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

HSI Index Options Weekly (March 17-21): A Divergence in Volatility

Tencent Earnings: Implied Vs Realized Price Changes and a Post Earnings Pattern

Xiaomi Earnings: Option Market Expectations, Past Performance and Hedge Opportunities

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>A weekly recap of volatility and price metrics, covering option volumes, volatility trends, the spot/implied relationship, and open interest statistics.</li>
<li>A strong start to the week reversed sharply after key earnings releases.</li>
<li>We examine the dislocation between implied and historic volatility and assess whether this week’s drop in implied vol was overdone.</li>
</ul>


A weekly recap of volatility and price metrics, covering option volumes, volatility trends, the spot/implied relationship, and open interest statistics.
A strong start to the week reversed sharply after key earnings releases.
We examine the dislocation between implied and historic volatility and assess whether this week’s drop in implied vol was overdone.


HSCEI Index Options Weekly (March 17-21): Optimism Fades as Key Earnings Weigh on Markets