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>Risk premia in Nifty50 Options catches up with Global Markets as IVs spike from sub-12% to 24% - levels last seen during 2024 National Elections. </li>
<li>Vol-Regime switches from "Low &amp; Up" state to "High &amp; Up". Term-structure swings into Backwardation. Front-end risk premiums elevated in spite of truncated upcoming week.  </li>
<li>Tactical Implications: (1) Use IV-spike to flatten +ve Vega exposure. (2) Avoid -ve Gamma, Vol harvesting structures. (3) Front-end/ Back-end Calendars recommended as extreme curve inversion expected to normalize.</li>
</ul>


Risk premia in Nifty50 Options catches up with Global Markets as IVs spike from sub-12% to 24% - levels last seen during 2024 National Elections. 
Vol-Regime switches from "Low &amp; Up" state to "High &amp; Up". Term-structure swings into Backwardation. Front-end risk premiums elevated in spite of truncated upcoming week.  
Tactical Implications: (1) Use IV-spike to flatten +ve Vega exposure. (2) Avoid -ve Gamma, Vol harvesting structures. (3) Front-end/ Back-end Calendars recommended as extreme curve inversion expected to normalize.


NSE NIFTY50/ Vol Update / Risk Premia Catches up with Global Counterparts in Spite of Truncated Week

<ul>
<li>Nifty50 risk premia recovers from depressed levels due to Global trade tensions. Lags global equity Vol-spike. Monthly IVs: 11.0% -&gt; 12.5%. Vol-Regime moves to "Low &amp; Up" state.  </li>
<li>Term-Structure swings into Backwardation in the Front-End, but curve finally settled back in Contango by week's end. Skew/ Smile characteristics held steady with slight compression in Strangle markups.</li>
<li>Tactical Implications: (1) Continue reduced exposure to Risk-premia harvesting, (2) Long Vega structures recommended in "Low &amp; Up" vol-state. </li>
</ul>


Nifty50 risk premia recovers from depressed levels due to Global trade tensions. Lags global equity Vol-spike. Monthly IVs: 11.0% -&gt; 12.5%. Vol-Regime moves to "Low &amp; Up" state.  
Term-Structure swings into Backwardation in the Front-End, but curve finally settled back in Contango by week's end. Skew/ Smile characteristics held steady with slight compression in Strangle markups.
Tactical Implications: (1) Continue reduced exposure to Risk-premia harvesting, (2) Long Vega structures recommended in "Low &amp; Up" vol-state. 


NSE NIFTY50/ Vol Update / Trade Tensions Prevail: Reduce Vol Harvesting & Position for +ve Vega.

<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.