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 | KOSPI 200 Index – Buy January Straddle

EQD | Nikkei Index Options Weekly - December 23 - 27

EQD | Asia December Vol Roadmap - The Big Exhale

EQD | Hong Kong Index Options Weekly - HSI and HSCEI

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 Index / Event-Driven

Korea Stock Exchange Kospi Index (KOSPI INDEX)

<ul>
<li>Since the end of September the Kospi has been diverging from the Nikkie which has rallied as JPY has weakened. Both Kospi and KRW have been moving lower.</li>
<li>Vast majority of option trading is in short dated expiries. The largest volume day of the week saw 99% of trading in expires &lt;= Jan 09</li>
<li>Implied vols were quiet but there was some increased tilt to skew making out-of-the-money Puts slightly more expensive.</li>
</ul>


Since the end of September the Kospi has been diverging from the Nikkie which has rallied as JPY has weakened. Both Kospi and KRW have been moving lower.
Vast majority of option trading is in short dated expiries. The largest volume day of the week saw 99% of trading in expires &lt;= Jan 09
Implied vols were quiet but there was some increased tilt to skew making out-of-the-money Puts slightly more expensive.


Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

EQD | Kospi Index Options Weekly - December 23 - 27