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

<ul>
<li>Tough start to the New Year, implied vols rose with market decline on the first day of the year. Both markets are now trading at or near peak open interest.</li>
<li>Volumes perked up, well ahead of the prior weeks levels with Calls still making up the bulk of trading in Hang Seng at 57% of all trades.</li>
<li>Looking ahead, January has historically been one of the most  volatile months of the year for HSI, trailing only October for average historic volatility.</li>
</ul>


Tough start to the New Year, implied vols rose with market decline on the first day of the year. Both markets are now trading at or near peak open interest.
Volumes perked up, well ahead of the prior weeks levels with Calls still making up the bulk of trading in Hang Seng at 57% of all trades.
Looking ahead, January has historically been one of the most  volatile months of the year for HSI, trailing only October for average historic volatility.


EQD | Hong Kong Index Options Weekly - HSI and HSCEI Dec 30 – Jan 03

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>This Insight analyzes <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> tailor-made option strategies over the last five trading days, providing strategy analysis, trends, highlights, and volatility context.</li>
<li>Despite the holidays and generally low volume, last week saw some interesting strategies traded.</li>
<li>The highest premium earned was for a January '25 Butterfly. The largest trade was a January '25 Bull Call Spread, reflecting the popularity of long volatility strategies and spreads.</li>
</ul>


This Insight analyzes Hang Seng Index (HSI INDEX) tailor-made option strategies over the last five trading days, providing strategy analysis, trends, highlights, and volatility context.
Despite the holidays and generally low volume, last week saw some interesting strategies traded.
The highest premium earned was for a January '25 Butterfly. The largest trade was a January '25 Bull Call Spread, reflecting the popularity of long volatility strategies and spreads.


Hang Seng (HSI Index) - This Butterfly Gives You Wings: Popular Option Strategies and Top Trades

<ul>
<li>The implied move for January is less than what has been historically experienced. Twenty of the last 27 years have had price movement &gt; current implied move.</li>
<li>January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.</li>
<li>January is one of the most volatility months of the year, only October having a higher average historic volatility</li>
</ul>


The implied move for January is less than what has been historically experienced. Twenty of the last 27 years have had price movement &gt; current implied move.
January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.
January is one of the most volatility months of the year, only October having a higher average historic volatility


<ul>
<li>For both HSI and HSCEI, average daily volumes were on par with prior week despite holidays.</li>
<li>Historic vols are still trending downward and are consistently uder implied vols. </li>
<li>Option volumes in both indices are being dominated by short expiries.</li>
</ul>


For both HSI and HSCEI, average daily volumes were on par with prior week despite holidays.
Historic vols are still trending downward and are consistently uder implied vols. 
Option volumes in both indices are being dominated by short expiries.


EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 23-27

<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

Hong Kong

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.

Hang Seng Index (HSI INDEX)

EQD | Hong Kong Index Options Weekly - HSI and HSCEI Dec 30 – Jan 03

Implied vols rose with market decline on New Year's Day, Hang Seng and HSCEI both trading at peak open interest. January historically a volatile...

John Ley

Hang Seng (HSI Index) - This Butterfly Gives You Wings: Popular Option Strategies and Top Trades

Analysis of Hang Seng Index option strategies in the past week reveals interesting trends, with long volatility strategies and spreads being...

Gaudenz Schneider

EQD | HSI – Buy January Straddle

January historically experiences high volatility and price movement, with the current implied move being lower than what has been experienced in...

John Ley

EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 23-27

Despite holidays, average daily volumes for HSI and HSCEI remain steady. Historic vols are decreasing and below implied vols, with short expiries...

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 Index Options Weekly - HSI and HSCEI Dec 30 – Jan 03

​Implied vols rose with market decline on New Year's Day, Hang Seng and HSCEI both trading at peak open interest. January historically a volatile...

John Ley

Hang Seng (HSI Index) - This Butterfly Gives You Wings: Popular Option Strategies and Top Trades

​Analysis of Hang Seng Index option strategies in the past week reveals interesting trends, with long volatility strategies and spreads being...

Gaudenz Schneider

EQD | HSI – Buy January Straddle

​January historically experiences high volatility and price movement, with the current implied move being lower than what has been experienced in...

John Ley

EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 23-27

​Despite holidays, average daily volumes for HSI and HSCEI remain steady. Historic vols are decreasing and below implied vols, with short expiries...

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

Implied vols rose with market decline on New Year's Day, Hang Seng and HSCEI both trading at peak open interest. January historically a volatile...

Analysis of Hang Seng Index option strategies in the past week reveals interesting trends, with long volatility strategies and spreads being...

January historically experiences high volatility and price movement, with the current implied move being lower than what has been experienced in...

Despite holidays, average daily volumes for HSI and HSCEI remain steady. Historic vols are decreasing and below implied vols, with short expiries...