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.

Cross Asset Strategy

<ul>
<li>Market regulator intervenes to curb excess leverage in equity markets. IVs recover from last week's selloff but bound by 12-16% range. </li>
<li>Vol Regime Model clearly signals "High &amp; Down" state, projecting a slow grind lower for IVs</li>
<li>Shape of the vol surface is indicative of a market well positioned to handle corrections </li>
</ul>


Market regulator intervenes to curb excess leverage in equity markets. IVs recover from last week's selloff but bound by 12-16% range. 
Vol Regime Model clearly signals "High &amp; Down" state, projecting a slow grind lower for IVs
Shape of the vol surface is indicative of a market well positioned to handle corrections 


EQD / NSE Volatility Update / 11-Mar-24 to 15-Mar-24

<ul>
<li>New ATHs again in NIFTY50! But IVs move significantly lower! Holiday shortened week ahead.</li>
<li>Vol Regime Model shifts clearly to "High &amp; Down" state. Wait-and-see approach warranted on account of 3-day weekend. </li>
<li>As of 01-Mar-2024 Weekly &amp; Monthly BankNifty options will expire on Wednesdays.  </li>
</ul>


New ATHs again in NIFTY50! But IVs move significantly lower! Holiday shortened week ahead.
Vol Regime Model shifts clearly to "High &amp; Down" state. Wait-and-see approach warranted on account of 3-day weekend. 
As of 01-Mar-2024 Weekly &amp; Monthly BankNifty options will expire on Wednesdays.  


EQD / NSE Volatility Update / 04-Mar-24 to 08-Mar-24

<ul>
<li>Put-Call Ratio back at 1.30. Put-buying interest returns as Nifty50 scales new All-time-Highs</li>
<li>Nifty50 Vol curve starts the week in Backwardation &amp; moves into Contango as Weekly IVs dip. BankNifty Vol curve showing a kinked shape.</li>
<li>Vol Curve has unwound the skew/smile compression built up over prior weeks</li>
</ul>


Put-Call Ratio back at 1.30. Put-buying interest returns as Nifty50 scales new All-time-Highs
Nifty50 Vol curve starts the week in Backwardation &amp; moves into Contango as Weekly IVs dip. BankNifty Vol curve showing a kinked shape.
Vol Curve has unwound the skew/smile compression built up over prior weeks


EQD / NSE Volatility Update / 26-Feb-24 to 01-Mar-24

<ul>
<li>IVs fail to move higher in spite of new highs in NIFTY50 Index </li>
<li>New banking regulations from the RBI causing frothiness in BankNifty options market</li>
<li>Regime Switching Model is in the process of switching from "High &amp; Up" to "High &amp; Down" Vol state</li>
</ul>


IVs fail to move higher in spite of new highs in NIFTY50 Index 
New banking regulations from the RBI causing frothiness in BankNifty options market
Regime Switching Model is in the process of switching from "High &amp; Up" to "High &amp; Down" Vol state


EQD / NSE Volatility Update / 19-Feb-24 to 23-Feb-24

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>The review period for the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> family of indices, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, the KRX New Deal Index and a global index ends on 31 January.</li>
<li>The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.</li>
<li>There have been huge inflows into the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> ETFs for another week. This will increase the impact on the index changes at the next rebalance.</li>
</ul>


The review period for the NIFTY family of indices, Nikkei 225, STAR50, the KRX New Deal Index and a global index ends on 31 January.
The January rebalance of the IDX30 and LQ45 indices will be implemented at the close of trading on 31 January.
There have been huge inflows into the CSI 300 Index ETFs for another week. This will increase the impact on the index changes at the next rebalance.


Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

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 / NSE Volatility Update / 11-Mar-24 to 15-Mar-24

IVs rebound but remain constrained within a 12-16% range. Volatility Regime Model predicts a gradual decline in IVs. Volatility surface suggests...

AceGama Advisors

EQD / NSE Volatility Update / 04-Mar-24 to 08-Mar-24

NIFTY50 hits new highs as IVs continue to drop. Potential change in Vol Regime. But caution advised due to holiday-shortened week. BankNifty...

AceGama Advisors

EQD / NSE Volatility Update / 26-Feb-24 to 01-Mar-24

Put-buying interest returns as Nifty50 hits new highs. Volatility curves oscillate between backwardation & contango. BankNifty vol curve exhibits...

AceGama Advisors

EQD / NSE Volatility Update / 19-Feb-24 to 23-Feb-24

Despite new highs in NIFTY50 Index, IVs remain stagnant; RBI banking regulations lead to frothiness in BankNifty options market; Regime Switching...

AceGama Advisors

Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD / NSE Volatility Update / 11-Mar-24 to 15-Mar-24

IVs rebound but remain constrained within a 12-16% range. Volatility Regime Model predicts a gradual decline in IVs. Volatility surface suggests...

AceGama Advisors

EQD / NSE Volatility Update / 04-Mar-24 to 08-Mar-24

​NIFTY50 hits new highs as IVs continue to drop. Potential change in Vol Regime. But caution advised due to holiday-shortened week. BankNifty...

AceGama Advisors

EQD / NSE Volatility Update / 26-Feb-24 to 01-Mar-24

​Put-buying interest returns as Nifty50 hits new highs. Volatility curves oscillate between backwardation & contango. BankNifty vol curve exhibits...

AceGama Advisors

EQD / NSE Volatility Update / 19-Feb-24 to 23-Feb-24

​Despite new highs in NIFTY50 Index, IVs remain stagnant; RBI banking regulations lead to frothiness in BankNifty options market; Regime Switching...

AceGama Advisors

Index Rebalance & ETF Flow Recap: CSI300, CSI500, SSE50, ChiNext, KOSPI200, Renesas, IDX30/LQ45

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

NIFTY50 hits new highs as IVs continue to drop. Potential change in Vol Regime. But caution advised due to holiday-shortened week. BankNifty...

Put-buying interest returns as Nifty50 hits new highs. Volatility curves oscillate between backwardation & contango. BankNifty vol curve exhibits...

Despite new highs in NIFTY50 Index, IVs remain stagnant; RBI banking regulations lead to frothiness in BankNifty options market; Regime Switching...