Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>After a period of prolonged sell-off, the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> last week found support around the 23263 level and bounced.</li>
<li>Below we introduce a new "quantitative chart" tool called "<strong>QUANTCHARTS</strong>": it displays in a compact format all the information you need to evaluate the probability of trend reversal.</li>
<li>As you will see the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> closed just below the 25% (Q1) probability target, so it has room to rise further in the coming weeks, the CC is supportive.</li>
</ul>


After a period of prolonged sell-off, the NIFTY Index last week found support around the 23263 level and bounced.
Below we introduce a new "quantitative chart" tool called "QUANTCHARTS": it displays in a compact format all the information you need to evaluate the probability of trend reversal.
As you will see the NIFTY Index closed just below the 25% (Q1) probability target, so it has room to rise further in the coming weeks, the CC is supportive.


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>IVs steady in spite of significant drop in Indices. Nifty50 Monthly IVs flat at 12.7% &amp; BankNifty Monthly IVs mildly higher to 14.9%. </li>
<li>Paring back of Skew-harvesting recommended. RR levels look overly compressed against backdrop of index weakness</li>
<li>Multiple market holidays pushed short-dated IVs lower. Vol term structure moved deeper into Contango,  Weekly vs. Monthly vol-differential now at -1.9 vols.</li>
</ul>


IVs steady in spite of significant drop in Indices. Nifty50 Monthly IVs flat at 12.7% &amp; BankNifty Monthly IVs mildly higher to 14.9%. 
Paring back of Skew-harvesting recommended. RR levels look overly compressed against backdrop of index weakness
Multiple market holidays pushed short-dated IVs lower. Vol term structure moved deeper into Contango,  Weekly vs. Monthly vol-differential now at -1.9 vols.


EQD / NSE Vol Update / IVs Subdued in Spite of Weakening Equities. Skew Looks Overly Compressed.

<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> lately has been correcting for longer than usual, we have to go back to early 2023 to see similar pullbacks.</li>
<li>We don't see any issue with the general trend structure so far, the index's been uptrending strongly since mid-June 2022, this pullback started in September is not worrying us.</li>
<li>We see an opportunity to buy at better prices, hoping to see the index restarting its main uptrend soon. This insight provides analysis to help you reenter the LONG trade.</li>
</ul>


The NIFTY Index lately has been correcting for longer than usual, we have to go back to early 2023 to see similar pullbacks.
We don't see any issue with the general trend structure so far, the index's been uptrending strongly since mid-June 2022, this pullback started in September is not worrying us.
We see an opportunity to buy at better prices, hoping to see the index restarting its main uptrend soon. This insight provides analysis to help you reenter the LONG trade.


EQD | Dropping NIFTY 50 Could Find Support Very Soon

<ul>
<li>Passing of tier-1 event risks resulted in risk premia compression. Nifty50 IVs back down to 12.8% as a result. IV selloff exacerbated by the upcoming market holidays.    </li>
<li>Vol Regime: Fears of prolonged "High &amp; Up" vol-state were quashed. Vol Regime Model has switched to "High &amp; Down" state. Re-establish Short Vega/ Smile-selling structures. </li>
<li>Markdowns reflected in Vol Surface characteristics - Term Structure/ Smile/ Skew. PCR &amp; OI indicate low participation in Put-strikes. </li>
</ul>


Passing of tier-1 event risks resulted in risk premia compression. Nifty50 IVs back down to 12.8% as a result. IV selloff exacerbated by the upcoming market holidays.    
Vol Regime: Fears of prolonged "High &amp; Up" vol-state were quashed. Vol Regime Model has switched to "High &amp; Down" state. Re-establish Short Vega/ Smile-selling structures. 
Markdowns reflected in Vol Surface characteristics - Term Structure/ Smile/ Skew. PCR &amp; OI indicate low participation in Put-strikes. 


EQD / NSE Vol Update / Risk Premia Marked Down as Tier1 Event Risks Drop off the Calendar

<ul>
<li>IVs continue moving higher in spite of low RV. Nifty50 &amp; BankNifty Monthly IVs at 14.7% &amp; 16.8% respectively. Re-pricing exaggerated in Short-dated options as they cover U.S. Elections.</li>
<li>Vol-Regime Switching Model now in "High &amp; Up" state. Vol-state switch triggers scale back of risk-premia capture strategies. Consider long Gamma exposure via buying Straddles on a delta-hedged basis.</li>
<li>Higher IVs not translating to Skew/ Smile extensions. Vol-curve Term-structure has transitioned from Contango to Backwardation - front-end vol-differential at +1.6 vols.</li>
</ul>


IVs continue moving higher in spite of low RV. Nifty50 &amp; BankNifty Monthly IVs at 14.7% &amp; 16.8% respectively. Re-pricing exaggerated in Short-dated options as they cover U.S. Elections.
Vol-Regime Switching Model now in "High &amp; Up" state. Vol-state switch triggers scale back of risk-premia capture strategies. Consider long Gamma exposure via buying Straddles on a delta-hedged basis.
Higher IVs not translating to Skew/ Smile extensions. Vol-curve Term-structure has transitioned from Contango to Backwardation - front-end vol-differential at +1.6 vols.


EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

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: State Of The Odds

The NIFTY 50 Index is analyzed with the our new proprietary QUANTCHARTS tool: resistance levels seems far enough to leave room for a rally from...

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EQD / NSE Vol Update / IVs Subdued in Spite of Weakening Equities. Skew Looks Overly Compressed.

Despite a drop in indices IVs remain steady. Skew overly compressed. Short-dated IVs lowered due to market holidays, leading to a deeper Contango...

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EQD | Dropping NIFTY 50 Could Find Support Very Soon

The NIFTY 50 is currently experiencing a longer-than-usual correction, but the overall trend remains strong. This pullback presents a buying...

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EQD / NSE Vol Update / Risk Premia Marked Down as Tier1 Event Risks Drop off the Calendar

Passing of tier-1 event risks led to risk premia compression, Nifty50 IVs down to 12.8%. Vol Regime Model shifted to "High & Down" state.

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EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

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EQD | NIFTY 50: State Of The Odds

The ​NIFTY 50 Index is analyzed with the our new proprietary QUANTCHARTS tool: resistance levels seems far enough to leave room for a rally from...

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EQD / NSE Vol Update / IVs Subdued in Spite of Weakening Equities. Skew Looks Overly Compressed.

​Despite a drop in indices IVs remain steady. Skew overly compressed. Short-dated IVs lowered due to market holidays, leading to a deeper Contango...

AceGama Advisors

EQD | Dropping NIFTY 50 Could Find Support Very Soon

​The NIFTY 50 is currently experiencing a longer-than-usual correction, but the overall trend remains strong. This pullback presents a buying...

Nico Rosti

EQD / NSE Vol Update / Risk Premia Marked Down as Tier1 Event Risks Drop off the Calendar

​Passing of tier-1 event risks led to risk premia compression, Nifty50 IVs down to 12.8%. Vol Regime Model shifted to "High & Down" state.

AceGama Advisors

EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

Event Risk Notice - MSCI Index Review (07.11.2024). HDFC Bank to receive weightage increase. $2 Bio inflows expected. Potential tier-1 event risk,...

AceGama Advisors

The NIFTY 50 Index is analyzed with the our new proprietary QUANTCHARTS tool: resistance levels seems far enough to leave room for a rally from...

Despite a drop in indices IVs remain steady. Skew overly compressed. Short-dated IVs lowered due to market holidays, leading to a deeper Contango...

The NIFTY 50 is currently experiencing a longer-than-usual correction, but the overall trend remains strong. This pullback presents a buying...

Passing of tier-1 event risks led to risk premia compression, Nifty50 IVs down to 12.8%. Vol Regime Model shifted to "High & Down" state.