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

Korea Stock Exchange KOSPI 200 / Event-Driven

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>Risk reward for owning implied vol has shifted to the long side here given spot/vol dynamics and limited vol upside since market peaked 17% higher.</li>
<li>Strong price action after a soggy start to the week sees a significant portion of open interest cleared out.</li>
<li>Largest open interest is at the 300 strike with ~ 42k Put contracts outstanding.</li>
</ul>


Risk reward for owning implied vol has shifted to the long side here given spot/vol dynamics and limited vol upside since market peaked 17% higher.
Strong price action after a soggy start to the week sees a significant portion of open interest cleared out.
Largest open interest is at the 300 strike with ~ 42k Put contracts outstanding.


EQD | Kospi Index Options Weekly – December 09 - 13