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 (Feb 24 – 28): Broad Deterioration

Hang Seng Index (HSI): Trends in CALL Strikes and Open Interest Visualized in Animation and Charts

Hang Seng Index (HSI): Trends in PUT Strikes and Open Interest Visualized in Animation and Charts

Macro Vol Monthly - March:  Weakness Could Continue into Mid-March

Clifton Derivatives

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

Equity Derivatives

<ul>
<li>HSI down 1.64% on the week but under the hood volatility was percolating with a larger weekly range and 2 daily moves &gt; 3%.</li>
<li>Volatilities rise across the board and shift in the skew favoring Puts.</li>
<li>Trading dynamics between spot and implied vol continue to evolve and seasonal setup over the next two weeks not favourable for HSI.</li>
</ul>


HSI down 1.64% on the week but under the hood volatility was percolating with a larger weekly range and 2 daily moves &gt; 3%.
Volatilities rise across the board and shift in the skew favoring Puts.
Trading dynamics between spot and implied vol continue to evolve and seasonal setup over the next two weeks not favourable for HSI.


HSI Index Options Weekly (Feb 24-28): Volatility Increases as Rally Reverses