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.

Equity Derivatives

<ul>
<li>HSI has surged past SPX, but past instances of strong outperformance have often preceded reversals. We examine key historical trends.</li>
<li>The YTD divergence between HSI and SPX calls into question whether this is another temporary rally or the start of a new trend.</li>
<li>We highlight some key hedging strategies to manage risk in this evolving market dynamic.</li>
</ul>


HSI has surged past SPX, but past instances of strong outperformance have often preceded reversals. We examine key historical trends.
The YTD divergence between HSI and SPX calls into question whether this is another temporary rally or the start of a new trend.
We highlight some key hedging strategies to manage risk in this evolving market dynamic.


HSI Outpaces SPX — Structural Break or Head Fake? Strategies for Hedging

<ul>
<li>A dramatic shift saw stocks surge as market sentiment reversed week over week.</li>
<li>Single stock option volumes were significantly lower vs prior two weeks.</li>
<li>We highlight stocks that have had unusual moves in price, volume and implied volatility.</li>
</ul>


A dramatic shift saw stocks surge as market sentiment reversed week over week.
Single stock option volumes were significantly lower vs prior two weeks.
We highlight stocks that have had unusual moves in price, volume and implied volatility.


Hong Kong Single Stock Options Weekly (March 03 – 07): From Caution to Euphoria as Sentiment Flips

<ul>
<li>Positive sentiment helps push HSI to new highs aided by rally in Alibaba.</li>
<li>Implied vol at high levels but so far supported by historic vols that are above implieds.</li>
<li>We highlight a large trade in out-of-the-money Calls for May expiry.</li>
</ul>


Positive sentiment helps push HSI to new highs aided by rally in Alibaba.
Implied vol at high levels but so far supported by historic vols that are above implieds.
We highlight a large trade in out-of-the-money Calls for May expiry.


HSI Index Options Weekly (March 03-07): Alibaba’s Breakout and Policy Support Boost HSI

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI INDEX</a> has been defying gravity, recently. It is up more than 30% from its most recent low.</li>
<li>In our previous, <a href="https://www.smartkarma.com/insights/hsi-to-find-strong-support-between-18-8k-and-17-5k-long-term-uptrend-set-to-restart" target="_blank" rel="noopener">Jan. 11th insight</a> we highlighted very precisely the support zone (18.8k-17.5k) from where the index was poised to resume its rally (the bottom was printed at 18671).</li>
<li>
Our models are currently indicating a very overbought condition. Leveraging the information relayed by <a href="https://www.smartkarma.com/profiles/gaudenz-schneider" target="_blank" data-smartkarma-citation="accounts:66501" rel="noopener">Gaudenz Schneider</a> in a recent insight, we think a "HSI PUT" could make sense here. </li>
</ul>


The HSI INDEX has been defying gravity, recently. It is up more than 30% from its most recent low.
In our previous, Jan. 11th insight we highlighted very precisely the support zone (18.8k-17.5k) from where the index was poised to resume its rally (the bottom was printed at 18671).

Our models are currently indicating a very overbought condition. Leveraging the information relayed by Gaudenz Schneider in a recent insight, we think a "HSI PUT" could make sense here. 


The HSI PUT: Hedging Strategies for an Overextended Rally

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>
<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> put options show concentrated positioning at the 19,000 and 20,000 strike levels.</li>
<li>Traders continue to establish new positions approximately 15%-20% below current market levels, suggesting protection against major market corrections rather than minor pullbacks. The focus is on near-term risk.</li>
<li>Implied volatility has remained stable at 25-30% over the past two weeks, consistent with a broadly sideways movement in the index itself.</li>
</ul>



Hang Seng Index (HSI INDEX) put options show concentrated positioning at the 19,000 and 20,000 strike levels.
Traders continue to establish new positions approximately 15%-20% below current market levels, suggesting protection against major market corrections rather than minor pullbacks. The focus is on near-term risk.
Implied volatility has remained stable at 25-30% over the past two weeks, consistent with a broadly sideways movement in the index itself.


Hang Seng Index (HSI): Trends in PUT Strikes and Open Interest Visualized in Animation and Charts

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)

HSI Outpaces SPX — Structural Break or Head Fake? Strategies for Hedging

HSI outperforming SPX raises concerns of potential reversal, prompting exploration of historical trends and hedging strategies in managing...

John Ley

Hong Kong Single Stock Options Weekly (March 03 – 07): From Caution to Euphoria as Sentiment Flips

Stocks surged as market sentiment reversed, with lower single stock option volumes compared to previous weeks. Unusual moves in price, volume, and...

John Ley

HSI Index Options Weekly (March 03-07): Alibaba’s Breakout and Policy Support Boost HSI

Positive sentiment and a rally in Alibaba drive HSI to new highs, with implied volatility high but supported by historic vol levels. Notable large...

John Ley

The HSI PUT: Hedging Strategies for an Overextended Rally

The HSI Index is defying gravity, up over 30% from its recent lows, but our models suggest it is very overbought, indicating a potential...

Nico Rosti

Hang Seng Index (HSI): Trends in PUT Strikes and Open Interest Visualized in Animation and Charts

Traders are heavily positioned in Hang Seng Index put options at 19,000 and 20,000 strike levels, indicating protection against major market...

Gaudenz Schneider

HSI Outpaces SPX — Structural Break or Head Fake? Strategies for Hedging

​HSI outperforming SPX raises concerns of potential reversal, prompting exploration of historical trends and hedging strategies in managing...

John Ley

Hong Kong Single Stock Options Weekly (March 03 – 07): From Caution to Euphoria as Sentiment Flips

​Stocks surged as market sentiment reversed, with lower single stock option volumes compared to previous weeks. Unusual moves in price, volume, and...

John Ley

HSI Index Options Weekly (March 03-07): Alibaba’s Breakout and Policy Support Boost HSI

​Positive sentiment and a rally in Alibaba drive HSI to new highs, with implied volatility high but supported by historic vol levels. Notable large...

John Ley

The HSI PUT: Hedging Strategies for an Overextended Rally

​The HSI Index is defying gravity, up over 30% from its recent lows, but our models suggest it is very overbought, indicating a potential...

Nico Rosti

Hang Seng Index (HSI): Trends in PUT Strikes and Open Interest Visualized in Animation and Charts

​Traders are heavily positioned in Hang Seng Index put options at 19,000 and 20,000 strike levels, indicating protection against major market...

Gaudenz Schneider

HSI outperforming SPX raises concerns of potential reversal, prompting exploration of historical trends and hedging strategies in managing...

Stocks surged as market sentiment reversed, with lower single stock option volumes compared to previous weeks. Unusual moves in price, volume, and...

Positive sentiment and a rally in Alibaba drive HSI to new highs, with implied volatility high but supported by historic vol levels. Notable large...

The HSI Index is defying gravity, up over 30% from its recent lows, but our models suggest it is very overbought, indicating a potential...

Traders are heavily positioned in Hang Seng Index put options at 19,000 and 20,000 strike levels, indicating protection against major market...