Head of Trading/ Partner, AceGama Advisors

Sankalp Singh

Head of Trading/ Partner

Proprietary Trading Desk

AceGama Advisors

Trading desk specializing in the Listed & OTC options strategies for risk management & investment purposes.

Event-Driven

The NIFTY 50 index is National Stock Exchange of India's benchmark stock market index for Indian equity market. Nifty is owned and managed by India Index Services and Products (IISL), which is a wholly owned subsidiary of the NSE Strategic Investment Corporation Limited.

<ul>
<li>IVs continue moving higher in spite of low RV. Nifty50 &amp; BankNifty Monthly IVs at 14.7% &amp; 16.8% respectively. Re-pricing exaggerated in Short-dated options as they cover U.S. Elections.</li>
<li>Vol-Regime Switching Model now in "High &amp; Up" state. Vol-state switch triggers scale back of risk-premia capture strategies. Consider long Gamma exposure via buying Straddles on a delta-hedged basis.</li>
<li>Higher IVs not translating to Skew/ Smile extensions. Vol-curve Term-structure has transitioned from Contango to Backwardation - front-end vol-differential at +1.6 vols.</li>
</ul>


IVs continue moving higher in spite of low RV. Nifty50 &amp; BankNifty Monthly IVs at 14.7% &amp; 16.8% respectively. Re-pricing exaggerated in Short-dated options as they cover U.S. Elections.
Vol-Regime Switching Model now in "High &amp; Up" state. Vol-state switch triggers scale back of risk-premia capture strategies. Consider long Gamma exposure via buying Straddles on a delta-hedged basis.
Higher IVs not translating to Skew/ Smile extensions. Vol-curve Term-structure has transitioned from Contango to Backwardation - front-end vol-differential at +1.6 vols.


EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a> has broken its four-week decline and reversed direction. This raises the prospect for a bull run.</li>
<li>Continued decline or relief rally? Technical and fundamental arguments lend support to both directional views.</li>
<li>We identify options with attractive cost vs. upside profiles to implement tactical trades in this environment.</li>
</ul>


The NIFTY Index (NIFTY INDEX) has broken its four-week decline and reversed direction. This raises the prospect for a bull run.
Continued decline or relief rally? Technical and fundamental arguments lend support to both directional views.
We identify options with attractive cost vs. upside profiles to implement tactical trades in this environment.


EQD | Nifty 50 – Option Strategy for Bulls and Bears

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.

<ul>
<li>The <strong>US Elections</strong> are behind the corner, this insight will try to predict both the elections' winner and the subsequent S&amp;P500 direction based on MRM research and other studies.</li>
<li>The "<strong>Trump Trade</strong>" is considered by many as a trade to take advantage of (or bet against) a number of policies that Donald Trump has promised to implement if elected.</li>
<li>Let's see what our models have to say about this crucial stock market passage that is going to happen next week, from November 5th...</li>
</ul>


The US Elections are behind the corner, this insight will try to predict both the elections' winner and the subsequent S&amp;P500 direction based on MRM research and other studies.
The "Trump Trade" is considered by many as a trade to take advantage of (or bet against) a number of policies that Donald Trump has promised to implement if elected.
Let's see what our models have to say about this crucial stock market passage that is going to happen next week, from November 5th...


EQD | SPX - The "TRUMP TRADE" (And US Elections Forecast) From Our Models Perspective

The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was ¥176.21 with a divisor of 225. 

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> has been trading sideways between 35,000 and 40,000 for the past eleven weeks.</li>
<li>A short straddle allows investors who believe that the Nikkei 225 continues to trade sideways to earn a profit of up to 7% in six weeks.</li>
<li>This Insight presents the strategy rationale, profit and loss profile, back-testing and risk management measures. </li>
</ul>


The Nikkei 225 (NKY INDEX) has been trading sideways between 35,000 and 40,000 for the past eleven weeks.
A short straddle allows investors who believe that the Nikkei 225 continues to trade sideways to earn a profit of up to 7% in six weeks.
This Insight presents the strategy rationale, profit and loss profile, back-testing and risk management measures. 


EQD | Nikkei 225 Option Opportunity – Earn Premium in Sideways Markets with Straddles

<ul>
<li>Risk premia continues to re-price higher with Equity Indices trading decisively below critical levels. Nifty50 Monthly IVs back at 14.0% &amp; BankNifty IVs at 16.0%. </li>
<li>Vol-Regime still in "High &amp; Down" state - chances of switching to "High &amp; Up" are increasing.</li>
<li>Options Markets avoid panic mode - orderly declines in the Index &amp; upcoming holiday-shortened week being the contributing factors.</li>
</ul>


Risk premia continues to re-price higher with Equity Indices trading decisively below critical levels. Nifty50 Monthly IVs back at 14.0% &amp; BankNifty IVs at 16.0%. 
Vol-Regime still in "High &amp; Down" state - chances of switching to "High &amp; Up" are increasing.
Options Markets avoid panic mode - orderly declines in the Index &amp; upcoming holiday-shortened week being the contributing factors.


EQD / NSE Vol Update / Equities Continue Their Decline .. Options Markets Avoid Panic Mode for Now.

Equity Derivatives and Vol-Based Insights

Equity Derivatives
Equity Derivatives and Vol-Based Insights

EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

Short-dated risk premia inflated due to U.S. election uncertainty. Consider long Gamma exposure through buying Straddles. Vol-curve has shifted...

AceGama Advisors

EQD | Nifty 50 – Option Strategy for Bulls and Bears

The NIFTY 50 snaped its four-week decline. Options with attractive cost vs. upside profile make for tactical trades ahead of a recovery rally, or...

Gaudenz Schneider

EQD | SPX - The "TRUMP TRADE" (And US Elections Forecast) From Our Models Perspective

A forecast of the US elections winner, and S&P500's direction, based on our MRM research + previous 2016 / 2020 elections trade patterns. Analysis...

Nico Rosti

EQD | Nikkei 225 Option Opportunity – Earn Premium in Sideways Markets with Straddles

Investors can earn a premium by using a short straddle strategy on the Nikkei 225, which has been trading sideways for the past eleven weeks.

Gaudenz Schneider

EQD / NSE Vol Update / Equities Continue Their Decline .. Options Markets Avoid Panic Mode for Now.

Vol curve has inverted mid-week in spite of low delivered Realized Vol. Options Markets are quickly pricing in U.S. Election result (06.11.2024)...

AceGama Advisors

EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

​Short-dated risk premia inflated due to U.S. election uncertainty. Consider long Gamma exposure through buying Straddles. Vol-curve has shifted...

AceGama Advisors

EQD | Nifty 50 – Option Strategy for Bulls and Bears

​The NIFTY 50 snaped its four-week decline. Options with attractive cost vs. upside profile make for tactical trades ahead of a recovery rally, or...

Gaudenz Schneider

EQD | SPX - The "TRUMP TRADE" (And US Elections Forecast) From Our Models Perspective

A forecast of the US elections winner, and S&P500's direction, based on our MRM research + previous 2016 / 2020 elections trade patterns. Analysis...

Nico Rosti

EQD | Nikkei 225 Option Opportunity – Earn Premium in Sideways Markets with Straddles

​Investors can earn a premium by using a short straddle strategy on the Nikkei 225, which has been trading sideways for the past eleven weeks.

Gaudenz Schneider

EQD / NSE Vol Update / Equities Continue Their Decline .. Options Markets Avoid Panic Mode for Now.

Vol curve has inverted mid-week in spite of low delivered Realized Vol. Options Markets are quickly pricing in U.S. Election result (06.11.2024)...

AceGama Advisors

Short-dated risk premia inflated due to U.S. election uncertainty. Consider long Gamma exposure through buying Straddles. Vol-curve has shifted...

The NIFTY 50 snaped its four-week decline. Options with attractive cost vs. upside profile make for tactical trades ahead of a recovery rally, or...

Investors can earn a premium by using a short straddle strategy on the Nikkei 225, which has been trading sideways for the past eleven weeks.