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

Event-Driven

<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

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>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

<ul>
<li>IVs move higher in a controlled manner relative to U.S. markets. Combination of technical factors put a dampener on the Options Markets &amp; IV turn lower by Week's end.</li>
<li>Many determining factors underwent changes in Vol-Regime Model  - but threshold to switch out of "High &amp; Down" state not achieved.</li>
<li>Smile &amp; Skew characteristics blow out significantly on the open but settle at lower levels by week's close.</li>
</ul>


IVs move higher in a controlled manner relative to U.S. markets. Combination of technical factors put a dampener on the Options Markets &amp; IV turn lower by Week's end.
Many determining factors underwent changes in Vol-Regime Model  - but threshold to switch out of "High &amp; Down" state not achieved.
Smile &amp; Skew characteristics blow out significantly on the open but settle at lower levels by week's close.


EQD / NSE Vol Update / Controlled Detonation in Vols - Initial Jump Followed by Calmer Levels

<ul>
<li>Implied Volatilities (IVs) fell post-FOMC, but reversed course as market sentiment worsened late -week. IV-jump expected as Indian markets catch up to Friday's U.S. price action </li>
<li>Vol-Regime Model still in a "High &amp; Down" vol state. Will switch if large IV change on the open. Short Vega &amp; Risk-Reversal positions will need to be reevaluated. </li>
<li>Low PCR, OI call bias &amp; Skew compression: All point to unguarded downside in Nifty50. Next stop 24000.</li>
</ul>


Implied Volatilities (IVs) fell post-FOMC, but reversed course as market sentiment worsened late -week. IV-jump expected as Indian markets catch up to Friday's U.S. price action 
Vol-Regime Model still in a "High &amp; Down" vol state. Will switch if large IV change on the open. Short Vega &amp; Risk-Reversal positions will need to be reevaluated. 
Low PCR, OI call bias &amp; Skew compression: All point to unguarded downside in Nifty50. Next stop 24000.


EQD / NSE Vol Update / Coffee Boost for Sleepy Vol Mkts as Risk Sentiment Sours into the Weekend

<ul>
<li>Implied Volatilities (IVs) sold off dramatically post Budget Event - in spite of weaker underlying indices. Larger break of trading ranges likely needed to stall the slide in IVs.</li>
<li>Wait-And-See approach to tactical decisions justified. Vol-Regime avoids a switch from “High &amp; Down” state. Protracted grind lower in IVs projected.</li>
<li>Vol Surface Smile has compressed alongside lower IVs. Skew remains unaffected by change in IV levels. Vol Term-structure has flattened.</li>
</ul>


Implied Volatilities (IVs) sold off dramatically post Budget Event - in spite of weaker underlying indices. Larger break of trading ranges likely needed to stall the slide in IVs.
Wait-And-See approach to tactical decisions justified. Vol-Regime avoids a switch from “High &amp; Down” state. Protracted grind lower in IVs projected.
Vol Surface Smile has compressed alongside lower IVs. Skew remains unaffected by change in IV levels. Vol Term-structure has flattened.


EQD / NSE Vol Update / Vols Focus on India-Specific News & Ignore Upcoming Global Macro Events

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)

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

EQD / NSE Vol Update / Controlled Detonation in Vols - Initial Jump Followed by Calmer Levels

MSCI's decides to split HDFC Bank's re-weighting between August & November 2024. HDFC Bank down -3.5% as a result, dragging BankNifty & Nifty50...

AceGama Advisors

EQD / NSE Vol Update / Coffee Boost for Sleepy Vol Mkts as Risk Sentiment Sours into the Weekend

Market Riks Aversion has paused. As expected OI build-up of 24000 puts worked as decent Support-level for Nifty50. With Vol-state in "High & Up" -...

AceGama Advisors

EQD / NSE Vol Update / Vols Focus on India-Specific News & Ignore Upcoming Global Macro Events

Post FOMC Event update. Indian Markets have continued their trend of higher Equity Indices as the Nifty50 has cleared the 25000 resistance. Short...

AceGama Advisors

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

EQD / NSE Vol Update / Controlled Detonation in Vols - Initial Jump Followed by Calmer Levels

MSCI's decides to split HDFC Bank's re-weighting between August & November 2024. HDFC Bank down -3.5% as a result, dragging BankNifty & Nifty50...

AceGama Advisors

EQD / NSE Vol Update / Coffee Boost for Sleepy Vol Mkts as Risk Sentiment Sours into the Weekend

Market Riks Aversion has paused. As expected OI build-up of 24000 puts worked as decent Support-level for Nifty50. With Vol-state in "High & Up" -...

AceGama Advisors

EQD / NSE Vol Update / Vols Focus on India-Specific News & Ignore Upcoming Global Macro Events

Post FOMC Event update. Indian Markets have continued their trend of higher Equity Indices as the Nifty50 has cleared the 25000 resistance. Short...

AceGama Advisors

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...