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>Implied Volatilities (IVs) continued to rise as the underlying index tried to break above critical resistance - marking a break-down of usual spot-vol correlations.</li>
<li>Vol surface smile &amp; skew characteristics held steady at the 25-Delta point of curve, while dynamics at the 10-Delta zone extended further.</li>
<li>Nifty50 Back-end Term Structure is in Backwardation as Monthly options enjoy markups based on July-end Indian Budget release.   </li>
</ul>


Implied Volatilities (IVs) continued to rise as the underlying index tried to break above critical resistance - marking a break-down of usual spot-vol correlations.
Vol surface smile &amp; skew characteristics held steady at the 25-Delta point of curve, while dynamics at the 10-Delta zone extended further.
Nifty50 Back-end Term Structure is in Backwardation as Monthly options enjoy markups based on July-end Indian Budget release.   


EQD / NSE Vol Update / IVs Rise in Conjunction with Equities Counter to Regular Spot-Vol Correlation

<ul>
<li>Implied Volatilities (IVs) stabilized over the week after falling dramatically since the 04-June-2024 India General Election results.</li>
<li>No tactical changes required while IVs are stable &amp; "High &amp; Down" Vol-state is maintained.</li>
<li>Vol Curve continues to be in Contango. Lack of significant event risk should keep term structure locked in its current orientation. </li>
</ul>


Implied Volatilities (IVs) stabilized over the week after falling dramatically since the 04-June-2024 India General Election results.
No tactical changes required while IVs are stable &amp; "High &amp; Down" Vol-state is maintained.
Vol Curve continues to be in Contango. Lack of significant event risk should keep term structure locked in its current orientation. 


EQD / NSE Vol Update / IVs Stabilize After Falling Dramatically over past 2 Weeks

<ul>
<li>IVs move lower at an accelerated pace driven by holiday shortened week &amp; risk-seeking sentiment.  </li>
<li>Vol-Regime has switched to "High &amp; Down" state, projecting an elongated period of falling IV levels. </li>
<li>Nifty50 Smile &amp; Skew dynamics continue to compress. Vol term structure has moved from Backwardation to Contango in conjunction with falling IVs</li>
</ul>


IVs move lower at an accelerated pace driven by holiday shortened week &amp; risk-seeking sentiment.  
Vol-Regime has switched to "High &amp; Down" state, projecting an elongated period of falling IV levels. 
Nifty50 Smile &amp; Skew dynamics continue to compress. Vol term structure has moved from Backwardation to Contango in conjunction with falling IVs


EQD / Weekly Vol Update / Positive Risk-Sentiment & Short Trading Week Put Pressure on IV Levels

Market & Forensics Analyst, Beat the Street

Nimish Maheshwari

Market & Forensics Analyst

Beat the Street

Beat The Street was founded by Nimish Maheshwari and Sudarshan Bhandari, both of whom are Chartered Accountants by Profession, known for their expert analysis in the fields of Business, Sectoral analysis, and Corporate governance.

With a strong social media presence of 45,000+ Subscribers across various platforms, they are considered trusted voices in the industry. Their insights and analysis have been featured in some of India’s most prominent publications, including the Economic Times, Dalal Street Investment Journal, The Morning Context, and The Ken.

Their analysis on Bankrupt & Insolvent companies has been instrumental in saving investors from significant losses. They have a keen eye for identifying red flags and has identified exclusive redflags earlier in Vedanta, Nykaa, Dhani Services, Adani and many more.

Read Business Not Stock Prices

Forensic Accounting

<ul>
<li>Forensic Forsight will be a bi-monthly report covering Indian companies having corporate governance issues guiding investors on strengthening their ESG investment framework</li>
<li>The issue covers SEBI warning against ICICI Bank for manipulation in delisting process of its key subsidiary.</li>
<li>The report also covers how a EV company disguises shareholders while an Indian renewable energy company is under scrutiny owing to Independent Director Resignation</li>
</ul>


Forensic Forsight will be a bi-monthly report covering Indian companies having corporate governance issues guiding investors on strengthening their ESG investment framework
The issue covers SEBI warning against ICICI Bank for manipulation in delisting process of its key subsidiary.
The report also covers how a EV company disguises shareholders while an Indian renewable energy company is under scrutiny owing to Independent Director Resignation


#1 Forensic Foresight: SEBI Warns ICICI Bank, Suzlon Director Resign, Wardwizard Disguise

<ul>
<li>IVs were crushed in the aftermath of Election results &amp; in spite of lingering political instability &amp; significant moves in RV.</li>
<li>Vol-Regime Switching Model is holding at "High &amp; Up" state. Probability of switching to "High &amp; Down" state has increased significantly.</li>
<li>Vol term structure is still in Backwardation - should transition to Contango as IV &amp; RV drift lower.</li>
</ul>


IVs were crushed in the aftermath of Election results &amp; in spite of lingering political instability &amp; significant moves in RV.
Vol-Regime Switching Model is holding at "High &amp; Up" state. Probability of switching to "High &amp; Down" state has increased significantly.
Vol term structure is still in Backwardation - should transition to Contango as IV &amp; RV drift lower.


EQD / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint

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 Vol Update / IVs Rise in Conjunction with Equities Counter to Regular Spot-Vol Correlation

Implied volatilities rise as index tests resistance, spot-vol correlations break down. Nifty50 options show backwardation due to Indian Budget...

AceGama Advisors

EQD / NSE Vol Update / IVs Stabilize After Falling Dramatically over past 2 Weeks

Unusual activity in BankNifty Vol Term Structure. Vol curve opened the week in Backwardation while underlying Index continues to to trade at ATHs.

AceGama Advisors

EQD / Weekly Vol Update / Positive Risk-Sentiment & Short Trading Week Put Pressure on IV Levels

Markets were closed on 17-June-2024 when the insight was released. It would have been missed by many readers. Re-circulate since this is a Weekly...

AceGama Advisors

#1 Forensic Foresight: SEBI Warns ICICI Bank, Suzlon Director Resign, Wardwizard Disguise

India Forensic Foresight report will guide investors on ESG framework, highlighting corporate governance issues in Indian companies like ICICI...

Nimish Maheshwari

EQD / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint

IVs get crushed post-elections in spite of lingering political instability & large trading ranges. Vol regime remains "High & Up". Vol term...

AceGama Advisors

EQD / NSE Vol Update / IVs Rise in Conjunction with Equities Counter to Regular Spot-Vol Correlation

​Implied volatilities rise as index tests resistance, spot-vol correlations break down. Nifty50 options show backwardation due to Indian Budget...

AceGama Advisors

EQD / NSE Vol Update / IVs Stabilize After Falling Dramatically over past 2 Weeks

Unusual activity in BankNifty Vol Term Structure. Vol curve opened the week in Backwardation while underlying Index continues to to trade at ATHs.

AceGama Advisors

EQD / Weekly Vol Update / Positive Risk-Sentiment & Short Trading Week Put Pressure on IV Levels

Markets were closed on 17-June-2024 when the insight was released. It would have been missed by many readers. Re-circulate since this is a Weekly...

AceGama Advisors

#1 Forensic Foresight: SEBI Warns ICICI Bank, Suzlon Director Resign, Wardwizard Disguise

​India Forensic Foresight report will guide investors on ESG framework, highlighting corporate governance issues in Indian companies like ICICI...

Nimish Maheshwari

EQD / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint

IVs get crushed post-elections in spite of lingering political instability & large trading ranges. Vol regime remains "High & Up". Vol term...

AceGama Advisors

Implied volatilities rise as index tests resistance, spot-vol correlations break down. Nifty50 options show backwardation due to Indian Budget...

India Forensic Foresight report will guide investors on ESG framework, highlighting corporate governance issues in Indian companies like ICICI...