Derivatives and Quantitative Strategist

Gaudenz Schneider

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>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>finished last week in positive territory. A longer rally could ensue.</li>
<li>This Insight provides option strategies based on the resistance and support levels identified in the quantitative Insight <a href="https://www.smartkarma.com/insights/eqd-nifty-50-state-of-the-odds" target="_blank" data-smartkarma-citation="insights:167397" rel="noopener">EQD | NIFTY 50: State Of The Odds</a>.</li>
<li>Volatility skew and option liquidity inform three strategies, which include a Capped Risk Reversal, a Risk Reversal, and a Call Spread.</li>
</ul>


The NIFTY Index (NIFTY INDEX) finished last week in positive territory. A longer rally could ensue.
This Insight provides option strategies based on the resistance and support levels identified in the quantitative Insight EQD | NIFTY 50: State Of The Odds.
Volatility skew and option liquidity inform three strategies, which include a Capped Risk Reversal, a Risk Reversal, and a Call Spread.


EQD | NIFTY 50 (NIFTY INDEX) - Capped Risk Reversal and Other Option Opportunities

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.

Tencent Holdings Limited operates as an investment holding company. The Company, through its subsidiaries, provides Internet and mobile value-added services (VAS), online advertising, and e-commerce transactions. Tencent Holdings offers services to users worldwide.

<ul>
<li>Implied vols were lower across all sectors on the week with option volumes peaking on Friday.</li>
<li>Post-Earnings vol crush helped push vols lower for key names.</li>
<li>Tencent stands out with low implied vols over the past year, high liquidity and is trading almost 17% below its 52 week high.</li>
</ul>


Implied vols were lower across all sectors on the week with option volumes peaking on Friday.
Post-Earnings vol crush helped push vols lower for key names.
Tencent stands out with low implied vols over the past year, high liquidity and is trading almost 17% below its 52 week high.


EQD | Hong Kong Single Stock Options Weekly

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>Move away from short gamma levels and position covering help push HSI implied vols lower on the week. </li>
<li>Short dated Puts are still very active in HSCEI at the 6300 and 6800 strikes. </li>
<li>Both HSI and HSCEI implied vols are trading about 2 points above their pre-stimulus levels. </li>
</ul>


Move away from short gamma levels and position covering help push HSI implied vols lower on the week. 
Short dated Puts are still very active in HSCEI at the 6300 and 6800 strikes. 
Both HSI and HSCEI implied vols are trading about 2 points above their pre-stimulus levels. 


EQD | Hong Kong Index Options Weekly - HSI and HSCEI

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.

<ul>
<li>IVs trade higher in spite of a late-week recovery in equities. Negative correlation between Index &amp; option premiums reasserted as multiple holidays fall off the calendar.    </li>
<li>Vol-Regime Switching Model firmly lodged in "High &amp; Down" state. Allocation to Iron Condors/ Iron Butterflies recommended.   </li>
<li>Vol surface characteristics also reflecting increased risk premia - Skew extends away from overly compressed levels. Vol term structure swings from Contango to Backwardation.</li>
</ul>


IVs trade higher in spite of a late-week recovery in equities. Negative correlation between Index &amp; option premiums reasserted as multiple holidays fall off the calendar.    
Vol-Regime Switching Model firmly lodged in "High &amp; Down" state. Allocation to Iron Condors/ Iron Butterflies recommended.   
Vol surface characteristics also reflecting increased risk premia - Skew extends away from overly compressed levels. Vol term structure swings from Contango to Backwardation.


EQD / NSE Vol Update / IVs Finally Respond to Mkt. Forces as Holidays Drop off the Calendar

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>After a period of prolonged sell-off, the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> last week found support around the 23263 level and bounced.</li>
<li>Below we introduce a new "quantitative chart" tool called "<strong>QUANTCHARTS</strong>": it displays in a compact format all the information you need to evaluate the probability of trend reversal.</li>
<li>As you will see the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> closed just below the 25% (Q1) probability target, so it has room to rise further in the coming weeks, the CC is supportive.</li>
</ul>


After a period of prolonged sell-off, the NIFTY Index last week found support around the 23263 level and bounced.
Below we introduce a new "quantitative chart" tool called "QUANTCHARTS": it displays in a compact format all the information you need to evaluate the probability of trend reversal.
As you will see the NIFTY Index closed just below the 25% (Q1) probability target, so it has room to rise further in the coming weeks, the CC is supportive.


Equity Derivatives and Vol-Based Insights