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.

Equity Derivatives

<ul>
<li>Nifty’s prolonged downtrend continues, making it the worst-performing market year-to-date.</li>
<li>Low volatility dominated price action, with 1-week historic vol at just 3.54 ranking in the 4th percentile since 2021. Possible precursor to a break from here.</li>
<li>Traders may consider letting deltas run, as daily delta hedging offers little benefit in this low vol environment.</li>
</ul>


Nifty’s prolonged downtrend continues, making it the worst-performing market year-to-date.
Low volatility dominated price action, with 1-week historic vol at just 3.54 ranking in the 4th percentile since 2021. Possible precursor to a break from here.
Traders may consider letting deltas run, as daily delta hedging offers little benefit in this low vol environment.


Nifty Index Options Weekly (Feb 17 – 21): Low Volatility Strangles Price Action

NIFTY Index

Nifty Index Options Weekly (Feb 17 – 21): Low Volatility Strangles Price Action