Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a> has broken its four-week decline and reversed direction. This raises the prospect for a bull run.</li>
<li>Continued decline or relief rally? Technical and fundamental arguments lend support to both directional views.</li>
<li>We identify options with attractive cost vs. upside profiles to implement tactical trades in this environment.</li>
</ul>


The NIFTY Index (NIFTY INDEX) has broken its four-week decline and reversed direction. This raises the prospect for a bull run.
Continued decline or relief rally? Technical and fundamental arguments lend support to both directional views.
We identify options with attractive cost vs. upside profiles to implement tactical trades in this environment.


EQD | Nifty 50 – Option Strategy for Bulls and Bears

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.

<ul>
<li>Risk premia continues to re-price higher with Equity Indices trading decisively below critical levels. Nifty50 Monthly IVs back at 14.0% &amp; BankNifty IVs at 16.0%. </li>
<li>Vol-Regime still in "High &amp; Down" state - chances of switching to "High &amp; Up" are increasing.</li>
<li>Options Markets avoid panic mode - orderly declines in the Index &amp; upcoming holiday-shortened week being the contributing factors.</li>
</ul>


Risk premia continues to re-price higher with Equity Indices trading decisively below critical levels. Nifty50 Monthly IVs back at 14.0% &amp; BankNifty IVs at 16.0%. 
Vol-Regime still in "High &amp; Down" state - chances of switching to "High &amp; Up" are increasing.
Options Markets avoid panic mode - orderly declines in the Index &amp; upcoming holiday-shortened week being the contributing factors.


EQD / NSE Vol Update / Equities Continue Their Decline .. Options Markets Avoid Panic Mode for Now.

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>After a 4-weeks slump, the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY INDEX</a> may be reaching the point where it reverses and rally. The LONG model for this pattern was presented in a <a href="https://www.smartkarma.com/insights/eqd-is-the-nifty-a-buy-here" target="_blank" rel="noopener">previous insight</a>. </li>
<li>If the index goes higher from here, where will it encounter resistance? Can it rally far? or will it just bounce and fall again?</li>
<li>The goal of this insight is to show if the potential upcoming rally has legs.</li>
</ul>


After a 4-weeks slump, the NIFTY INDEX may be reaching the point where it reverses and rally. The LONG model for this pattern was presented in a previous insight. 
If the index goes higher from here, where will it encounter resistance? Can it rally far? or will it just bounce and fall again?
The goal of this insight is to show if the potential upcoming rally has legs.


EQD | A NIFTY WEEKLY Rally From Here: How Far Can It Go?

<ul>
<li>This strategy exploits relative value in implied volatilities and combines it with a long Nifty 50 vs. short Nikkei 225 directional view over a period of two months.</li>
<li>The strategy performs well if the Nifty 50 rises <em>and</em> outperforms the Nikkei 225. If both indices decline, neither profit nor loss is incurred.</li>
<li>Leverage increases both the strategy's payoff and probability of success.</li>
</ul>


This strategy exploits relative value in implied volatilities and combines it with a long Nifty 50 vs. short Nikkei 225 directional view over a period of two months.
The strategy performs well if the Nifty 50 rises and outperforms the Nikkei 225. If both indices decline, neither profit nor loss is incurred.
Leverage increases both the strategy's payoff and probability of success.


EQD | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

<ul>
<li>SEBI-Mandated structural changes continue to percolate through for Options Markets. Position limits &amp; lot sizes have been increased drastically, tilting regulations away from Retail &amp; towards more Institutional participation.</li>
<li>IV levels are in the middle of their 12-month ranges. Vol-Regime Model currently in "High &amp; Down" state - grind lower in IVs projected. </li>
<li>In spite of a stronger underlying index, upcoming Bank earnings results have supported BankNifty IVs.  </li>
</ul>


SEBI-Mandated structural changes continue to percolate through for Options Markets. Position limits &amp; lot sizes have been increased drastically, tilting regulations away from Retail &amp; towards more Institutional participation.
IV levels are in the middle of their 12-month ranges. Vol-Regime Model currently in "High &amp; Down" state - grind lower in IVs projected. 
In spite of a stronger underlying index, upcoming Bank earnings results have supported BankNifty IVs.  


EQD / NSE Vol Update / Options Mkt. Structural Changes Incoming: 15x Position Limits + 3x Lot Size

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 | Nifty 50 – Option Strategy for Bulls and Bears

The NIFTY 50 snaped its four-week decline. Options with attractive cost vs. upside profile make for tactical trades ahead of a recovery rally, or...

Gaudenz Schneider

EQD / NSE Vol Update / Equities Continue Their Decline .. Options Markets Avoid Panic Mode for Now.

Vol curve has inverted mid-week in spite of low delivered Realized Vol. Options Markets are quickly pricing in U.S. Election result (06.11.2024)...

AceGama Advisors

EQD | A NIFTY WEEKLY Rally From Here: How Far Can It Go?

The NIFTY INDEX could rally from here after the recent slump, but it is unclear if the index can rally for just 1 week (dead cat bounce) or up to 3...

Nico Rosti

EQD | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

Option strategy: exploit relative value in implied volatilities combined with directional positioning for a leveraged payoff in a long Nifty 50 vs....

Gaudenz Schneider

EQD / NSE Vol Update / Options Mkt. Structural Changes Incoming: 15x Position Limits + 3x Lot Size

Nifty50 Index has traded decisively below 25000 level. IVs have responded as a result, taking the entire Vol Surface uniformly higher. Weekly IVs...

AceGama Advisors

EQD | Nifty 50 – Option Strategy for Bulls and Bears

​The NIFTY 50 snaped its four-week decline. Options with attractive cost vs. upside profile make for tactical trades ahead of a recovery rally, or...

Gaudenz Schneider

EQD / NSE Vol Update / Equities Continue Their Decline .. Options Markets Avoid Panic Mode for Now.

Vol curve has inverted mid-week in spite of low delivered Realized Vol. Options Markets are quickly pricing in U.S. Election result (06.11.2024)...

AceGama Advisors

EQD | A NIFTY WEEKLY Rally From Here: How Far Can It Go?

The NIFTY INDEX could rally from here after the recent slump, but it is unclear if the index can rally for just 1 week (dead cat bounce) or up to 3...

Nico Rosti

EQD | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

Option strategy: exploit relative value in implied volatilities combined with directional positioning for a leveraged payoff in a long Nifty 50 vs....

Gaudenz Schneider

EQD / NSE Vol Update / Options Mkt. Structural Changes Incoming: 15x Position Limits + 3x Lot Size

Nifty50 Index has traded decisively below 25000 level. IVs have responded as a result, taking the entire Vol Surface uniformly higher. Weekly IVs...

AceGama Advisors

The NIFTY 50 snaped its four-week decline. Options with attractive cost vs. upside profile make for tactical trades ahead of a recovery rally, or...