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

EQD | HSCEI Index Options Weekly (Feb 02-07): 92nd Percentile 1-Week Move

EQD | Hong Kong Single Stock Options Weekly (February 02 – 07): Rally Narrows, Info Tech Hot

EQD | February Macro Vol Roadmap – Stay Alert to Trend Change in 2nd Half of Month

Hong Kong Connect Flows (Feb 7th): ICBC, Tencent, Xiaomi

EQD | Nifty Index Options Weekly (Jan 24 – 31): Second Longest Decline Since 2007

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Equity Derivatives

<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

Hang Seng Index

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