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) 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

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

<ul>
<li>Despite the recent rally in <a href="https://www.smartkarma.com/entities/bandhan-bank-ltd" target="_blank" data-smartkarma-citation="entities:26705:1" rel="noopener">Bandhan Bank Ltd (BANDHAN IN)</a>, the stock should be deleted from the <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index (NSEBANK INDEX)</a> in September.</li>
<li>
<a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank (CBK IN)</a> should be added to the <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index (NSEBANK INDEX)</a> and passive trackers will need to buy 1x ADV and over 2x delivery volume.</li>
<li>
<a href="https://www.smartkarma.com/entities/bandhan-bank-ltd" target="_blank" data-smartkarma-citation="entities:26705:1" rel="noopener">Bandhan Bank Ltd (BANDHAN IN)</a> is safe for now but could be deleted from a large global index in the next few months on further underperformance.</li>
</ul>


Despite the recent rally in Bandhan Bank Ltd (BANDHAN IN), the stock should be deleted from the NSE Nifty Bank Index (NSEBANK INDEX) in September.

Canara Bank (CBK IN) should be added to the NSE Nifty Bank Index (NSEBANK INDEX) and passive trackers will need to buy 1x ADV and over 2x delivery volume.

Bandhan Bank Ltd (BANDHAN IN) is safe for now but could be deleted from a large global index in the next few months on further underperformance.


NIFTY Bank Index Rebalance Preview: Canara Bank Should Replace Bandhan Bank

<ul>
<li>Implied Volatilities (IVs) stabilized over the week after falling dramatically since the 04-June-2024 India General Election results.</li>
<li>No tactical changes required while IVs are stable &amp; "High &amp; Down" Vol-state is maintained.</li>
<li>Vol Curve continues to be in Contango. Lack of significant event risk should keep term structure locked in its current orientation. </li>
</ul>


Implied Volatilities (IVs) stabilized over the week after falling dramatically since the 04-June-2024 India General Election results.
No tactical changes required while IVs are stable &amp; "High &amp; Down" Vol-state is maintained.
Vol Curve continues to be in Contango. Lack of significant event risk should keep term structure locked in its current orientation. 


EQD / NSE Vol Update / IVs Stabilize After Falling Dramatically over past 2 Weeks

<ul>
<li>IVs move lower at an accelerated pace driven by holiday shortened week &amp; risk-seeking sentiment.  </li>
<li>Vol-Regime has switched to "High &amp; Down" state, projecting an elongated period of falling IV levels. </li>
<li>Nifty50 Smile &amp; Skew dynamics continue to compress. Vol term structure has moved from Backwardation to Contango in conjunction with falling IVs</li>
</ul>


IVs move lower at an accelerated pace driven by holiday shortened week &amp; risk-seeking sentiment.  
Vol-Regime has switched to "High &amp; Down" state, projecting an elongated period of falling IV levels. 
Nifty50 Smile &amp; Skew dynamics continue to compress. Vol term structure has moved from Backwardation to Contango in conjunction with falling IVs


EQD / Weekly Vol Update / Positive Risk-Sentiment & Short Trading Week Put Pressure on IV Levels

<ul>
<li>IVs were crushed in the aftermath of Election results &amp; in spite of lingering political instability &amp; significant moves in RV.</li>
<li>Vol-Regime Switching Model is holding at "High &amp; Up" state. Probability of switching to "High &amp; Down" state has increased significantly.</li>
<li>Vol term structure is still in Backwardation - should transition to Contango as IV &amp; RV drift lower.</li>
</ul>


IVs were crushed in the aftermath of Election results &amp; in spite of lingering political instability &amp; significant moves in RV.
Vol-Regime Switching Model is holding at "High &amp; Up" state. Probability of switching to "High &amp; Down" state has increased significantly.
Vol term structure is still in Backwardation - should transition to Contango as IV &amp; RV drift lower.


EQD / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint

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 / 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

NIFTY Bank Index Rebalance Preview: Canara Bank Should Replace Bandhan Bank

Canara Bank should replace Bandhan Bank in the NSEBANK Index in September. Canara Bank trades cheaper than its peers. Bandhan could be deleted from...

Brian Freitas

EQD / NSE Vol Update / IVs Stabilize After Falling Dramatically over past 2 Weeks

Unusual activity in BankNifty Vol Term Structure. Vol curve opened the week in Backwardation while underlying Index continues to to trade at ATHs.

AceGama Advisors

EQD / Weekly Vol Update / Positive Risk-Sentiment & Short Trading Week Put Pressure on IV Levels

Markets were closed on 17-June-2024 when the insight was released. It would have been missed by many readers. Re-circulate since this is a Weekly...

AceGama Advisors

EQD / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint

IVs get crushed post-elections in spite of lingering political instability & large trading ranges. Vol regime remains "High & Up". Vol term...

AceGama Advisors

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

NIFTY Bank Index Rebalance Preview: Canara Bank Should Replace Bandhan Bank

Canara Bank should replace Bandhan Bank in the NSEBANK Index in September. Canara Bank trades cheaper than its peers. Bandhan could be deleted from...

Brian Freitas

EQD / NSE Vol Update / IVs Stabilize After Falling Dramatically over past 2 Weeks

Unusual activity in BankNifty Vol Term Structure. Vol curve opened the week in Backwardation while underlying Index continues to to trade at ATHs.

AceGama Advisors

EQD / Weekly Vol Update / Positive Risk-Sentiment & Short Trading Week Put Pressure on IV Levels

Markets were closed on 17-June-2024 when the insight was released. It would have been missed by many readers. Re-circulate since this is a Weekly...

AceGama Advisors

EQD / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint

IVs get crushed post-elections in spite of lingering political instability & large trading ranges. Vol regime remains "High & Up". Vol term...

AceGama Advisors

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