Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Ex-Portfolio Manager with over 25 years of derivatives experience across products and geographies. Specializing in all things Vol - Relative Value volatility trading, Cross-Asset volatility strategies and event handicapping and trading. Develops own proprietary trading tools and analysis.  
Previously: Options Specialist and Market Maker at BMO, Managing Director Global Equity Derivatives at TDS. Most recently, Portfolio Manager of volatility portfolio at Polar Aset Management Partners (> $USD 7 billion multi-strategy hedge fund) focusing on cross-asset relative value volatility and derivative fund overlays.

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>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