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>IVs for Monthly &amp; Quarterly contracts rose as options market baked in additional risk premia for the Budget Announcement. </li>
<li>Vega bid &amp; Gamma offered  - Monthly IVs higher by +2.3 vols &amp; Weekly IVs lower by -0.5 vols.  Short-Dated IVs closed lower in spite of upcoming earnings events </li>
<li>Term structure is trading with a kinked shape, with Monthly IVs trading at a markup to rest of the curve</li>
</ul>


IVs for Monthly &amp; Quarterly contracts rose as options market baked in additional risk premia for the Budget Announcement. 
Vega bid &amp; Gamma offered  - Monthly IVs higher by +2.3 vols &amp; Weekly IVs lower by -0.5 vols.  Short-Dated IVs closed lower in spite of upcoming earnings events 
Term structure is trading with a kinked shape, with Monthly IVs trading at a markup to rest of the curve


EQD / NSE Vol Update / Vega Was Bid & Gamma Was Offered

Co-Founder & CEO, Newmark Risk

Nicholas Pezolano

Co-Founder & CEO

Option analytics for institutional investors

Newmark Risk

Fin-tech company focused on providing option derived analytics for institutional investors.

We handle the complexity of options data so you don't have to.

- Data and Analytics available all in one place so you can focus on Strategy Development
- Custom Solutions for your data and/or portfolio needs
- Advisory services to lend our expertise

Knowledge is something that was meant to be shared and we provide insights to our clients and to the community via posting about our research findings.

TSE Tokyo Price Index TOPIX / Event-Driven

<ul><li>A cross-country study on the post earning announcement drift effect.</li><li>We explore the use of various options-implied analytics to systematically view returns around earnings announcements.  </li><li>Options-Implied Analytics can provide empowering information to better inform investment decisions.</li></ul>

A cross-country study on the post earning announcement drift effect.We explore the use of various options-implied analytics to systematically view returns around earnings announcements.  Options-Implied Analytics can provide empowering information to better inform investment decisions.

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener"><strong>NIFTY Index</strong> (NIFTY INDEX)</a> and the <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener"><strong>NSE Nifty Bank Index</strong> (NSEBANK INDEX EQUITY)</a> reached all-time highs on 26 September 2024 but have since declined.</li>
<li>Most stocks in the Bank Index have fallen below their 200 and 50 day moving average,. Volatilities have gone up, but trade cheap when compared to historical levels.</li>
<li>Opportunities present themselves either in stocks that stayed resilient during the downturn (<a href="https://www.smartkarma.com/entities/federal-bank-ltd" target="_blank" data-smartkarma-citation="entities:11784:1" rel="noopener">Federal Bank (FB IN)),</a>or fell and gained in implied volatility. A long-short strategy might also be considered.</li>
</ul>


The NIFTY Index (NIFTY INDEX) and the NSE Nifty Bank Index (NSEBANK INDEX EQUITY) reached all-time highs on 26 September 2024 but have since declined.
Most stocks in the Bank Index have fallen below their 200 and 50 day moving average,. Volatilities have gone up, but trade cheap when compared to historical levels.
Opportunities present themselves either in stocks that stayed resilient during the downturn (Federal Bank (FB IN)),or fell and gained in implied volatility. A long-short strategy might also be considered.


EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

<ul>
<li>Regular Spot-Vol Correlations reasserted - Implied Volatilities (IVs) traded lower as Equity Markets continued making new Highs.</li>
<li>As expected, Vol-Regime Switching Model is stuck in "High &amp; Down" state. IVs projected to grind lower over an elongated period.      </li>
<li>Changes in Vol term-structure + Skew/ Smile compression - indicative of reduced risk-premia for July-end India Budget event.</li>
</ul>


Regular Spot-Vol Correlations reasserted - Implied Volatilities (IVs) traded lower as Equity Markets continued making new Highs.
As expected, Vol-Regime Switching Model is stuck in "High &amp; Down" state. IVs projected to grind lower over an elongated period.      
Changes in Vol term-structure + Skew/ Smile compression - indicative of reduced risk-premia for July-end India Budget event.


EQD / NSE Vol Update / Regular Correlations Take Hold - Vols Drop as Market Soars

<ul>
<li>Implied Volatilities (IVs) continued to rise as the underlying index tried to break above critical resistance - marking a break-down of usual spot-vol correlations.</li>
<li>Vol surface smile &amp; skew characteristics held steady at the 25-Delta point of curve, while dynamics at the 10-Delta zone extended further.</li>
<li>Nifty50 Back-end Term Structure is in Backwardation as Monthly options enjoy markups based on July-end Indian Budget release.   </li>
</ul>


Implied Volatilities (IVs) continued to rise as the underlying index tried to break above critical resistance - marking a break-down of usual spot-vol correlations.
Vol surface smile &amp; skew characteristics held steady at the 25-Delta point of curve, while dynamics at the 10-Delta zone extended further.
Nifty50 Back-end Term Structure is in Backwardation as Monthly options enjoy markups based on July-end Indian Budget release.   


EQD / NSE Vol Update / IVs Rise in Conjunction with Equities Counter to Regular Spot-Vol Correlation

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 / Vega Was Bid & Gamma Was Offered

IVs rise as additional risk premia gets baked in for Budget Announcement. Kinked-shaped term structure with Monthly IVs trading at a markup to rest...

AceGama Advisors

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

We leverage a few analytics from NewMark Risk's proprietary Options Implied Analytics library to enhance common strategies to trade earnings...

Nicholas Pezolano

EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

The NSE Nifty Bank Index hit a record high in September 2024 but has since dropped. Option opportunities are found in resilient or volatile bank...

Gaudenz Schneider

EQD / NSE Vol Update / Regular Correlations Take Hold - Vols Drop as Market Soars

IVs trade lower as equity markets reach new highs. Vol Regime Model projects continued IV decline. Vol Surface characteristics imply reduced risk...

AceGama Advisors

EQD / NSE Vol Update / IVs Rise in Conjunction with Equities Counter to Regular Spot-Vol Correlation

Implied volatilities rise as index tests resistance, spot-vol correlations break down. Nifty50 options show backwardation due to Indian Budget...

AceGama Advisors

EQD / NSE Vol Update / Vega Was Bid & Gamma Was Offered

IVs rise as additional risk premia gets baked in for Budget Announcement. Kinked-shaped term structure with Monthly IVs trading at a markup to rest...

AceGama Advisors

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

We leverage a few analytics from NewMark Risk's proprietary Options Implied Analytics library to enhance common strategies to trade earnings...

Nicholas Pezolano

EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

The NSE Nifty Bank Index hit a record high in September 2024 but has since dropped. Option opportunities are found in resilient or volatile bank...

Gaudenz Schneider

EQD / NSE Vol Update / Regular Correlations Take Hold - Vols Drop as Market Soars

​IVs trade lower as equity markets reach new highs. Vol Regime Model projects continued IV decline. Vol Surface characteristics imply reduced risk...

AceGama Advisors

EQD / NSE Vol Update / IVs Rise in Conjunction with Equities Counter to Regular Spot-Vol Correlation

​Implied volatilities rise as index tests resistance, spot-vol correlations break down. Nifty50 options show backwardation due to Indian Budget...

AceGama Advisors

IVs trade lower as equity markets reach new highs. Vol Regime Model projects continued IV decline. Vol Surface characteristics imply reduced risk...

Implied volatilities rise as index tests resistance, spot-vol correlations break down. Nifty50 options show backwardation due to Indian Budget...