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>Risk premia higher early in the week as Local Markets are disappointed with MSCI decision regarding HDFC Bank. IVs get marked up across the board.</li>
<li>Positive Global Macro data bolsters Equity Markets later in the week. IVs trade lower. Smile &amp; Skew characteristics compress as well and Vol Term-structure flattened out.    </li>
<li>Vol Regime Model retains "High &amp; Down" state. Short Iron Condor/ Short Iron Butterfly type structures recommended to align with the current volatility environment.</li>
</ul>


Risk premia higher early in the week as Local Markets are disappointed with MSCI decision regarding HDFC Bank. IVs get marked up across the board.
Positive Global Macro data bolsters Equity Markets later in the week. IVs trade lower. Smile &amp; Skew characteristics compress as well and Vol Term-structure flattened out.    
Vol Regime Model retains "High &amp; Down" state. Short Iron Condor/ Short Iron Butterfly type structures recommended to align with the current volatility environment.


EQD / NSE Vol Update / IVs Oscillate  - Reacting First To MSCI-HDFC News & Later to U.S. Inflation

<ul>
<li>IVs move higher in a controlled manner relative to U.S. markets. Combination of technical factors put a dampener on the Options Markets &amp; IV turn lower by Week's end.</li>
<li>Many determining factors underwent changes in Vol-Regime Model  - but threshold to switch out of "High &amp; Down" state not achieved.</li>
<li>Smile &amp; Skew characteristics blow out significantly on the open but settle at lower levels by week's close.</li>
</ul>


IVs move higher in a controlled manner relative to U.S. markets. Combination of technical factors put a dampener on the Options Markets &amp; IV turn lower by Week's end.
Many determining factors underwent changes in Vol-Regime Model  - but threshold to switch out of "High &amp; Down" state not achieved.
Smile &amp; Skew characteristics blow out significantly on the open but settle at lower levels by week's close.


EQD / NSE Vol Update / Controlled Detonation in Vols - Initial Jump Followed by Calmer Levels

<ul>
<li>Implied Volatilities (IVs) fell post-FOMC, but reversed course as market sentiment worsened late -week. IV-jump expected as Indian markets catch up to Friday's U.S. price action </li>
<li>Vol-Regime Model still in a "High &amp; Down" vol state. Will switch if large IV change on the open. Short Vega &amp; Risk-Reversal positions will need to be reevaluated. </li>
<li>Low PCR, OI call bias &amp; Skew compression: All point to unguarded downside in Nifty50. Next stop 24000.</li>
</ul>


Implied Volatilities (IVs) fell post-FOMC, but reversed course as market sentiment worsened late -week. IV-jump expected as Indian markets catch up to Friday's U.S. price action 
Vol-Regime Model still in a "High &amp; Down" vol state. Will switch if large IV change on the open. Short Vega &amp; Risk-Reversal positions will need to be reevaluated. 
Low PCR, OI call bias &amp; Skew compression: All point to unguarded downside in Nifty50. Next stop 24000.


EQD / NSE Vol Update / Coffee Boost for Sleepy Vol Mkts as Risk Sentiment Sours into the Weekend

<ul>
<li>Implied Volatilities (IVs) sold off dramatically post Budget Event - in spite of weaker underlying indices. Larger break of trading ranges likely needed to stall the slide in IVs.</li>
<li>Wait-And-See approach to tactical decisions justified. Vol-Regime avoids a switch from “High &amp; Down” state. Protracted grind lower in IVs projected.</li>
<li>Vol Surface Smile has compressed alongside lower IVs. Skew remains unaffected by change in IV levels. Vol Term-structure has flattened.</li>
</ul>


Implied Volatilities (IVs) sold off dramatically post Budget Event - in spite of weaker underlying indices. Larger break of trading ranges likely needed to stall the slide in IVs.
Wait-And-See approach to tactical decisions justified. Vol-Regime avoids a switch from “High &amp; Down” state. Protracted grind lower in IVs projected.
Vol Surface Smile has compressed alongside lower IVs. Skew remains unaffected by change in IV levels. Vol Term-structure has flattened.


EQD / NSE Vol Update / Vols Focus on India-Specific News & Ignore Upcoming Global Macro Events

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> defied gravity and kept rallying higher for the past 8 weeks. According to our models it's massively OVERBOUGHT and has been so for a while.</li>
<li>While many other Asian markets have pulled back decisively, the NIFTY is just going higher and higher. </li>
<li>Assuming it has its own uncorrelated drivers, where would it be a BUY again, if it pulls back this coming week? Let's discuss this in this WEEKLY insight.</li>
</ul>


The NIFTY Index defied gravity and kept rallying higher for the past 8 weeks. According to our models it's massively OVERBOUGHT and has been so for a while.
While many other Asian markets have pulled back decisively, the NIFTY is just going higher and higher. 
Assuming it has its own uncorrelated drivers, where would it be a BUY again, if it pulls back this coming week? Let's discuss this in this WEEKLY insight.


EQD | WHAT IF The NIFTY Starts to Pullback This Week?

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 Oscillate - Reacting First To MSCI-HDFC News & Later to U.S. Inflation

IVs react to negative news w.r.t. MSCI-HDFC decision & later to positive Global Macro data. Eventually IVs close lower on Weekly basis. Volatility...

AceGama Advisors

EQD / NSE Vol Update / Controlled Detonation in Vols - Initial Jump Followed by Calmer Levels

MSCI's decides to split HDFC Bank's re-weighting between August & November 2024. HDFC Bank down -3.5% as a result, dragging BankNifty & Nifty50...

AceGama Advisors

EQD / NSE Vol Update / Coffee Boost for Sleepy Vol Mkts as Risk Sentiment Sours into the Weekend

Market Riks Aversion has paused. As expected OI build-up of 24000 puts worked as decent Support-level for Nifty50. With Vol-state in "High & Up" -...

AceGama Advisors

EQD / NSE Vol Update / Vols Focus on India-Specific News & Ignore Upcoming Global Macro Events

Post FOMC Event update. Indian Markets have continued their trend of higher Equity Indices as the Nifty50 has cleared the 25000 resistance. Short...

AceGama Advisors

EQD | WHAT IF The NIFTY Starts to Pullback This Week?

The NIFTY Index continues to rally, despite being massively overbought. Which is the right support price area to buy, if the index suddenly pulls...

Nico Rosti

EQD / NSE Vol Update / IVs Oscillate - Reacting First To MSCI-HDFC News & Later to U.S. Inflation

​IVs react to negative news w.r.t. MSCI-HDFC decision & later to positive Global Macro data. Eventually IVs close lower on Weekly basis. Volatility...

AceGama Advisors

EQD / NSE Vol Update / Controlled Detonation in Vols - Initial Jump Followed by Calmer Levels

MSCI's decides to split HDFC Bank's re-weighting between August & November 2024. HDFC Bank down -3.5% as a result, dragging BankNifty & Nifty50...

AceGama Advisors

EQD / NSE Vol Update / Coffee Boost for Sleepy Vol Mkts as Risk Sentiment Sours into the Weekend

Market Riks Aversion has paused. As expected OI build-up of 24000 puts worked as decent Support-level for Nifty50. With Vol-state in "High & Up" -...

AceGama Advisors

EQD / NSE Vol Update / Vols Focus on India-Specific News & Ignore Upcoming Global Macro Events

Post FOMC Event update. Indian Markets have continued their trend of higher Equity Indices as the Nifty50 has cleared the 25000 resistance. Short...

AceGama Advisors

EQD | WHAT IF The NIFTY Starts to Pullback This Week?

​The NIFTY Index continues to rally, despite being massively overbought. Which is the right support price area to buy, if the index suddenly pulls...

Nico Rosti

IVs react to negative news w.r.t. MSCI-HDFC decision & later to positive Global Macro data. Eventually IVs close lower on Weekly basis. Volatility...

The NIFTY Index continues to rally, despite being massively overbought. Which is the right support price area to buy, if the index suddenly pulls...