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>Nifty50 IVs have finally cracked below 11.0% levels - in spite of upcoming event-risks. Moves lower have been exacerbated by the holiday shortened week.   </li>
<li>Vol-Regime Model has switched to "Low &amp; Down" vol-state in Nifty50. Tactical implications:  Short Vega exposure less favourable going forward.</li>
<li>Risk premia selloff has driven Vol Term-Structure deeper into Contango. Smile &amp; Skew characteristics have compressed in congruence with lower IVs.</li>
</ul>


Nifty50 IVs have finally cracked below 11.0% levels - in spite of upcoming event-risks. Moves lower have been exacerbated by the holiday shortened week.   
Vol-Regime Model has switched to "Low &amp; Down" vol-state in Nifty50. Tactical implications:  Short Vega exposure less favourable going forward.
Risk premia selloff has driven Vol Term-Structure deeper into Contango. Smile &amp; Skew characteristics have compressed in congruence with lower IVs.


EQD / NSE Vol Update / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

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>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50 Index</a>, <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</a>, CNXIT Index, Nifty Midcap 150 Index, Nifty100 Low Volatility30 Index and the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF</a> rebalance at the close tomorrow.</li>
<li>The round-trip trade across the indices is US$3.3bn and there are 13 stocks with over 1 day of ADV to trade from passive trackers.</li>
<li>Stocks with the largest inflows are <a href="https://www.smartkarma.com/entities/trent-ltd" target="_blank" data-smartkarma-citation="entities:8410:1" rel="noopener">Trent</a>, <a href="https://www.smartkarma.com/entities/bharat-electronics-ltd" target="_blank" data-smartkarma-citation="entities:6636:1" rel="noopener">Bharat Electronics</a>, <a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank</a>, <a href="https://www.smartkarma.com/entities/bharat-heavy-electricals" target="_blank" data-smartkarma-citation="entities:460:1" rel="noopener">Bharat Heavy Electricals</a>, <a href="https://www.smartkarma.com/entities/oil-natural-gas-corp-ltd" target="_blank" data-smartkarma-citation="entities:3456:1" rel="noopener">Oil &amp; Natural Gas Corp</a>, <a href="https://www.smartkarma.com/entities/coal-india-ltd" target="_blank" data-smartkarma-citation="entities:9117:1" rel="noopener">Coal India</a>, <a href="https://www.smartkarma.com/entities/hindustan-aeronautics-ltd" target="_blank" data-smartkarma-citation="entities:26747:1" rel="noopener">Hindustan Aeronautics</a> and <a href="https://www.smartkarma.com/entities/interglobe-aviation-ltd" target="_blank" data-smartkarma-citation="entities:24877:1" rel="noopener">InterGlobe Aviation</a>.</li>
</ul>


The NIFTY Index, Nifty Next 50 Index, NSE Nifty Bank Index, CNXIT Index, Nifty Midcap 150 Index, Nifty100 Low Volatility30 Index and the CPSE ETF rebalance at the close tomorrow.
The round-trip trade across the indices is US$3.3bn and there are 13 stocks with over 1 day of ADV to trade from passive trackers.
Stocks with the largest inflows are Trent, Bharat Electronics, Canara Bank, Bharat Heavy Electricals, Oil &amp; Natural Gas Corp, Coal India, Hindustan Aeronautics and InterGlobe Aviation.


NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

<ul>
<li>IVs seesawed through the week on account of the Fed meeting. Trading up to 12.7% going into the meeting &amp; selling-off to 11.4% thereafter.</li>
<li>Vol-Curve Term-structure in Contango post Fed meeting - Nifty50 vol curve sheds its inversion &amp; BankNifty vol curve loses its kinked-shape</li>
<li>BankNifty Smile &amp; Skew characteristics extend relative to previous weeks - despite falling IVs &amp; strengthening index.</li>
</ul>


IVs seesawed through the week on account of the Fed meeting. Trading up to 12.7% going into the meeting &amp; selling-off to 11.4% thereafter.
Vol-Curve Term-structure in Contango post Fed meeting - Nifty50 vol curve sheds its inversion &amp; BankNifty vol curve loses its kinked-shape
BankNifty Smile &amp; Skew characteristics extend relative to previous weeks - despite falling IVs &amp; strengthening index.


EQD / NSE Vol Update / IVs Ride the Fed Seesaw

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 / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

Release of SEBI Board meeting (30.09.2024) for upheaval of the Options Market. Implications to Market Structure are massive. A few projections -...

AceGama Advisors

NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

The next rebalance of the Nifty family of indices takes place at the close on 27 Sep. The round-trip trade is US$3.3bn and there are 13 stocks with...

Brian Freitas

EQD / NSE Vol Update / IVs Ride the Fed Seesaw

IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

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 / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

Release of SEBI Board meeting (30.09.2024) for upheaval of the Options Market. Implications to Market Structure are massive. A few projections -...

AceGama Advisors

NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

The next rebalance of the Nifty family of indices takes place at the close on 27 Sep. The round-trip trade is US$3.3bn and there are 13 stocks with...

Brian Freitas

EQD / NSE Vol Update / IVs Ride the Fed Seesaw

​IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

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 ...

IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...