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>Both HSI and HSCEI show characteristics of being short gamma at higher strikes highlighted by Mondays pop in spot and vol in both markets.</li>
<li>Implied vol did a complete round-trip closing virtually unchanged from last week despite spot holding on to modest gains on the week and large high – low range.</li>
<li>Up-Strike Calls look to have been added in both markets which will help maintain the positive spot vol correlation.</li>
</ul>


Both HSI and HSCEI show characteristics of being short gamma at higher strikes highlighted by Mondays pop in spot and vol in both markets.
Implied vol did a complete round-trip closing virtually unchanged from last week despite spot holding on to modest gains on the week and large high – low range.
Up-Strike Calls look to have been added in both markets which will help maintain the positive spot vol correlation.


Hang Seng China Enterprises Index (HSCEI INDEX)

EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 09-13

Hang Seng Index

EQD | Hong Kong Index Options Weekly - HSI and HSCEI December 09-13