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>Options Market caught flat-footed on hawkish Fed rhetoric. IVs corrected sharply higher, with Monthly IVs trading up to 15.5%.     </li>
<li>Vol Regime has switched to "High &amp; Up" state. IVs now in top percentile of historical ranges. Look for a quick switch back to "High &amp; Down" state.      </li>
<li>Smile dynamics unchanged. Skew has undergone compression. Vol term structure trading in inverted-V shape - should normalize once market-holiday drops off the calendar.</li>
</ul>


Options Market caught flat-footed on hawkish Fed rhetoric. IVs corrected sharply higher, with Monthly IVs trading up to 15.5%.     
Vol Regime has switched to "High &amp; Up" state. IVs now in top percentile of historical ranges. Look for a quick switch back to "High &amp; Down" state.      
Smile dynamics unchanged. Skew has undergone compression. Vol term structure trading in inverted-V shape - should normalize once market-holiday drops off the calendar.


EQD / NSE NIFTY50 Vol Update / Options Market Caught Flat-Footed on Hawkish Fed Rhetoric. IVs Jump.

<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

<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%

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.

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 / Options Market Caught Flat-Footed on Hawkish Fed Rhetoric. IVs Jump.

Options market surprised by Fed's hawkish tone, IVs spike to 15.5%. Volatility regime now "High & Up", expect quick shift back. Skew compressed,...

AceGama Advisors

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

Nifty50 weakness & FOMC event-risk has triggered a move higher in IVs. Weekly IVs jumped from 11.0% to 15.0%.& Monthly IVs jumped from 12.2% to...

AceGama Advisors

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 | 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 / NSE NIFTY50 Vol Update / Options Market Caught Flat-Footed on Hawkish Fed Rhetoric. IVs Jump.

​Options market surprised by Fed's hawkish tone, IVs spike to 15.5%. Volatility regime now "High & Up", expect quick shift back. Skew compressed,...

AceGama Advisors

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

Nifty50 weakness & FOMC event-risk has triggered a move higher in IVs. Weekly IVs jumped from 11.0% to 15.0%.& Monthly IVs jumped from 12.2% to...

AceGama Advisors

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 | 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

Options market surprised by Fed's hawkish tone, IVs spike to 15.5%. Volatility regime now "High & Up", expect quick shift back. Skew compressed,...

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...