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 Markets expected risk sentiment to deteriorate further - IVs were elevated. But lack of RV follow through caused sharp markdowns, especially for short-dated contracts.  </li>
<li>Increased Vol-of-vol has triggered multiple switches in Vol Regime Model - currently in "High &amp; Down" vol-state. Multiple state-switches indicative of unfolding structural changes in Vol Markets.</li>
<li>Smile looking overly compressed in Monthly &amp; Quarterly contracts as OTM Strangles trade close to par with ATMs.</li>
</ul>


Options Markets expected risk sentiment to deteriorate further - IVs were elevated. But lack of RV follow through caused sharp markdowns, especially for short-dated contracts.  
Increased Vol-of-vol has triggered multiple switches in Vol Regime Model - currently in "High &amp; Down" vol-state. Multiple state-switches indicative of unfolding structural changes in Vol Markets.
Smile looking overly compressed in Monthly &amp; Quarterly contracts as OTM Strangles trade close to par with ATMs.


EQD / NSE Vol Update / ++Vol-Of-Vol & Unstable Vol-Regime. Structural Changes Unfolding in Vol Mkts?

<ul>
<li>Nifty50 Monthly IVs post +2.6 vol jump as risk premia gets marked higher on return from 02.10.2024 holiday - China-induced Index selloff &amp; FII Options-buying being the main drivers.</li>
<li>Vol Term-Structure has switched from Contango to Backwardation in the front end for Nifty50 options. BankNifty Vol Curve flattens due to 11th hour IV markdown. </li>
<li>Options Market looks ill-prepared for another leg lower in indices - Smile &amp; Skew subdued in spite of IV-jump.</li>
</ul>


Nifty50 Monthly IVs post +2.6 vol jump as risk premia gets marked higher on return from 02.10.2024 holiday - China-induced Index selloff &amp; FII Options-buying being the main drivers.
Vol Term-Structure has switched from Contango to Backwardation in the front end for Nifty50 options. BankNifty Vol Curve flattens due to 11th hour IV markdown. 
Options Market looks ill-prepared for another leg lower in indices - Smile &amp; Skew subdued in spite of IV-jump.


EQD / NSE Vol Update / Skew & Smile Unmoved by Equity Selloff - Options Market Ill-Prepared for More

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>Our <a href="https://www.smartkarma.com/insights/eqd-the-nifty-potential-upside-from-here" target="_blank" rel="noopener">last insight</a> predicted quite precisely what happened to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> during the last 3 weeks (our forecast was a 3-5 weeks rally, around +4%/+5% higher).</li>
<li>After 3 weeks up in a row, last week the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a> pulled back - <strong>the question obviously now is: would this be a good time to enter/re-enter the trade LONG</strong>?</li>
<li>The answer, as always, lies in our Market Reversal Matrix models, keep reading to find out...</li>
</ul>


Our last insight predicted quite precisely what happened to the NIFTY Index during the last 3 weeks (our forecast was a 3-5 weeks rally, around +4%/+5% higher).
After 3 weeks up in a row, last week the NIFTY pulled back - the question obviously now is: would this be a good time to enter/re-enter the trade LONG?
The answer, as always, lies in our Market Reversal Matrix models, keep reading to find out...


<ul>
<li>Nifty50 IVs have finally cracked below 11.0% levels - in spite of upcoming event-risks. Moves lower have been exacerbated by the holiday shortened week.   </li>
<li>Vol-Regime Model has switched to "Low &amp; Down" vol-state in Nifty50. Tactical implications:  Short Vega exposure less favourable going forward.</li>
<li>Risk premia selloff has driven Vol Term-Structure deeper into Contango. Smile &amp; Skew characteristics have compressed in congruence with lower IVs.</li>
</ul>


Nifty50 IVs have finally cracked below 11.0% levels - in spite of upcoming event-risks. Moves lower have been exacerbated by the holiday shortened week.   
Vol-Regime Model has switched to "Low &amp; Down" vol-state in Nifty50. Tactical implications:  Short Vega exposure less favourable going forward.
Risk premia selloff has driven Vol Term-Structure deeper into Contango. Smile &amp; Skew characteristics have compressed in congruence with lower IVs.


EQD / NSE Vol Update / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

<ul>
<li>IVs seesawed through the week on account of the Fed meeting. Trading up to 12.7% going into the meeting &amp; selling-off to 11.4% thereafter.</li>
<li>Vol-Curve Term-structure in Contango post Fed meeting - Nifty50 vol curve sheds its inversion &amp; BankNifty vol curve loses its kinked-shape</li>
<li>BankNifty Smile &amp; Skew characteristics extend relative to previous weeks - despite falling IVs &amp; strengthening index.</li>
</ul>


IVs seesawed through the week on account of the Fed meeting. Trading up to 12.7% going into the meeting &amp; selling-off to 11.4% thereafter.
Vol-Curve Term-structure in Contango post Fed meeting - Nifty50 vol curve sheds its inversion &amp; BankNifty vol curve loses its kinked-shape
BankNifty Smile &amp; Skew characteristics extend relative to previous weeks - despite falling IVs &amp; strengthening index.


EQD / NSE Vol Update / IVs Ride the Fed Seesaw

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 / ++Vol-Of-Vol & Unstable Vol-Regime. Structural Changes Unfolding in Vol Mkts?

The new SEBI announcement (15.10.2024) w.r.t to position limits will add to the structural changes unfolding in the Options Markets. Position...

AceGama Advisors

EQD / NSE Vol Update / Skew & Smile Unmoved by Equity Selloff - Options Market Ill-Prepared for More

Options Markets see increased IV-levels post China-induced equities selloff. But market left ill-prepared for further downside as Smile & Skew...

AceGama Advisors

EQD | Is the NIFTY A BUY Here?

The NIFTY Index closed the week down, now the question is: IS THIS A GOOD TIME TO (RE)ENTER LONG? As always, the Market Reversal Matrix models...

Nico Rosti

EQD / NSE Vol Update / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

Release of SEBI Board meeting (30.09.2024) for upheaval of the Options Market. Implications to Market Structure are massive. A few projections -...

AceGama Advisors

EQD / NSE Vol Update / IVs Ride the Fed Seesaw

IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

AceGama Advisors

EQD / NSE Vol Update / ++Vol-Of-Vol & Unstable Vol-Regime. Structural Changes Unfolding in Vol Mkts?

The new SEBI announcement (15.10.2024) w.r.t to position limits will add to the structural changes unfolding in the Options Markets. Position...

AceGama Advisors

EQD / NSE Vol Update / Skew & Smile Unmoved by Equity Selloff - Options Market Ill-Prepared for More

​Options Markets see increased IV-levels post China-induced equities selloff. But market left ill-prepared for further downside as Smile & Skew...

AceGama Advisors

EQD | Is the NIFTY A BUY Here?

​The NIFTY Index closed the week down, now the question is: IS THIS A GOOD TIME TO (RE)ENTER LONG? As always, the Market Reversal Matrix models...

Nico Rosti

EQD / NSE Vol Update / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

Release of SEBI Board meeting (30.09.2024) for upheaval of the Options Market. Implications to Market Structure are massive. A few projections -...

AceGama Advisors

EQD / NSE Vol Update / IVs Ride the Fed Seesaw

​IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

AceGama Advisors

Options Markets see increased IV-levels post China-induced equities selloff. But market left ill-prepared for further downside as Smile & Skew...

The NIFTY Index closed the week down, now the question is: IS THIS A GOOD TIME TO (RE)ENTER LONG? As always, the Market Reversal Matrix models...

IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...