Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

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

Industrial and Commercial Bank of China Limited provides banking services. The Company offers deposits, loans, fund underwriting, foreign currency settlement, and other services. Industrial and Commercial Bank of China provides its services to individuals, enterprises, and other clients.

<ul>
<li>Big increase in single stock volumes particularly Puts which pushed the single stock put call ratio over 1 for the first time since early November.</li>
<li>Heavy Put trading in the Financial Sector especially with ICBC and CCB.</li>
<li>Health Care, Energy and Materials are the 3 sectors seeing higher Put trading vs Calls and are also the 3 sectors with the lowest 3M implied vol 1 year percentile.</li>
</ul>


Big increase in single stock volumes particularly Puts which pushed the single stock put call ratio over 1 for the first time since early November.
Heavy Put trading in the Financial Sector especially with ICBC and CCB.
Health Care, Energy and Materials are the 3 sectors seeing higher Put trading vs Calls and are also the 3 sectors with the lowest 3M implied vol 1 year percentile.


EQD | Hong Kong Single Stock Options Weekly Dec 30 – Jan 03

The Hang Seng Index is a free-float capitalization-weighted index of a selection of companies from the Stock Exchange of Hong Kong. The components of the index are divided into four subindices: Commerce and Industry, Finance, Utilities, and Properties. The index was developed with a base level of 100 as of July 31, 1964.

<ul>
<li>Tough start to the New Year, implied vols rose with market decline on the first day of the year. Both markets are now trading at or near peak open interest.</li>
<li>Volumes perked up, well ahead of the prior weeks levels with Calls still making up the bulk of trading in Hang Seng at 57% of all trades.</li>
<li>Looking ahead, January has historically been one of the most  volatile months of the year for HSI, trailing only October for average historic volatility.</li>
</ul>


Tough start to the New Year, implied vols rose with market decline on the first day of the year. Both markets are now trading at or near peak open interest.
Volumes perked up, well ahead of the prior weeks levels with Calls still making up the bulk of trading in Hang Seng at 57% of all trades.
Looking ahead, January has historically been one of the most  volatile months of the year for HSI, trailing only October for average historic volatility.


EQD | Hong Kong Index Options Weekly - HSI and HSCEI Dec 30 – Jan 03

Gold is a chemical element with the symbol Au (from Latin: aurum) and the atomic number 79. In its purest form, it is a bright, slightly reddish yellow, dense, soft, malleable and ductile metal. Chemically, gold is a transition metal and a group 11 element. It is one of the least reactive chemical elements, and is solid under standard conditions. The metal therefore occurs often in free elemental (native) form, as nuggets or grains, in rocks, in veins and in alluvial deposits. It occurs in a solid solution series with the native element silver (as electrum) and also naturally alloyed with copper and palladium. Less commonly, it occurs in minerals as gold compounds, often with tellurium (gold tellurides).

<ul>
<li>Gold is historically a strong January performer, rising 65% of the time. Nifty declines 70% of the time in January with all January’s since 2019 negative.</li>
<li>Wide gap in Kospi vs Nikkei implied vol when viewed in light of their respective price performances over the past 1 and 3 months.</li>
<li>Most markets typically see peak volatility in the first week of the month with prices typically trading heavy in the 2nd half of the month.</li>
</ul>


Gold is historically a strong January performer, rising 65% of the time. Nifty declines 70% of the time in January with all January’s since 2019 negative.
Wide gap in Kospi vs Nikkei implied vol when viewed in light of their respective price performances over the past 1 and 3 months.
Most markets typically see peak volatility in the first week of the month with prices typically trading heavy in the 2nd half of the month.


EQD | Asia January Vol Roadmap:    Outsized Moves, Outsized Volatility

Korea Stock Exchange KOSPI 200 / Event-Driven

The KOSPI 200 Index is a capitalization-weighted index of 200 Korean stocks which make up 93% of the total market value of the Korea Stock Exchange. The index was developed with a base value of 100 as of January 3, 1990.

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>The implied move for January is less than what has been historically experienced. Sixteen of the last 26 years have had price movement &gt; current implied move.</li>
<li>January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.</li>
<li>Trades at the current implied move historically would have been winners 61.5% of the time with the average winner being more than double the average loser. </li>
</ul>


The implied move for January is less than what has been historically experienced. Sixteen of the last 26 years have had price movement &gt; current implied move.
January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.
Trades at the current implied move historically would have been winners 61.5% of the time with the average winner being more than double the average loser. 


EQD | KOSPI 200 Index – Buy January Straddle

<ul>
<li>The implied move for January is less than what has been historically experienced. Twenty of the last 27 years have had price movement &gt; current implied move.</li>
<li>January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.</li>
<li>January is one of the most volatility months of the year, only October having a higher average historic volatility</li>
</ul>


The implied move for January is less than what has been historically experienced. Twenty of the last 27 years have had price movement &gt; current implied move.
January punches above its weight in terms of both historic volatility (most volatile month) and the amount of price movement relative to that historic volatility.
January is one of the most volatility months of the year, only October having a higher average historic volatility


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.

John Ley
Equity Derivatives and Volatility Specialist
• Clifton Derivatives

EQD | Hong Kong Single Stock Options Weekly Dec 30 – Jan 03

Single stock put volumes are on the rise, pushing the put call ratio over 1 for the first time since November. Heavy put trading in financial...

John Ley

EQD | Hong Kong Index Options Weekly - HSI and HSCEI Dec 30 – Jan 03

Implied vols rose with market decline on New Year's Day, Hang Seng and HSCEI both trading at peak open interest. January historically a volatile...

John Ley

EQD | Asia January Vol Roadmap: Outsized Moves, Outsized Volatility

Historically, gold performs well in January while Nifty tends to decline. Kospi and Nikkei have diverged in price but not implied vol. Most...

John Ley

EQD | KOSPI 200 Index – Buy January Straddle

January historically has high volatility and price movement. Trades at the current implied move would have been winners 61.5% of the time.

John Ley

EQD | HSI – Buy January Straddle

January historically experiences high volatility and price movement, with the current implied move being lower than what has been experienced in...

John Ley

EQD | Hong Kong Single Stock Options Weekly Dec 30 – Jan 03

​Single stock put volumes are on the rise, pushing the put call ratio over 1 for the first time since November. Heavy put trading in financial...

John Ley

EQD | Hong Kong Index Options Weekly - HSI and HSCEI Dec 30 – Jan 03

​Implied vols rose with market decline on New Year's Day, Hang Seng and HSCEI both trading at peak open interest. January historically a volatile...

John Ley

EQD | Asia January Vol Roadmap: Outsized Moves, Outsized Volatility

​Historically, gold performs well in January while Nifty tends to decline. Kospi and Nikkei have diverged in price but not implied vol. Most...

John Ley

EQD | KOSPI 200 Index – Buy January Straddle

​January historically has high volatility and price movement. Trades at the current implied move would have been winners 61.5% of the time.

John Ley

EQD | HSI – Buy January Straddle

​January historically experiences high volatility and price movement, with the current implied move being lower than what has been experienced in...

John Ley

Single stock put volumes are on the rise, pushing the put call ratio over 1 for the first time since November. Heavy put trading in financial...

Implied vols rose with market decline on New Year's Day, Hang Seng and HSCEI both trading at peak open interest. January historically a volatile...

Historically, gold performs well in January while Nifty tends to decline. Kospi and Nikkei have diverged in price but not implied vol. Most...

January historically has high volatility and price movement. Trades at the current implied move would have been winners 61.5% of the time.

January historically experiences high volatility and price movement, with the current implied move being lower than what has been experienced in...