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

iShares China Large-Cap (FXI) / Event-Driven

<ul>
<li>The implied move for January is considerably less than what has been experienced historically.</li>
<li>January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.</li>
<li>71% of the last 21 January’s have had a larger absolute return for the month than the current implied move of 5.7%. Average January move has been 8.62%.</li>
</ul>


The implied move for January is considerably less than what has been experienced historically.
January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.
71% of the last 21 January’s have had a larger absolute return for the month than the current implied move of 5.7%. Average January move has been 8.62%.


iShares China Large-Cap (FXI)

EQD | FXI – Buy January Straddle