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

The Long-Overdue NIFTY Index Rally: Let's Talk About PROFIT TARGETS

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

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>Nifty has been in a prolonged downtrend, currently 4 months in duration and clipping 10.3% off the index. This is the second longest decline since 2007.</li>
<li>When looked at vs the extent of this decline, implied vol is at the bottom of its historical range and historic vol also quietest in a down-move since 2007.</li>
<li>Implied vol is trading at or above peak levels seen on historic vol since the decline started and implied remains negatively correlated to movements in spot.</li>
</ul>


Nifty has been in a prolonged downtrend, currently 4 months in duration and clipping 10.3% off the index. This is the second longest decline since 2007.
When looked at vs the extent of this decline, implied vol is at the bottom of its historical range and historic vol also quietest in a down-move since 2007.
Implied vol is trading at or above peak levels seen on historic vol since the decline started and implied remains negatively correlated to movements in spot.


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