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>All 5 trading days of the past week saw non-volatile price declines but with implied vols still ticking higher leaving historic vol and implied vol moving in opposite directions.</li>
<li>Trading activity focused on Puts, 59.5% of all options trades were Puts last week</li>
<li>Postions being covered into market weakness as seen from large decrease in open interest (60% of the decline was Puts).</li>
</ul>


All 5 trading days of the past week saw non-volatile price declines but with implied vols still ticking higher leaving historic vol and implied vol moving in opposite directions.
Trading activity focused on Puts, 59.5% of all options trades were Puts last week
Postions being covered into market weakness as seen from large decrease in open interest (60% of the decline was Puts).


EQD | Nikkei Index Options Weekly - December 16 - 20

<ul>
<li>A bid for out-of-the-money puts combined with positive change in Put open interest and Put volume totals argues that Puts and being bought.</li>
<li>70% of NKY open interest is below 38,000 with only 20% of the open interest above 40,000.</li>
<li>NKY nearing top of range while registering quiet historic volatility levels 4-5 points below implied vols. </li>
</ul>


A bid for out-of-the-money puts combined with positive change in Put open interest and Put volume totals argues that Puts and being bought.
70% of NKY open interest is below 38,000 with only 20% of the open interest above 40,000.
NKY nearing top of range while registering quiet historic volatility levels 4-5 points below implied vols. 


EQD | Nikkei Index Options Weekly - December 09 - 13

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 Index</a> continues its <em>going nowhere</em> trend: there is a pattern however in what it does and it's quite repetitive as of lately.</li>
<li>While we don't attribute predictive value to chart patterns, we do know that a flat trend sooner or later breaks out. </li>
<li>Our models see limited upside for the current range-bound mini rally (2 weeks in the making). Next we will have a pullback, and it could happen already after this week.</li>
</ul>


The Nikkei 225 Index continues its going nowhere trend: there is a pattern however in what it does and it's quite repetitive as of lately.
While we don't attribute predictive value to chart patterns, we do know that a flat trend sooner or later breaks out. 
Our models see limited upside for the current range-bound mini rally (2 weeks in the making). Next we will have a pullback, and it could happen already after this week.


EQD | The Nikkei’s Wavering Trend: LONG Investors Should Brace For A Pullback.

<ul>
<li>Price action has been mired in a sideways range since hitting these levels in Feb 2024.  Implied’s have come full circle and are at the same levels they were in Feb.</li>
<li>Option volumes over the past week look to be playing for a break above the sideways range of the last two months or a break below it.</li>
<li>Skew is very steep with heavy Put volumes and open interest at levels under the current range.</li>
</ul>


Price action has been mired in a sideways range since hitting these levels in Feb 2024.  Implied’s have come full circle and are at the same levels they were in Feb.
Option volumes over the past week look to be playing for a break above the sideways range of the last two months or a break below it.
Skew is very steep with heavy Put volumes and open interest at levels under the current range.


EQD | Nikkei Index Options Weekly - Dec 02 - 06

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>'s trend is uncertain at the moment: the new <a href="https://qantrading.com/quantcharts/AsiaPacific/N225_WEEKLY/N225_WEEKLY.html" target="_blank" rel="noopener">N225 WEEKLY QUANTCHART</a> presented here (freely accessible 24/7 clicking <a href="https://qantrading.com/quantcharts/AsiaPacific/N225_WEEKLY/N225_WEEKLY.html" target="_blank" rel="noopener">here</a>) shows us the current MRM models' support and resistance.</li>
<li>In the last few months the index stalled, currently it is stuck in a range roughly between 37650 and 40250, and it has closed down for 2 consecutive weeks (CC=-2).</li>
<li>At the moment we expect the index to fall maybe another week (closing this week down) and then a LONG reversal the following week.</li>
</ul>


The Nikkei 225's trend is uncertain at the moment: the new N225 WEEKLY QUANTCHART presented here (freely accessible 24/7 clicking here) shows us the current MRM models' support and resistance.
In the last few months the index stalled, currently it is stuck in a range roughly between 37650 and 40250, and it has closed down for 2 consecutive weeks (CC=-2).
At the moment we expect the index to fall maybe another week (closing this week down) and then a LONG reversal the following week.


EQD | Nikkei 225 : State Of The Odds (WEEKLY)

Japan

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

Nikkei 225 (NKY INDEX)

EQD | Nikkei Index Options Weekly - December 16 - 20

Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

John Ley

EQD | Nikkei Index Options Weekly - December 09 - 13

Investors are buying out-of-the-money puts on NKY as the change in open interest is skewed towards Puts at lower levels and price action...

John Ley

EQD | The Nikkei’s Wavering Trend: LONG Investors Should Brace For A Pullback.

As we know, the Nikkei 225 Index has been stuck in a repetitive pattern for the last few weeks. A potential pullback is looming beginning this...

Nico Rosti

EQD | Nikkei Index Options Weekly - Dec 02 - 06

Option traders are anticipating a potential breakout in price action as implied volatility has come down to levels seen when market entered...

John Ley

EQD | Nikkei 225 : State Of The Odds (WEEKLY)

The Nikkei's trend is still uncertain (stuck in a range, at the moment). This insight shows the new QUANTCHARTS' support and resistance levels: a...

Nico Rosti

EQD | Nikkei Index Options Weekly - December 16 - 20

​Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

John Ley

EQD | Nikkei Index Options Weekly - December 09 - 13

​Investors are buying out-of-the-money puts on NKY as the change in open interest is skewed towards Puts at lower levels and price action...

John Ley

EQD | The Nikkei’s Wavering Trend: LONG Investors Should Brace For A Pullback.

As we know, the Nikkei 225 Index has been stuck in a repetitive pattern for the last few weeks. A potential pullback is looming beginning this...

Nico Rosti

EQD | Nikkei Index Options Weekly - Dec 02 - 06

​Option traders are anticipating a potential breakout in price action as implied volatility has come down to levels seen when market entered...

John Ley

EQD | Nikkei 225 : State Of The Odds (WEEKLY)

​The Nikkei's trend is still uncertain (stuck in a range, at the moment). This insight shows the new QUANTCHARTS' support and resistance levels: a...

Nico Rosti

Non-volatile price declines with implied vols rising, leading to historic vol and implied vol moving in opposite directions and implied vols not...

Investors are buying out-of-the-money puts on NKY as the change in open interest is skewed towards Puts at lower levels and price action...

Option traders are anticipating a potential breakout in price action as implied volatility has come down to levels seen when market entered...

The Nikkei's trend is still uncertain (stuck in a range, at the moment). This insight shows the new QUANTCHARTS' support and resistance levels: a...