Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/national-stock-exchange" target="_blank" data-smartkarma-citation="entities:23751:1" rel="noopener">National Stock Exchange (NSEIN IN)</a> has announced a list of 45 stocks that will be added to the Futures &amp; Options (F&amp;O) segment of the market from 29 November.</li>
<li>There will be changes to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NSE Nifty Next 50 Index</a>, <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">S&amp;P BSE SENSEX Index</a> and the CNXIT Index over the next couple of rebalances.</li>
<li>There are some interesting situations out there, including a change to the universe for the <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NSE Nifty Next 50 Index (NIFTYJR INDEX)</a> that could lead to more changes. </li>
</ul>


The National Stock Exchange (NSEIN IN) has announced a list of 45 stocks that will be added to the Futures &amp; Options (F&amp;O) segment of the market from 29 November.
There will be changes to the NIFTY Index, NSE Nifty Next 50 Index, S&amp;P BSE SENSEX Index and the CNXIT Index over the next couple of rebalances.
There are some interesting situations out there, including a change to the universe for the NSE Nifty Next 50 Index (NIFTYJR INDEX) that could lead to more changes. 


INDIA: Index Changes Due to the 45 New Additions to the F&O Segment

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>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

<ul>
<li>Risk premia continues to re-price higher with Equity Indices trading decisively below critical levels. Nifty50 Monthly IVs back at 14.0% &amp; BankNifty IVs at 16.0%. </li>
<li>Vol-Regime still in "High &amp; Down" state - chances of switching to "High &amp; Up" are increasing.</li>
<li>Options Markets avoid panic mode - orderly declines in the Index &amp; upcoming holiday-shortened week being the contributing factors.</li>
</ul>


Risk premia continues to re-price higher with Equity Indices trading decisively below critical levels. Nifty50 Monthly IVs back at 14.0% &amp; BankNifty IVs at 16.0%. 
Vol-Regime still in "High &amp; Down" state - chances of switching to "High &amp; Up" are increasing.
Options Markets avoid panic mode - orderly declines in the Index &amp; upcoming holiday-shortened week being the contributing factors.


EQD / NSE Vol Update / Equities Continue Their Decline .. Options Markets Avoid Panic Mode for Now.

<ul>
<li>SEBI-Mandated structural changes continue to percolate through for Options Markets. Position limits &amp; lot sizes have been increased drastically, tilting regulations away from Retail &amp; towards more Institutional participation.</li>
<li>IV levels are in the middle of their 12-month ranges. Vol-Regime Model currently in "High &amp; Down" state - grind lower in IVs projected. </li>
<li>In spite of a stronger underlying index, upcoming Bank earnings results have supported BankNifty IVs.  </li>
</ul>


SEBI-Mandated structural changes continue to percolate through for Options Markets. Position limits &amp; lot sizes have been increased drastically, tilting regulations away from Retail &amp; towards more Institutional participation.
IV levels are in the middle of their 12-month ranges. Vol-Regime Model currently in "High &amp; Down" state - grind lower in IVs projected. 
In spite of a stronger underlying index, upcoming Bank earnings results have supported BankNifty IVs.  


EQD / NSE Vol Update / Options Mkt. Structural Changes Incoming: 15x Position Limits + 3x Lot Size

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)

INDIA: Index Changes Due to the 45 New Additions to the F&O Segment

NSE has announced 45 new stocks will be added to F&O on 29 November. That leads to a lot of change for indices that have F&O membership as a...

Brian Freitas

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

EQD / NSE Vol Update / Equities Continue Their Decline .. Options Markets Avoid Panic Mode for Now.

Vol curve has inverted mid-week in spite of low delivered Realized Vol. Options Markets are quickly pricing in U.S. Election result (06.11.2024)...

AceGama Advisors

EQD / NSE Vol Update / Options Mkt. Structural Changes Incoming: 15x Position Limits + 3x Lot Size

Nifty50 Index has traded decisively below 25000 level. IVs have responded as a result, taking the entire Vol Surface uniformly higher. Weekly IVs...

AceGama Advisors

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

INDIA: Index Changes Due to the 45 New Additions to the F&O Segment

NSE has announced 45 new stocks will be added to F&O on 29 November. That leads to a lot of change for indices that have F&O membership as a...

Brian Freitas

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

EQD / NSE Vol Update / Equities Continue Their Decline .. Options Markets Avoid Panic Mode for Now.

Vol curve has inverted mid-week in spite of low delivered Realized Vol. Options Markets are quickly pricing in U.S. Election result (06.11.2024)...

AceGama Advisors

EQD / NSE Vol Update / Options Mkt. Structural Changes Incoming: 15x Position Limits + 3x Lot Size

Nifty50 Index has traded decisively below 25000 level. IVs have responded as a result, taking the entire Vol Surface uniformly higher. Weekly IVs...

AceGama Advisors

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.