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>Multiple factors help IVs stabilize after last week's spike. "High &amp; Up" vol state to persist until elections results on 04-June-2024.</li>
<li>SEBI makes changes to Dynamic Price-band Mechanism. Will impact options market-making &amp; should have an overall Vol suppressing effect. </li>
<li>Nifty50 10-delta Risk-reversals extend to -8.5% as the Index reaches 23000. Risk-premia favouring puts over calls is looking over-extended.</li>
</ul>


Multiple factors help IVs stabilize after last week's spike. "High &amp; Up" vol state to persist until elections results on 04-June-2024.
SEBI makes changes to Dynamic Price-band Mechanism. Will impact options market-making &amp; should have an overall Vol suppressing effect. 
Nifty50 10-delta Risk-reversals extend to -8.5% as the Index reaches 23000. Risk-premia favouring puts over calls is looking over-extended.


EQD / NSE Volatility Update / 20-May-24 to 24-May-24

<ul>
<li>Curtail Short Gamma &amp; Short Vega exposure as Vol-regime has switched to "High &amp; Up" state.  </li>
<li>Short-Dated IVs traded markedly lower, driven by recovering equities &amp; the 20-May market holiday</li>
<li>Nifty50 vol curve is exhibiting unusual kinked shape. Monthly IVs are commanding a large vol markup relative to rest of the curve. </li>
</ul>


Curtail Short Gamma &amp; Short Vega exposure as Vol-regime has switched to "High &amp; Up" state.  
Short-Dated IVs traded markedly lower, driven by recovering equities &amp; the 20-May market holiday
Nifty50 vol curve is exhibiting unusual kinked shape. Monthly IVs are commanding a large vol markup relative to rest of the curve. 


EQD / NSE Volatility Update / 13-May-24 to 17-May-24

<ul>
<li>Election-Related volatility being reflected in options. India VIX has surged 70% over the past two weeks. Quarterly IVs have seen the largest rise as they capture election result date.</li>
<li>BankNifty IVs are finally responding as the market plays catch up to the bank regulator's new-found aggressiveness</li>
<li>Elevated Vol-of-vol observed the past few weeks. Vol-regime Switching Model continues to point to "High &amp; Down" state. Odds of switching to a "High &amp; Up" state are increasing.</li>
</ul>


Election-Related volatility being reflected in options. India VIX has surged 70% over the past two weeks. Quarterly IVs have seen the largest rise as they capture election result date.
BankNifty IVs are finally responding as the market plays catch up to the bank regulator's new-found aggressiveness
Elevated Vol-of-vol observed the past few weeks. Vol-regime Switching Model continues to point to "High &amp; Down" state. Odds of switching to a "High &amp; Up" state are increasing.


EQD / NSE Volatility Update / 06-May-24 to 10-May-24

<ul>
<li>Indian markets to implement T+0 settlement cycle starting 28-March-2024. Phase-wise transition planned .</li>
<li>Upcoming long weekends causing drastic markdown in IV levels. This combined with "High &amp; Down" vol regime - short gamma/ short vega trades recommended.  </li>
<li>Contango shape of Volatility curves are an additional reason to be short gamma &amp; earning theta</li>
</ul>


Indian markets to implement T+0 settlement cycle starting 28-March-2024. Phase-wise transition planned .
Upcoming long weekends causing drastic markdown in IV levels. This combined with "High &amp; Down" vol regime - short gamma/ short vega trades recommended.  
Contango shape of Volatility curves are an additional reason to be short gamma &amp; earning theta


EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

<ul>
<li>Implied Volatilities (IVs) have stabilized over the past few weeks &amp; look to be in the early stages of an uptrend. </li>
<li>Breakdown in Spot-Vol correlation - higher IVs at a time when Equity Indices are flirting with All-time-Highs.</li>
<li>Skew compression in BankNifty Options driven by call-buying on the break above 49000, further exacerbated by pre-election demand for June &amp; July expiries. </li>
</ul>


Implied Volatilities (IVs) have stabilized over the past few weeks &amp; look to be in the early stages of an uptrend. 
Breakdown in Spot-Vol correlation - higher IVs at a time when Equity Indices are flirting with All-time-Highs.
Skew compression in BankNifty Options driven by call-buying on the break above 49000, further exacerbated by pre-election demand for June &amp; July expiries. 


EQD / NSE Volatility Update / 29-Apr-24 to 03-May-24

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 Volatility Update / 20-May-24 to 24-May-24

IVs stabilize post-spike but high vol state will last until election results. SEBI changes to impact options market-making, Nifty50 risk-reversals...

AceGama Advisors

EQD / NSE Volatility Update / 13-May-24 to 17-May-24

Vol-regime has switched to "High & Up" state. Reduce Short Gamma & Short Vega exposure. Short-Dated IVs softer on account of market holiday....

AceGama Advisors

EQD / NSE Volatility Update / 06-May-24 to 10-May-24

IVs have surged due to election-related uncertainty. BankNifty options market finally responding to RBI aggression. Vol-of-vol is elevated but...

AceGama Advisors

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. Indian markets to shift to T+0 settlement cycle in ...

AceGama Advisors

EQD / NSE Volatility Update / 29-Apr-24 to 03-May-24

End of the downtrend in IVs? Will Vol regime switch from "High & Down" to "High & Up"? Vol market seems to be at an inflection point with Election...

AceGama Advisors

EQD / NSE Volatility Update / 20-May-24 to 24-May-24

​IVs stabilize post-spike but high vol state will last until election results. SEBI changes to impact options market-making, Nifty50 risk-reversals...

AceGama Advisors

EQD / NSE Volatility Update / 13-May-24 to 17-May-24

Vol-regime has switched to "High & Up" state. ​Reduce Short Gamma & Short Vega exposure. Short-Dated IVs softer on account of market holiday....

AceGama Advisors

EQD / NSE Volatility Update / 06-May-24 to 10-May-24

IVs have surged due to election-related uncertainty. BankNifty options market finally responding to RBI aggression. Vol-of-vol is elevated but...

AceGama Advisors

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. ​Indian markets to shift to T+0 settlement cycle in ...

AceGama Advisors

EQD / NSE Volatility Update / 29-Apr-24 to 03-May-24

End of the downtrend in IVs? Will Vol regime switch from "High & Down" to "High & Up"? Vol market seems to be at an inflection point with Election...

AceGama Advisors

IVs stabilize post-spike but high vol state will last until election results. SEBI changes to impact options market-making, Nifty50 risk-reversals...

Vol-regime has switched to "High & Up" state. Reduce Short Gamma & Short Vega exposure. Short-Dated IVs softer on account of market holiday....

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. Indian markets to shift to T+0 settlement cycle in ...