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>Short-Date IVs reprice higher as active contract rolls over to 12.12.2024 expiry. Elevated risk-premia justified as contracts capture RBI rate decision &amp; U.S. NFP event risks.</li>
<li>Re-Pricing of front-end IVs has kicked Vol term-structure into Backwardation. Monthly &amp; Quarterly IVs remain unchanged. Current Vol curve shape is at odds with improving sentiment in underlying Index.</li>
<li>Strategic Implications: (1) Avoid Short Gamma exposure. (2) Continue allocation to Short Vega + Short Smile structures. (3) Look for Nifty50 trading range to stabilize as trigger for Skew harvesting.   </li>
</ul>


Short-Date IVs reprice higher as active contract rolls over to 12.12.2024 expiry. Elevated risk-premia justified as contracts capture RBI rate decision &amp; U.S. NFP event risks.
Re-Pricing of front-end IVs has kicked Vol term-structure into Backwardation. Monthly &amp; Quarterly IVs remain unchanged. Current Vol curve shape is at odds with improving sentiment in underlying Index.
Strategic Implications: (1) Avoid Short Gamma exposure. (2) Continue allocation to Short Vega + Short Smile structures. (3) Look for Nifty50 trading range to stabilize as trigger for Skew harvesting.   


EQD / NSE NIFTY50 Vol Update / Vol Term-Structure Inverts as Front-End IVs Jump to 15.0%

<ul>
<li>IVs guided lower as Inflation data furthers expectations of easier monetary policy. Weekly IVs lower by -3.3 vols, Monthly IVs lower by -1.6 vols &amp; Quarterly IVs remained unaffected.</li>
<li>IV mark-down seems overdone given the heavy upcoming event-risk calendar. Weekly contracts capture the 18.12.2024 FOMC meeting. </li>
<li>Strategic Implications: (1) Consider Long Gamma positioning given upcoming event risk &amp; IV markdown (2) Retain Short Vega allocations while Monthly IVs still above 10.5%.</li>
</ul>


IVs guided lower as Inflation data furthers expectations of easier monetary policy. Weekly IVs lower by -3.3 vols, Monthly IVs lower by -1.6 vols &amp; Quarterly IVs remained unaffected.
IV mark-down seems overdone given the heavy upcoming event-risk calendar. Weekly contracts capture the 18.12.2024 FOMC meeting. 
Strategic Implications: (1) Consider Long Gamma positioning given upcoming event risk &amp; IV markdown (2) Retain Short Vega allocations while Monthly IVs still above 10.5%.


EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>Cross-Market volatility snapshot highlighting option opportunities. Today's opportunities are in the Nifty 50 and in Bitcoin</li>
<li>Nifty 50: The index crossed the 50-day moving average, signaling a bullish trend. Hedging gains is recommended due to expected macroeconomic uncertainty in Q1 2025.</li>
<li>Bitcoin: Surpassed $100,000, driven by positive sentiment towards the incoming US President's crypto-friendly stance. Options strategies are suggested, plus how a synthetic Bitcoin bond compares to a corporate bond.</li>
</ul>


Cross-Market volatility snapshot highlighting option opportunities. Today's opportunities are in the Nifty 50 and in Bitcoin
Nifty 50: The index crossed the 50-day moving average, signaling a bullish trend. Hedging gains is recommended due to expected macroeconomic uncertainty in Q1 2025.
Bitcoin: Surpassed $100,000, driven by positive sentiment towards the incoming US President's crypto-friendly stance. Options strategies are suggested, plus how a synthetic Bitcoin bond compares to a corporate bond.


EQD | Global Option Implied Volatility - From Nifty 50 to Bitcoin, Plus BTC-Bond Special

<ul>
<li>IV PercentRank metrics indicate middle-of-the-range Risk Premia. "High &amp; Down" vol-state persists for the Vol Regime-Switching model.   </li>
<li>Front-End IVs battered  as Weekly options expire prior to Friday's tier-1 event risks. IVs marked down -3.6 vols. </li>
<li>IV Term-Structure shifts drastically - from Backwardation to Kinked-Shape. Year-end calendar effects causing Vol-surface distortions.</li>
</ul>


IV PercentRank metrics indicate middle-of-the-range Risk Premia. "High &amp; Down" vol-state persists for the Vol Regime-Switching model.   
Front-End IVs battered  as Weekly options expire prior to Friday's tier-1 event risks. IVs marked down -3.6 vols. 
IV Term-Structure shifts drastically - from Backwardation to Kinked-Shape. Year-end calendar effects causing Vol-surface distortions.


EQD / NSE Vol Update / Front-End IVs Battered as Wkly. Expiry Date Misses Out on Tier-1 Event Risks.

<ul>
<li>The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.</li>
<li>Market Specific commentary and option opportunities for <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a>, <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a>, <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 (NDX INDEX)</a>, <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 (SPX INDEX),</a> and more.</li>
<li>Volatility analytics plus upcoming events and market holidays to the end of January as reference data.</li>
</ul>


The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.
Market Specific commentary and option opportunities for NIFTY Index (NIFTY INDEX), S&amp;P/ASX 200 (AS51 INDEX), Nikkei 225 (NKY INDEX), Nasdaq-100 (NDX INDEX), S&amp;P 500 (SPX INDEX), and more.
Volatility analytics plus upcoming events and market holidays to the end of January as reference data.


EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

India

The NIFTY 50 index is National Stock Exchange of India's benchmark stock market index for Indian equity market. Nifty is owned and managed by India Index Services and Products (IISL), which is a wholly owned subsidiary of the NSE Strategic Investment Corporation Limited.

NIFTY Index (NIFTY INDEX)

EQD / NSE NIFTY50 Vol Update / Vol Term-Structure Inverts as Front-End IVs Jump to 15.0%

Previously noted that the inverted Vol term-structure was out of phase with a rallying NIFTY50. The term-structure has now flattened & moved into...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

Front-end IV markdown seems overdone given upcoming FOMC event risk - Consider Long Gamma positioning. ATM Weekly straddles @ Rs. 290 look cheap.

AceGama Advisors

EQD | Global Option Implied Volatility - From Nifty 50 to Bitcoin, Plus BTC-Bond Special

Opportunities in Nifty 50 and Bitcoin options due to bullish trends and positive sentiment. Global volatility overview of 15+ markets and...

Gaudenz Schneider

EQD / NSE Vol Update / Front-End IVs Battered as Wkly. Expiry Date Misses Out on Tier-1 Event Risks.

IV metrics show moderate risk premia. Front-end IVs dropping before tier-1 event risks. Term structure shifts from backwardation to kinked-shape...

AceGama Advisors

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Gaudenz Schneider

EQD / NSE NIFTY50 Vol Update / Vol Term-Structure Inverts as Front-End IVs Jump to 15.0%

Previously noted that the inverted Vol term-structure was out of phase with a rallying NIFTY50. The term-structure has now flattened & moved into...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

Front-end IV markdown seems overdone given upcoming FOMC event risk - Consider Long Gamma positioning. ATM Weekly straddles @ Rs. 290 look cheap.

AceGama Advisors

EQD | Global Option Implied Volatility - From Nifty 50 to Bitcoin, Plus BTC-Bond Special

​Opportunities in Nifty 50 and Bitcoin options due to bullish trends and positive sentiment. Global volatility overview of 15+ markets and...

Gaudenz Schneider

EQD / NSE Vol Update / Front-End IVs Battered as Wkly. Expiry Date Misses Out on Tier-1 Event Risks.

​IV metrics show moderate risk premia. Front-end IVs dropping before tier-1 event risks. Term structure shifts from backwardation to kinked-shape...

AceGama Advisors

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

​US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Gaudenz Schneider

Opportunities in Nifty 50 and Bitcoin options due to bullish trends and positive sentiment. Global volatility overview of 15+ markets and...

IV metrics show moderate risk premia. Front-end IVs dropping before tier-1 event risks. Term structure shifts from backwardation to kinked-shape...

US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....