopener">Rio Tinto Ltd</a> and <a href="https://www.smartkarma.com/entities/rio-tinto-plc" target="_blank" data-smartkarma-citation="entities:22114:1" rel="noopener">Rio Tinto PLC</a> shareholders will vote on the company commencing a review on the benefits vs costs of Unification.</li>
<li>Palliser Capital has been pushing for Unification while the Rio Tinto Board has recommended that shareholders vote against Resolution 21/24 citing tax costs among other reasons.</li>
<li>If the Unification completes, S&amp;P/ASX trackers will need to buy <a href="https://www.smartkarma.com/entities/rio-tinto-ltd" target="_blank" data-smartkarma-citation="entities:13:1" rel="noopener">Rio Tinto Ltd (RIO AU)</a> while <a href="https://www.smartkarma.com/entities/ftse-100-index-ukx" target="_blank" data-smartkarma-citation="entities:22904:1" rel="noopener">UKX Index (UKX INDEX)</a> trackers will sell <a href="https://www.smartkarma.com/entities/rio-tinto-plc" target="_blank" data-smartkarma-citation="entities:22114:1" rel="noopener">Rio Tinto PLC (RIO LN)</a>. Net positive.</li>
</ul>


At the upcoming AGM, Rio Tinto Ltd and Rio Tinto PLC shareholders will vote on the company commencing a review on the benefits vs costs of Unification.
Palliser Capital has been pushing for Unification while the Rio Tinto Board has recommended that shareholders vote against Resolution 21/24 citing tax costs among other reasons.
If the Unification completes, S&amp;P/ASX trackers will need to buy Rio Tinto Ltd (RIO AU) while UKX Index (UKX INDEX) trackers will sell Rio Tinto PLC (RIO LN). Net positive.


Rio Tinto (RIO AU/RIO LN): Unification Index Flows

Macroeconomic and Investing, The Macro Compass

Alfonso Peccatiello (Alf)

Macroeconomic and Investing

The Macro Compass

Actionable investment ideas and unique global macro insights. From the desk of a former Head of $20 bn Investment Portfolio straight to your inbox.

Actionable Investment Ideas

Macroeconomics

<ul><li>The first 5 weeks of the year have seen international equities outperforming the S&amp;P 500: European and Chinese stocks have rallied harder than US stock indexes, and certain emerging markets like Chile or Poland are doing even better.</li><li>My main thesis for the first half of the year remains to be positioned with an ‘’International Risk Parity’’ portfolio: long US bonds, and long stocks around the world.</li><li>The chart above shows that the US growth exceptionalism might be over. The Aggregate Income Growth series is a great proxy for nominal growth in real time: it includes private sector job creation, workweek hours, and wage growth – effectively reflecting the growth rate of nominal income US workers are bringing home.</li></ul>

The first 5 weeks of the year have seen international equities outperforming the S&amp;P 500: European and Chinese stocks have rallied harder than US stock indexes, and certain emerging markets like Chile or Poland are doing even better.My main thesis for the first half of the year remains to be positioned with an ‘’International Risk Parity’’ portfolio: long US bonds, and long stocks around the world.The chart above shows that the US growth exceptionalism might be over. The Aggregate Income Growth series is a great proxy for nominal growth in real time: it includes private sector job creation, workweek hours, and wage growth – effectively reflecting the growth rate of nominal income US workers are bringing home.

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

Korea Stock Exchange KOSPI 200 / Equity Derivatives

<ul>
<li>The United States' tariff against Mexico and Canada, effective March 4, 2025, could disrupt global markets, with potential volatility spikes similar to early February's events.</li>
<li>
<a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200</a> and <a href="https://www.smartkarma.com/entities/ftse-100-index-ukx" target="_blank" data-smartkarma-citation="entities:22904:1" rel="noopener">FTSE 100</a>: low implied volatility offers opportunities for protective puts, </li>
<li>
<a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a> and <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>: an volatility premium suggests a relative value volatility arbitrage play. </li>
</ul>


The United States' tariff against Mexico and Canada, effective March 4, 2025, could disrupt global markets, with potential volatility spikes similar to early February's events.

S&amp;P/ASX 200 and FTSE 100: low implied volatility offers opportunities for protective puts, 

KOSPI 200 and Nikkei 225: an volatility premium suggests a relative value volatility arbitrage play. 


Global Option Implied Volatility - Opportunities in S&P/ASX 200, KOSPI 200, Nikkei 225, FTSE 100.

<ul>
<li>Global option markets present a diverse picture, offering a broad opportunity set.</li>
<li>Several markets make for good hedging-candidates after a strong January and amid cheap options.</li>
<li>Although several Indian indices show high implied volatility, contextual analysis indicates volatility may be fairly priced relative to their bear trends.</li>
</ul>


Global option markets present a diverse picture, offering a broad opportunity set.
Several markets make for good hedging-candidates after a strong January and amid cheap options.
Although several Indian indices show high implied volatility, contextual analysis indicates volatility may be fairly priced relative to their bear trends.


EQD | Global Option Implied Volatility - Option Opportunities Across the Regions

United Kingdom

The FTSE 100 Index is a capitalization-weighted index of the 100 most highly capitalized companies traded on the London Stock Exchange. The equities use an investibility weighting in the index calculation. The index was developed with a base level of 1000 as of December 30, 1983. 

UKX Index (UKX INDEX)

USA Against ROW: Trends in Global Market Leadership

The SP500's outperformance may face challenges due to political shifts and new policies, prompting a reevaluation of investment assumptions.

John Ley

Rio Tinto (RIO AU/RIO LN): Unification Index Flows

Palliser Capital is pushing for Unification of RIO AU/ RIO LN. We are still a long way away from possible completion. There will be big index flows...

Brian Freitas

Here Are My Top Macro Ideas

The first 5 weeks of the year have seen international equities outperforming the S&P 500: European and Chinese stocks have rallied harder than US...

Alfonso Peccatiello (Alf)

Global Option Implied Volatility - Opportunities in S&P/ASX 200, KOSPI 200, Nikkei 225, FTSE 100.

US tariffs on Mexico and Canada effective 4 March as a potentially adverse market event. S&P/ASX 200 and FTSE 100 offer protective put opportunities.

Gaudenz Schneider

EQD | Global Option Implied Volatility - Option Opportunities Across the Regions

Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...

Gaudenz Schneider

USA Against ROW: Trends in Global Market Leadership

​The SP500's outperformance may face challenges due to political shifts and new policies, prompting a reevaluation of investment assumptions.

John Ley

Rio Tinto (RIO AU/RIO LN): Unification Index Flows

Palliser Capital is pushing for Unification of RIO AU/ RIO LN. We are still a long way away from possible completion. There will be big index flows...

Brian Freitas

Here Are My Top Macro Ideas

The first 5 weeks of the year have seen international equities outperforming the S&P 500: European and Chinese stocks have rallied harder than US...

Alfonso Peccatiello (Alf)

Global Option Implied Volatility - Opportunities in S&P/ASX 200, KOSPI 200, Nikkei 225, FTSE 100.

​US tariffs on Mexico and Canada effective 4 March as a potentially adverse market event. S&P/ASX 200 and FTSE 100 offer protective put opportunities.

Gaudenz Schneider

EQD | Global Option Implied Volatility - Option Opportunities Across the Regions

​Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...

Gaudenz Schneider

The SP500's outperformance may face challenges due to political shifts and new policies, prompting a reevaluation of investment assumptions.

US tariffs on Mexico and Canada effective 4 March as a potentially adverse market event. S&P/ASX 200 and FTSE 100 offer protective put opportunities.

Global option markets offer a wide range of opportunities for hedging, while some indices show high implied volatility but potentially fair...