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.

Equity Derivatives

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>SEBI intervenes on constantly changing Option contract specifications. NSE halts expiry day shift indefinitely &amp; awaits clarity from regulator. </li>
<li>IVs slid lower to 11% levels - extended weekend being a primary factor. Risk premia is nearing historically low extremes. "Low &amp; Down" state persists for the Vol-Regime model.</li>
<li>Tactical Implications: (1) Scale back Vol harvesting structures as "Low &amp; Down" Vol-state persists. (2) Reverse Calendars for long gamma exposure to upcoming events. Utilize Low IVs &amp; curve Contango.</li>
</ul>


SEBI intervenes on constantly changing Option contract specifications. NSE halts expiry day shift indefinitely &amp; awaits clarity from regulator. 
IVs slid lower to 11% levels - extended weekend being a primary factor. Risk premia is nearing historically low extremes. "Low &amp; Down" state persists for the Vol-Regime model.
Tactical Implications: (1) Scale back Vol harvesting structures as "Low &amp; Down" Vol-state persists. (2) Reverse Calendars for long gamma exposure to upcoming events. Utilize Low IVs &amp; curve Contango.


NSE NIFTY50/ Vol Update / SEBI Intervenes Stalling Expiry Day Shift. IVs Pushed to 1Yr Lows.

<ul>
<li>Effective 05.04.2025, Expiry for Options will be moved from Thursday to Monday. Premiums still adjusting to retroactive implementation of the technical change.</li>
<li>Option markets shun additional risk premia on account of U.S. trade tensions - IVs remain subdued. Vol-state transitioned to "Low &amp; Down" &amp; term-structure pushed further into Contango.  </li>
<li>IVs were higher on the weekly open, but premiums decayed rapidly post U.S. Fed event risk. Skew has unwound its earlier compression.</li>
</ul>


Effective 05.04.2025, Expiry for Options will be moved from Thursday to Monday. Premiums still adjusting to retroactive implementation of the technical change.
Option markets shun additional risk premia on account of U.S. trade tensions - IVs remain subdued. Vol-state transitioned to "Low &amp; Down" &amp; term-structure pushed further into Contango.  
IVs were higher on the weekly open, but premiums decayed rapidly post U.S. Fed event risk. Skew has unwound its earlier compression.


NSE NIFTY50/ Vol Update / Expiry Day Shifted to Mondays - Expect Major Changes in Vol Dynamics

<ul>
<li>IVs remain subdued, trading sub-12% levels, as Option Markets expect low impact from U.S.-trade tensions. Risk premia compresses in spite of upcoming FOMC event risk. </li>
<li>Vol term-structure has moved further into Contango. Realized Vol continues to underperform.</li>
<li>Vol-Surface is exhibiting interesting behaviour as Skew has compressed while Smile has extended. </li>
</ul>


IVs remain subdued, trading sub-12% levels, as Option Markets expect low impact from U.S.-trade tensions. Risk premia compresses in spite of upcoming FOMC event risk. 
Vol term-structure has moved further into Contango. Realized Vol continues to underperform.
Vol-Surface is exhibiting interesting behaviour as Skew has compressed while Smile has extended. 


NSE NIFTY50/ Vol Update / IVs Subdued as Options Markets See Low Risk of U.S. Trade Tension Blowup.

<ul>
<li>Monthly Options contracts experiencing large IV markups on account of India Budget event. IVs have traded up to 18.0%. YTD vol increase marks a significant shift in the Vol-regime.</li>
<li>Gamma offered &amp; Vega bid - Weekly Options contracts relatively out-of-favour while Monthly &amp; Quarterly contracts are being marked up.</li>
<li>Skew &amp; Smile characteristics have compressed slightly. Vol term-structure continues to trade with "inverted-V" shape. </li>
</ul>


Monthly Options contracts experiencing large IV markups on account of India Budget event. IVs have traded up to 18.0%. YTD vol increase marks a significant shift in the Vol-regime.
Gamma offered &amp; Vega bid - Weekly Options contracts relatively out-of-favour while Monthly &amp; Quarterly contracts are being marked up.
Skew &amp; Smile characteristics have compressed slightly. Vol term-structure continues to trade with "inverted-V" shape. 


EQD / NSE NIFTY50 Vol Update / India Budget Event Dominates Local Options Markets.

<ul>
<li>India Budget on 01.02.2025 driving price-action in the Options Market. Monthly IVs marked up at 17.0% as contracts cover event-risk. Vol Regime Model pushed into "High &amp; Up" state.</li>
<li>Vol term-structure bent into kinked-shape due to India Budget date. Skew characteristics are elevated while Smile largely unchanged with the exception of Monthly 10-Delta Strangles.</li>
<li>Trading Strategy Implications: (1) Switch to "High &amp; Up" vol-state triggers a cutback in Short Gamma &amp; Short Vega exposure. (2) Vol-barbell opportunity due to the kinked-shape of the Vol-curve. </li>
</ul>


India Budget on 01.02.2025 driving price-action in the Options Market. Monthly IVs marked up at 17.0% as contracts cover event-risk. Vol Regime Model pushed into "High &amp; Up" state.
Vol term-structure bent into kinked-shape due to India Budget date. Skew characteristics are elevated while Smile largely unchanged with the exception of Monthly 10-Delta Strangles.
Trading Strategy Implications: (1) Switch to "High &amp; Up" vol-state triggers a cutback in Short Gamma &amp; Short Vega exposure. (2) Vol-barbell opportunity due to the kinked-shape of the Vol-curve. 


EQD / NSE NIFTY50 Vol Update / India Budget Event Is Driving Price-Action in the Options Market

AceGama Advisors
Proprietary Trading Desk

NSE NIFTY50/ Vol Update / SEBI Intervenes Stalling Expiry Day Shift. IVs Pushed to 1Yr Lows.

SEBI intervenes on Option contract specs, NSE halts expiry day shift. IVs at 11%, risk premia low. Tactical implications: scale back Vol...

AceGama Advisors

NSE NIFTY50/ Vol Update / Expiry Day Shifted to Mondays - Expect Major Changes in Vol Dynamics

Starting 05.04.2025, Options Expiry will shift to Mondays, impacting premiums. Option markets ignore trade tensions- IVs low & Term-structure in...

AceGama Advisors

NSE NIFTY50/ Vol Update / IVs Subdued as Options Markets See Low Risk of U.S. Trade Tension Blowup.

Option markets not worried about U.S.-trade tensions - IVs remain low. Vol term-structure is in Contango, realized vol underperforms. Vol-Surface...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / India Budget Event Dominates Local Options Markets.

Pre-Budget Update: 01.02.2025 (Saturday) announced as special trading session. First full budget release for the Modi 3.0 Govt. Options markets...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / India Budget Event Is Driving Price-Action in the Options Market

IV Update: Option Market remains hyper-focused on the 01.02.2025 India Budget date, pushing IVs for 06.02.2025 expiry contracts even higher to...

AceGama Advisors

NSE NIFTY50/ Vol Update / SEBI Intervenes Stalling Expiry Day Shift. IVs Pushed to 1Yr Lows.

​SEBI intervenes on Option contract specs, NSE halts expiry day shift. IVs at 11%, risk premia low. Tactical implications: scale back Vol...

AceGama Advisors

NSE NIFTY50/ Vol Update / Expiry Day Shifted to Mondays - Expect Major Changes in Vol Dynamics

​Starting 05.04.2025, Options Expiry will shift to Mondays, impacting premiums. Option markets ignore trade tensions- IVs low & Term-structure in...

AceGama Advisors

NSE NIFTY50/ Vol Update / IVs Subdued as Options Markets See Low Risk of U.S. Trade Tension Blowup.

​Option markets not worried about U.S.-trade tensions - IVs remain low. Vol term-structure is in Contango, realized vol underperforms. Vol-Surface...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / India Budget Event Dominates Local Options Markets.

Pre-Budget Update: 01.02.2025 (Saturday) announced as special trading session. First full budget release for the Modi 3.0 Govt. Options markets...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / India Budget Event Is Driving Price-Action in the Options Market

IV Update: Option Market remains hyper-focused on the 01.02.2025 India Budget date, pushing IVs for 06.02.2025 expiry contracts even higher to...

AceGama Advisors

SEBI intervenes on Option contract specs, NSE halts expiry day shift. IVs at 11%, risk premia low. Tactical implications: scale back Vol...

Starting 05.04.2025, Options Expiry will shift to Mondays, impacting premiums. Option markets ignore trade tensions- IVs low & Term-structure in...

Option markets not worried about U.S.-trade tensions - IVs remain low. Vol term-structure is in Contango, realized vol underperforms. Vol-Surface...