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

Hong Kong Single Stock Options Weekly (February 17 – 21): Option Volumes Surge as Rally Narrows

HSI Index Options Weekly (Feb 17-21): Alibaba Reignites Momentum

Alibaba – How to Position Post Earnings Amid Sticky Volatility

EQD| HSI: 99th Percentile 2-Week Move on Low Volatility. What’s Next?

Clifton Derivatives

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

Equity Derivatives

Hang Seng China Enterprises Index / Equity Derivatives

Hang Seng China Enterprises Index (HSCEI INDEX)

<ul>
<li>HSCEI sets a new 52-week high, helped in part by the large earnings related move from Alibaba to finish the week.</li>
<li>Implied vol struggling to keep up with the rally in spot, dropping 3 points despite Friday’s furious rally.</li>
<li>We show how the relationship between spot and vol over the past month has not been the norm compared to the previous year’s activity.</li>
</ul>


HSCEI sets a new 52-week high, helped in part by the large earnings related move from Alibaba to finish the week.
Implied vol struggling to keep up with the rally in spot, dropping 3 points despite Friday’s furious rally.
We show how the relationship between spot and vol over the past month has not been the norm compared to the previous year’s activity.


HSCEI Index Options Weekly (Feb 17-21): Implied Vol Weak Despite Rally