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>A bid for out-of-the-money puts combined with positive change in Put open interest and Put volume totals argues that Puts and being bought.</li>
<li>70% of NKY open interest is below 38,000 with only 20% of the open interest above 40,000.</li>
<li>NKY nearing top of range while registering quiet historic volatility levels 4-5 points below implied vols. </li>
</ul>


A bid for out-of-the-money puts combined with positive change in Put open interest and Put volume totals argues that Puts and being bought.
70% of NKY open interest is below 38,000 with only 20% of the open interest above 40,000.
NKY nearing top of range while registering quiet historic volatility levels 4-5 points below implied vols. 


EQD | Nikkei Index Options Weekly - December 09 - 13

Nikkei 225

EQD | Nikkei Index Options Weekly - December 09 - 13