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>SEBI extends cross-margining discounts to correlated assets with different maturities - Dispersion trading &amp; vol arb strategies to benefit. </li>
<li>In spite of upcoming tier-1 event risks the vol surface has flattened  dramatically. Current IV levels are supportive of a continued "High &amp; Down" vol state.</li>
<li>Curve steepening seen in Nifty50 IVs. Unusual kinked-shaped in BankNifty term structure has normalized - vol curve now has a uniform orientation.</li>
</ul>


SEBI extends cross-margining discounts to correlated assets with different maturities - Dispersion trading &amp; vol arb strategies to benefit. 
In spite of upcoming tier-1 event risks the vol surface has flattened  dramatically. Current IV levels are supportive of a continued "High &amp; Down" vol state.
Curve steepening seen in Nifty50 IVs. Unusual kinked-shaped in BankNifty term structure has normalized - vol curve now has a uniform orientation.


EQD / NSE Volatility Update / 22-Apr-24 to 26-Apr-24

<ul>
<li>Unprecedented levels of FII option-buying &amp; increasing geo-political risk causing IVs to re-price higher.</li>
<li>Skew/ Smile characteristics of the Vol Surface reflect increased risk aversion but not it panic mode - yet.</li>
<li>BankNifty IVs exhibiting unusual "kink-in-the-curve". Enter barbell structures to position for reversion in curve shape.</li>
</ul>


Unprecedented levels of FII option-buying &amp; increasing geo-political risk causing IVs to re-price higher.
Skew/ Smile characteristics of the Vol Surface reflect increased risk aversion but not it panic mode - yet.
BankNifty IVs exhibiting unusual "kink-in-the-curve". Enter barbell structures to position for reversion in curve shape.


EQD / NSE Volatility Update / 15-Apr-24 to 19-Apr-24

<ul>
<li>Downtrend in IVs stall as market sentiment deteriorates. Vol Regime Model sticks to "High &amp; Down" state.</li>
<li>Consider Equity Tail hedges/ buying OTM puts in current environment. Roll strikes lower if/when equities weaken further.</li>
<li>Skew compression seen in BankNifty options as preference for out-of-money puts wane. Skew selling an unsuitable strategy at current levels.</li>
</ul>


Downtrend in IVs stall as market sentiment deteriorates. Vol Regime Model sticks to "High &amp; Down" state.
Consider Equity Tail hedges/ buying OTM puts in current environment. Roll strikes lower if/when equities weaken further.
Skew compression seen in BankNifty options as preference for out-of-money puts wane. Skew selling an unsuitable strategy at current levels.


EQD / NSE Volatility Update / 08-Apr-24 to 12-Apr-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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank (CBK IN)</a> should 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 September rebalance.</li>
<li>Passive trackers will need to buy nearly 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> while selling over 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>
<li>
<a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank (CBK IN)</a> is one of the best performing banking stocks while <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> has been the worst performer over the last two years.</li>
</ul>



Canara Bank (CBK IN) should replace Bandhan Bank Ltd (BANDHAN IN) in the NSE Nifty Bank Index (NSEBANK INDEX) at the September rebalance.
Passive trackers will need to buy nearly 2 days of ADV in Canara Bank (CBK IN) while selling over 1 day of ADV in Bandhan Bank Ltd (BANDHAN IN). 

Canara Bank (CBK IN) is one of the best performing banking stocks while Bandhan Bank Ltd (BANDHAN IN) has been the worst performer over the last two years.


NIFTY Bank Index Rebalance Preview: Canara Bank Still Cheap; Double Deletion for Bandhan?

Head of Research, IPOs & Placements, Aequitas Research

Sumeet Singh

Head of Research, IPOs & Placements

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Equity Capital Markets

<ul>
<li>Government of India raised around US$513m via selling some of its stake in <a href="https://www.smartkarma.com/entities/bharti-hexacom" target="_blank" data-smartkarma-citation="entities:40858:1" rel="noopener">Bharti Hexacom's</a> IPO.</li>
<li>Bharti Hexacom (BH) is a communications solutions provider offering consumer mobile services, fixed-line telephone and broadband services to customers in the Rajasthan and the North East telecommunication circles in India.</li>
<li>We have covered various aspects of the deal in our previous note. In this note, we will talk about the demand and trading dynamics.</li>
</ul>


Government of India raised around US$513m via selling some of its stake in Bharti Hexacom's IPO.
Bharti Hexacom (BH) is a communications solutions provider offering consumer mobile services, fixed-line telephone and broadband services to customers in the Rajasthan and the North East telecommunication circles in India.
We have covered various aspects of the deal in our previous note. In this note, we will talk about the demand and trading dynamics.


Bharti Hexacom IPO Trading - Strong Insti and Anchor, Retail Gave It a Miss

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 / 22-Apr-24 to 26-Apr-24

Dispersion trading/ Vol arb to get a boost from new margin rules. Nifty50 vol surface flattens in-spite of major event risk & term structure...

AceGama Advisors

EQD / NSE Volatility Update / 15-Apr-24 to 19-Apr-24

FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...

AceGama Advisors

EQD / NSE Volatility Update / 08-Apr-24 to 12-Apr-24

IV downtrend stalls as market sentiment deteriorates late-week. Equity tail hedges recommended, roll strikes lower as/when equities selloff....

AceGama Advisors

NIFTY Bank Index Rebalance Preview: Canara Bank Still Cheap; Double Deletion for Bandhan?

Canara Bank should replace Bandhan Bank in the Nifty Bank Index in Sept. Canara Bank still trades cheaper than its peers. Bandhan's recent price...

Brian Freitas

Bharti Hexacom IPO Trading - Strong Insti and Anchor, Retail Gave It a Miss

Government of India raised around US$513m via selling some of its stake in Bharti Hexacom's IPO. In this note, we talk about the demand and trading...

Sumeet Singh

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD / NSE Volatility Update / 22-Apr-24 to 26-Apr-24

Dispersion trading/ Vol arb to get a boost from new margin rules. Nifty50 vol surface flattens in-spite of major event risk & term structure...

AceGama Advisors

EQD / NSE Volatility Update / 15-Apr-24 to 19-Apr-24

​FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...

AceGama Advisors

EQD / NSE Volatility Update / 08-Apr-24 to 12-Apr-24

​IV downtrend stalls as market sentiment deteriorates late-week. Equity tail hedges recommended, roll strikes lower as/when equities selloff....

AceGama Advisors

NIFTY Bank Index Rebalance Preview: Canara Bank Still Cheap; Double Deletion for Bandhan?

Canara Bank should replace Bandhan Bank in the Nifty Bank Index in Sept. Canara Bank still trades cheaper than its peers. Bandhan's recent price...

Brian Freitas

Bharti Hexacom IPO Trading - Strong Insti and Anchor, Retail Gave It a Miss

Government of India raised around US$513m via selling some of its stake in Bharti Hexacom's IPO. In this note, we talk about the demand and trading...

Sumeet Singh

FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...

IV downtrend stalls as market sentiment deteriorates late-week. Equity tail hedges recommended, roll strikes lower as/when equities selloff....