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

<ul>
<li>IVs Spike with Election Results release on 04-June-2024. Post event there's a risk of large IV-crush regardless of the result.</li>
<li>Current Vol-state is "High &amp; Up". Wait for the switch to "High &amp; Down" before initiating new risk-premia harvesting strategies</li>
<li>Weekly IVs have received large markups due to elections. Entire Vol Curve is now in Backwardation -  curve inversion at extreme levels</li>
</ul>


IVs Spike with Election Results release on 04-June-2024. Post event there's a risk of large IV-crush regardless of the result.
Current Vol-state is "High &amp; Up". Wait for the switch to "High &amp; Down" before initiating new risk-premia harvesting strategies
Weekly IVs have received large markups due to elections. Entire Vol Curve is now in Backwardation -  curve inversion at extreme levels


EQD / Weekly Vol Update / IVs Spike with Election Results Round the Corner

<ul>
<li>Indian markets to implement T+0 settlement cycle starting 28-March-2024. Phase-wise transition planned .</li>
<li>Upcoming long weekends causing drastic markdown in IV levels. This combined with "High &amp; Down" vol regime - short gamma/ short vega trades recommended.  </li>
<li>Contango shape of Volatility curves are an additional reason to be short gamma &amp; earning theta</li>
</ul>


Indian markets to implement T+0 settlement cycle starting 28-March-2024. Phase-wise transition planned .
Upcoming long weekends causing drastic markdown in IV levels. This combined with "High &amp; Down" vol regime - short gamma/ short vega trades recommended.  
Contango shape of Volatility curves are an additional reason to be short gamma &amp; earning theta


EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

<ul>
<li>IVs have moved to new lows for the summer, breaking below the floor set through June &amp; July. Nifty50 IVs now trading at 11.0% levels.</li>
<li>Spectacular turnaround in IVs since early-August vol-spike. In spite of this, Vol Regime remains steady in its "High &amp; Down" vol-state.  </li>
<li>Nifty50 Vol surface characteristics have compressed for Monthly-expiry contracts. Smile &amp; Skew for Quarterly contracts remain unchanged.</li>
</ul>


IVs have moved to new lows for the summer, breaking below the floor set through June &amp; July. Nifty50 IVs now trading at 11.0% levels.
Spectacular turnaround in IVs since early-August vol-spike. In spite of this, Vol Regime remains steady in its "High &amp; Down" vol-state.  
Nifty50 Vol surface characteristics have compressed for Monthly-expiry contracts. Smile &amp; Skew for Quarterly contracts remain unchanged.


EQD / NSE Vol Update / Smile & Skew Compress as Vols Trade to New Summer Lows

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

<ul>
<li>In line with our forecast, <a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank (CBK IN)</a> will replace <a href="https://www.smartkarma.com/entities/bandhan-bank-ltd" target="_blank" data-smartkarma-citation="entities:26705:1" rel="noopener">Bandhan Bank Ltd (BANDHAN IN)</a> in the <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index (NSEBANK INDEX)</a> at the close on 27 September.</li>
<li>
<a href="https://www.smartkarma.com/entities/bandhan-bank-ltd" target="_blank" data-smartkarma-citation="entities:26705:1" rel="noopener">Bandhan Bank Ltd (BANDHAN IN)</a> will be deleted from a global index at the close on 31 August, so real float will increase a lot over the next month.</li>
<li>Passive trackers will need to buy over 2 days of ADV in <a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank (CBK IN)</a> and sell 1 day of ADV in <a href="https://www.smartkarma.com/entities/bandhan-bank-ltd" target="_blank" data-smartkarma-citation="entities:26705:1" rel="noopener">Bandhan Bank Ltd (BANDHAN IN)</a>. </li>
</ul>


In line with our forecast, Canara Bank (CBK IN) will replace Bandhan Bank Ltd (BANDHAN IN) in the NSE Nifty Bank Index (NSEBANK INDEX) at the close on 27 September.

Bandhan Bank Ltd (BANDHAN IN) will be deleted from a global index at the close on 31 August, so real float will increase a lot over the next month.
Passive trackers will need to buy over 2 days of ADV in Canara Bank (CBK IN) and sell 1 day of ADV in Bandhan Bank Ltd (BANDHAN IN). 


NIFTY Bank Index Rebalance: Canara Bank IN; Bandhan Bank OUT

<ul>
<li>Risk premia higher early in the week as Local Markets are disappointed with MSCI decision regarding HDFC Bank. IVs get marked up across the board.</li>
<li>Positive Global Macro data bolsters Equity Markets later in the week. IVs trade lower. Smile &amp; Skew characteristics compress as well and Vol Term-structure flattened out.    </li>
<li>Vol Regime Model retains "High &amp; Down" state. Short Iron Condor/ Short Iron Butterfly type structures recommended to align with the current volatility environment.</li>
</ul>


Risk premia higher early in the week as Local Markets are disappointed with MSCI decision regarding HDFC Bank. IVs get marked up across the board.
Positive Global Macro data bolsters Equity Markets later in the week. IVs trade lower. Smile &amp; Skew characteristics compress as well and Vol Term-structure flattened out.    
Vol Regime Model retains "High &amp; Down" state. Short Iron Condor/ Short Iron Butterfly type structures recommended to align with the current volatility environment.


EQD / NSE Vol Update / IVs Oscillate  - Reacting First To MSCI-HDFC News & Later to U.S. Inflation

India

Nifty Bank Index is a free-float capitalization-weighted index comprised of the most liquid and large capitalized Indian Banking stocks. The index will have 12 stocks from the banking sector, which trade on the National Stock Exchange. The index was developed with a base value of 1000 as of January 1, 2000.

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

EQD / Weekly Vol Update / IVs Spike with Election Results Round the Corner

Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

AceGama Advisors

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. Indian markets to shift to T+0 settlement cycle in ...

AceGama Advisors

EQD / NSE Vol Update / Smile & Skew Compress as Vols Trade to New Summer Lows

Nifty50 IVs hit new summer lows at 11.0%, despite early-August spike. Volatility regime remains steady in "High & Down" state. Smile/ Skew...

AceGama Advisors

NIFTY Bank Index Rebalance: Canara Bank IN; Bandhan Bank OUT

Canara Bank will replace Bandhan Bank in the Nifty Bank Index in Sep. Bandhan is also being deleted from a global index on 31 August. Passives need...

Brian Freitas

EQD / NSE Vol Update / IVs Oscillate - Reacting First To MSCI-HDFC News & Later to U.S. Inflation

IVs react to negative news w.r.t. MSCI-HDFC decision & later to positive Global Macro data. Eventually IVs close lower on Weekly basis. Volatility...

AceGama Advisors

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD / Weekly Vol Update / IVs Spike with Election Results Round the Corner

​Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

AceGama Advisors

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. ​Indian markets to shift to T+0 settlement cycle in ...

AceGama Advisors

EQD / NSE Vol Update / Smile & Skew Compress as Vols Trade to New Summer Lows

​Nifty50 IVs hit new summer lows at 11.0%, despite early-August spike. Volatility regime remains steady in "High & Down" state. Smile/ Skew...

AceGama Advisors

NIFTY Bank Index Rebalance: Canara Bank IN; Bandhan Bank OUT

Canara Bank will replace Bandhan Bank in the Nifty Bank Index in Sep. Bandhan is also being deleted from a global index on 31 August. Passives need...

Brian Freitas

EQD / NSE Vol Update / IVs Oscillate - Reacting First To MSCI-HDFC News & Later to U.S. Inflation

​IVs react to negative news w.r.t. MSCI-HDFC decision & later to positive Global Macro data. Eventually IVs close lower on Weekly basis. Volatility...

AceGama Advisors

Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. Indian markets to shift to T+0 settlement cycle in ...

Nifty50 IVs hit new summer lows at 11.0%, despite early-August spike. Volatility regime remains steady in "High & Down" state. Smile/ Skew...

IVs react to negative news w.r.t. MSCI-HDFC decision & later to positive Global Macro data. Eventually IVs close lower on Weekly basis. Volatility...