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>
<a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899" rel="noopener">Hang Seng Index (HSI INDEX)</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)</a> and <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909" rel="noopener">Nikkei 225 (NKY INDEX)</a> all have elevated implied vols vs their peers and vs historical observations for October.</li>
<li>
<a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617" rel="noopener">NIFTY Index (NIFTY INDEX)</a> , <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a> and <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>  implied vols are on the low end of what is typically realized in October.</li>
<li>Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.</li>
</ul>



Hang Seng Index (HSI INDEX), Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) all have elevated implied vols vs their peers and vs historical observations for October.

NIFTY Index (NIFTY INDEX) , S&amp;P 500 INDEX (SPX INDEX) and S&amp;P/ASX 200 (AS51 INDEX)  implied vols are on the low end of what is typically realized in October.
Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.


EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>In our <a href="https://www.smartkarma.com/insights/eqd-hsi-september-rally-what-s-next?slug=eqd-hsi-september-rally-what-s-next" target="_blank" rel="noopener">previous insight</a> about the <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</a>'s we theorized a probable continuation of the rally in October, after some resistance, but the index just shoot up straight.</li>
<li>Resistance appeared last week, from an area considered a tail by our SHORT model, so it was not possible to make a forecast from there. </li>
<li>The question now is: can the index re-start to rally from here? Or will it pull back more this coming week?</li>
</ul>


In our previous insight about the Hang Seng Index's we theorized a probable continuation of the rally in October, after some resistance, but the index just shoot up straight.
Resistance appeared last week, from an area considered a tail by our SHORT model, so it was not possible to make a forecast from there. 
The question now is: can the index re-start to rally from here? Or will it pull back more this coming week?


EQD | The HSI Rally: Go LONG Now or Wait?

<ul>
<li>We continue our coverage of the <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</a> : in our <a href="https://www.smartkarma.com/insights/eqd-updated-support-levels-to-buy-for-hsi-index-rally-continuation-in-september" target="_blank" rel="noopener">previous insight</a> we theorized a continuation of the rally in September. </li>
<li>So far the index is following the path outlined (pullback, then rally). What is going to happen in the next few weeks, if September closes up?</li>
<li>Broadly speaking we see a potential continuation of the rally in October, but there may be some resistance in the short-term.</li>
</ul>


We continue our coverage of the Hang Seng Index : in our previous insight we theorized a continuation of the rally in September. 
So far the index is following the path outlined (pullback, then rally). What is going to happen in the next few weeks, if September closes up?
Broadly speaking we see a potential continuation of the rally in October, but there may be some resistance in the short-term.


<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">Hang Seng Index</a> has been falling in June and July, but our MONTHLY seasonal pattern model indicates the index has a very good chance to close August up.</li>
<li>The condition we need, to forecast that August will be closing up, is to have July closing down, i.e. &lt;17718.61.</li>
<li>The index is WEEKLY OVERSOLD, so the timing to buy will be critical, because you want to get in early, but not too early (and July must close down).</li>
</ul>


The Hang Seng Index has been falling in June and July, but our MONTHLY seasonal pattern model indicates the index has a very good chance to close August up.
The condition we need, to forecast that August will be closing up, is to have July closing down, i.e. &lt;17718.61.
The index is WEEKLY OVERSOLD, so the timing to buy will be critical, because you want to get in early, but not too early (and July must close down).


EQD | The HSI Is Ripe For A Rally In August (IF July's Close Is Negative)

<ul>
<li>In a <a href="https://www.smartkarma.com/insights/eqd-hsi-may-pull-back-levels-to-buy-for-rally-continuation-in-september" target="_blank" rel="noopener">previous insight</a> we have postulated that a pullback may be behind the corner for the <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>
</li>
<li>We said the pullback could come the week after the insight was published, or the following week (i.e. this week). Last week closed up, the index could retrace this week.</li>
<li>In this insight we want to update the levels to buy LONG for this week, to benefit from a highly probable continuation of the rally in September.</li>
</ul>


In a previous insight we have postulated that a pullback may be behind the corner for the Hang Seng Index (HSI INDEX).

We said the pullback could come the week after the insight was published, or the following week (i.e. this week). Last week closed up, the index could retrace this week.
In this insight we want to update the levels to buy LONG for this week, to benefit from a highly probable continuation of the rally in September.


EQD | (Updated) Support Levels to BUY For HSI Index Rally Continuation In September

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 | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

EQD | The HSI Rally: Go LONG Now or Wait?

The Hang Seng Index rally went vertical, then pulled back last week. Is this the right time to go in LONG? Or better wait for the index to pullback...

Nico Rosti

EQD | HSI September Rally: What's Next?

The analysis of the Hang Seng Index based on our WEEKLY models suggests a rally continuation into the end of September, with potential resistance...

Nico Rosti

EQD | The HSI Is Ripe For A Rally In August (IF July's Close Is Negative)

The Hang Seng Index has been falling in June and July, but seasonal pattern model predicts August will close up if July closes down. The index is...

Nico Rosti

EQD | (Updated) Support Levels to BUY For HSI Index Rally Continuation In September

Update on Hang Seng Index: potential pullback expected this week, in this insight we will highlight the support levels to buy, to seize the...

Nico Rosti

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

​Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

EQD | The HSI Rally: Go LONG Now or Wait?

The Hang Seng Index rally went vertical, then pulled back last week. Is this the right time to go in LONG? Or better wait for the index to pullback...

Nico Rosti

EQD | HSI September Rally: What's Next?

​The analysis of the Hang Seng Index based on our WEEKLY models suggests a rally continuation into the end of September, with potential resistance...

Nico Rosti

EQD | The HSI Is Ripe For A Rally In August (IF July's Close Is Negative)

​The Hang Seng Index has been falling in June and July, but seasonal pattern model predicts August will close up if July closes down. The index is...

Nico Rosti

EQD | (Updated) Support Levels to BUY For HSI Index Rally Continuation In September

​Update on Hang Seng Index: potential pullback expected this week, in this insight we will highlight the support levels to buy, to seize the...

Nico Rosti

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

The analysis of the Hang Seng Index based on our WEEKLY models suggests a rally continuation into the end of September, with potential resistance...

The Hang Seng Index has been falling in June and July, but seasonal pattern model predicts August will close up if July closes down. The index is...

Update on Hang Seng Index: potential pullback expected this week, in this insight we will highlight the support levels to buy, to seize the...