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>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

<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

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 traded between December 9-13, covering strategy analysis, trends, highlights, and volatility context.</li>
<li>Last week saw high activity with over 5,000 option contracts traded as combinations; the Iron Condor was notably popular, particularly on Monday and Tuesday.</li>
<li>The highest premium earned was for a January '25 Iron Condor. The largest trade was a December '24 Bull Call Spread, reflecting the popularity of bullish and long volatility strategies.</li>
</ul>


This Insight analyzes Hang Seng Index (HSI INDEX) tailor-made option strategies traded between December 9-13, covering strategy analysis, trends, highlights, and volatility context.
Last week saw high activity with over 5,000 option contracts traded as combinations; the Iron Condor was notably popular, particularly on Monday and Tuesday.
The highest premium earned was for a January '25 Iron Condor. The largest trade was a December '24 Bull Call Spread, reflecting the popularity of bullish and long volatility strategies.


EQD | Hang Seng (HSI Index) - Popular Option Strategies and Top Trades, Soaring with the Iron Condor

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 | 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 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 | Hang Seng (HSI Index) - Popular Option Strategies and Top Trades, Soaring with the Iron Condor

Hang Seng Index option strategies traded Dec 9-13, highlighting top trades and providing volatility context. Iron Condor proving to be popular.

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 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 | Hang Seng (HSI Index) - Popular Option Strategies and Top Trades, Soaring with the Iron Condor

Hang Seng Index option strategies traded Dec 9-13, highlighting top trades and providing volatility context. Iron Condor proving to be popular.

Gaudenz Schneider

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...

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