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>Rally over the past 2 weeks has landed it in the 99th percentile since 2000 and has also been accompanied by low volatility.</li>
<li>The up-trend has a number of characteristics similar to the 21% rally in May 2024 and is in line with levels from which market has failed to advance.</li>
<li>Given how price and vol are likely to evolve over the next month we suggest tactical positions to reduce position size </li>
</ul>


Rally over the past 2 weeks has landed it in the 99th percentile since 2000 and has also been accompanied by low volatility.
The up-trend has a number of characteristics similar to the 21% rally in May 2024 and is in line with levels from which market has failed to advance.
Given how price and vol are likely to evolve over the next month we suggest tactical positions to reduce position size 


EQD| HSI Index Options Weekly (Feb 10-14): Reduce Positions with Short Volatility Edge

<ul>
<li>HSI’s 10-day return of 11.84% ranks it just below the 99th percentile of all 10-day moves since 2000.  </li>
<li>This move has been unusual given the low level of historic volatility, ranking it as one of the lowest vol moves of this magnitude.</li>
<li>The current move is abnormal for its return relative to volatility – we dig deeper into how returns and volatility are likely to evolve.</li>
</ul>


HSI’s 10-day return of 11.84% ranks it just below the 99th percentile of all 10-day moves since 2000.  
This move has been unusual given the low level of historic volatility, ranking it as one of the lowest vol moves of this magnitude.
The current move is abnormal for its return relative to volatility – we dig deeper into how returns and volatility are likely to evolve.


EQD| HSI: 99th Percentile 2-Week Move on Low Volatility. What’s Next?

<ul>
<li>Powerful rally for HSI lands its 1-week price change in the 94th percentile of all weekly moves since 2000.</li>
<li>Implied vols raising a caution flag, trading at the 78th percentile over the past year and 68th percentile since the start of 2001.</li>
<li>Call volumes as a percentage of total option volumes has been dropping over the past three weeks. </li>
</ul>


Powerful rally for HSI lands its 1-week price change in the 94th percentile of all weekly moves since 2000.
Implied vols raising a caution flag, trading at the 78th percentile over the past year and 68th percentile since the start of 2001.
Call volumes as a percentage of total option volumes has been dropping over the past three weeks. 


EQD | HSI Index Options Weekly (Feb 02-07): 94th Percentile 1-Week Move

<ul>
<li>Major markets are in a waiting game with vols not monetizing yet implied holding up with US FOMC and the election this week. </li>
<li>Hang Seng Index (HSI INDEX) , Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) have elevated implied vols vs average historical observations for November.</li>
<li>November typically sees strong price performance, particularly in the 3rd week, leading to softer historic vols in that time frame. </li>
</ul>


Major markets are in a waiting game with vols not monetizing yet implied holding up with US FOMC and the election this week. 
Hang Seng Index (HSI INDEX) , Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) have elevated implied vols vs average historical observations for November.
November typically sees strong price performance, particularly in the 3rd week, leading to softer historic vols in that time frame. 


EQD | Asia November Vol Roadmap - The Waiting Game

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<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 said 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> could find support between 18.8K and 17.5K, and rally, and so it did (the bottom was at <strong>18671</strong>).</li>
<li>Since there the index has been rallying for 3 weeks, &gt;8% returns so far.</li>
<li>This insight is focused on tactical strategy: 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> may be readying for a new pullback, starting next week, so we are going to look at resistance levels.</li>
</ul>


In our previous, Jan 11th. insight, we said the HSI INDEX could find support between 18.8K and 17.5K, and rally, and so it did (the bottom was at 18671).
Since there the index has been rallying for 3 weeks, &gt;8% returns so far.
This insight is focused on tactical strategy: the Hang Seng Index may be readying for a new pullback, starting next week, so we are going to look at resistance levels.


EQD | Tactically Overbought HSI May Start Pulling Back After Lunar New Year

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 Index Options Weekly (Feb 10-14): Reduce Positions with Short Volatility Edge

Market rally in the 99th percentile since 2000 with low volatility resembles previous trends, suggesting unique outlook. Tactical positions...

John Ley

EQD| HSI: 99th Percentile 2-Week Move on Low Volatility. What’s Next?

HSI's recent 10-day return of 11.84% is abnormal given historic volatility levels, ranking it near the 99th percentile since 2000. Future returns...

John Ley

EQD | HSI Index Options Weekly (Feb 02-07): 94th Percentile 1-Week Move

HSI sees strong rally ranking in the 94th percentile of all weekly moves since 2000 but caution warranted on implied vols as gains look limited...

John Ley

EQD | Asia November Vol Roadmap - The Waiting Game

Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

John Ley

EQD | Tactically Overbought HSI May Start Pulling Back After Lunar New Year

The Hang Seng Index is about to reach a tactically overbought resistance area from where it could start to pullback, after the Lunar New Year....

Nico Rosti

EQD| HSI Index Options Weekly (Feb 10-14): Reduce Positions with Short Volatility Edge

Market rally in the 99th percentile since 2000 with low volatility resembles previous trends, suggesting unique outlook. Tactical positions...

John Ley

EQD| HSI: 99th Percentile 2-Week Move on Low Volatility. What’s Next?

​HSI's recent 10-day return of 11.84% is abnormal given historic volatility levels, ranking it near the 99th percentile since 2000. Future returns...

John Ley

EQD | HSI Index Options Weekly (Feb 02-07): 94th Percentile 1-Week Move

​HSI sees strong rally ranking in the 94th percentile of all weekly moves since 2000 but caution warranted on implied vols as gains look limited...

John Ley

EQD | Asia November Vol Roadmap - The Waiting Game

​Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...

John Ley

EQD | Tactically Overbought HSI May Start Pulling Back After Lunar New Year

The Hang Seng Index is about to reach a tactically overbought resistance area from where it could start to pullback, after the Lunar New Year....

Nico Rosti

HSI's recent 10-day return of 11.84% is abnormal given historic volatility levels, ranking it near the 99th percentile since 2000. Future returns...

HSI sees strong rally ranking in the 94th percentile of all weekly moves since 2000 but caution warranted on implied vols as gains look limited...

Major markets are not monetizing, with US FOMC and election impacting implied vols. Hang Seng, Shanghai Shenzhen, and Nikkei 225 have elevated...