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>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>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) 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?

<ul>
<li>Weekly IVs marked significantly higher. Options demand returns post holiday-shortened week. Market focuses on 23.07.2024 Budget &amp; Corporate Earnings announcements. </li>
<li>Put-Call Ratio compression + Rising IVs indicative of call-buying activity. Significant Open-Interest buildup seen in 25000 calls.</li>
<li>Vol Term-structure: Entire curve in Backwardation. Much of which can be attributed to the India Budget event. Curve expected to flatten out post event.</li>
</ul>


Weekly IVs marked significantly higher. Options demand returns post holiday-shortened week. Market focuses on 23.07.2024 Budget &amp; Corporate Earnings announcements. 
Put-Call Ratio compression + Rising IVs indicative of call-buying activity. Significant Open-Interest buildup seen in 25000 calls.
Vol Term-structure: Entire curve in Backwardation. Much of which can be attributed to the India Budget event. Curve expected to flatten out post event.


EQD / NSE Vol Update / IVs Marked Higher & Vol Curve Inverts ... Its All About the Budget

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

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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 Marked Higher & Vol Curve Inverts ... Its All About the Budget

The 23.07.2024 Budget announcement was pegged to be a large event-risk. The event has now taken place , & has had a marked impact on the Options...

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 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 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 Marked Higher & Vol Curve Inverts ... Its All About the Budget

The 23.07.2024 Budget announcement was pegged to be a large event-risk. The event has now taken place , & has had a marked impact on the Options...

AceGama Advisors

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

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