Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

<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

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 Spike with Election Results release on 04-June-2024. Post event there's a risk of large IV-crush regardless of the result.</li>
<li>Current Vol-state is "High &amp; Up". Wait for the switch to "High &amp; Down" before initiating new risk-premia harvesting strategies</li>
<li>Weekly IVs have received large markups due to elections. Entire Vol Curve is now in Backwardation -  curve inversion at extreme levels</li>
</ul>


IVs Spike with Election Results release on 04-June-2024. Post event there's a risk of large IV-crush regardless of the result.
Current Vol-state is "High &amp; Up". Wait for the switch to "High &amp; Down" before initiating new risk-premia harvesting strategies
Weekly IVs have received large markups due to elections. Entire Vol Curve is now in Backwardation -  curve inversion at extreme levels


EQD / Weekly Vol Update / IVs Spike with Election Results Round the Corner

<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>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.

TSE Tokyo Price Index TOPIX / Event-Driven

<ul>
<li>Observing implied volatility across 16 markets plus gold provides a picture of falling implied volatility, despite dispersion in market performance.</li>
<li>Several, but not all, markets display moderation from unusual volatility levels to a more balanced implied volatility structure.</li>
<li>The realignment of implied volatility across markets presents potential relative value opportunities.</li>
</ul>


Observing implied volatility across 16 markets plus gold provides a picture of falling implied volatility, despite dispersion in market performance.
Several, but not all, markets display moderation from unusual volatility levels to a more balanced implied volatility structure.
The realignment of implied volatility across markets presents potential relative value opportunities.


EQD | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

India

Nifty Bank Index is a free-float capitalization-weighted index comprised of the most liquid and large capitalized Indian Banking stocks. The index will have 12 stocks from the banking sector, which trade on the National Stock Exchange. The index was developed with a base value of 1000 as of January 1, 2000.

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

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 / Weekly Vol Update / IVs Spike with Election Results Round the Corner

Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

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 / 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 | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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 / Weekly Vol Update / IVs Spike with Election Results Round the Corner

​Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

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 / 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 | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

​Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...

Gaudenz Schneider

Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

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

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

Despite varying market performances, implied volatility is generally decreasing across 16 equity markets and gold. The realignment might offer...