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>Options Markets expected risk sentiment to deteriorate further - IVs were elevated. But lack of RV follow through caused sharp markdowns, especially for short-dated contracts.  </li>
<li>Increased Vol-of-vol has triggered multiple switches in Vol Regime Model - currently in "High &amp; Down" vol-state. Multiple state-switches indicative of unfolding structural changes in Vol Markets.</li>
<li>Smile looking overly compressed in Monthly &amp; Quarterly contracts as OTM Strangles trade close to par with ATMs.</li>
</ul>


Options Markets expected risk sentiment to deteriorate further - IVs were elevated. But lack of RV follow through caused sharp markdowns, especially for short-dated contracts.  
Increased Vol-of-vol has triggered multiple switches in Vol Regime Model - currently in "High &amp; Down" vol-state. Multiple state-switches indicative of unfolding structural changes in Vol Markets.
Smile looking overly compressed in Monthly &amp; Quarterly contracts as OTM Strangles trade close to par with ATMs.


EQD / NSE Vol Update / ++Vol-Of-Vol & Unstable Vol-Regime. Structural Changes Unfolding in Vol Mkts?

<ul>
<li>Nifty50 Monthly IVs post +2.6 vol jump as risk premia gets marked higher on return from 02.10.2024 holiday - China-induced Index selloff &amp; FII Options-buying being the main drivers.</li>
<li>Vol Term-Structure has switched from Contango to Backwardation in the front end for Nifty50 options. BankNifty Vol Curve flattens due to 11th hour IV markdown. </li>
<li>Options Market looks ill-prepared for another leg lower in indices - Smile &amp; Skew subdued in spite of IV-jump.</li>
</ul>


Nifty50 Monthly IVs post +2.6 vol jump as risk premia gets marked higher on return from 02.10.2024 holiday - China-induced Index selloff &amp; FII Options-buying being the main drivers.
Vol Term-Structure has switched from Contango to Backwardation in the front end for Nifty50 options. BankNifty Vol Curve flattens due to 11th hour IV markdown. 
Options Market looks ill-prepared for another leg lower in indices - Smile &amp; Skew subdued in spite of IV-jump.


EQD / NSE Vol Update / Skew & Smile Unmoved by Equity Selloff - Options Market Ill-Prepared for More

<ul>
<li>Nifty50 IVs have finally cracked below 11.0% levels - in spite of upcoming event-risks. Moves lower have been exacerbated by the holiday shortened week.   </li>
<li>Vol-Regime Model has switched to "Low &amp; Down" vol-state in Nifty50. Tactical implications:  Short Vega exposure less favourable going forward.</li>
<li>Risk premia selloff has driven Vol Term-Structure deeper into Contango. Smile &amp; Skew characteristics have compressed in congruence with lower IVs.</li>
</ul>


Nifty50 IVs have finally cracked below 11.0% levels - in spite of upcoming event-risks. Moves lower have been exacerbated by the holiday shortened week.   
Vol-Regime Model has switched to "Low &amp; Down" vol-state in Nifty50. Tactical implications:  Short Vega exposure less favourable going forward.
Risk premia selloff has driven Vol Term-Structure deeper into Contango. Smile &amp; Skew characteristics have compressed in congruence with lower IVs.


EQD / NSE Vol Update / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

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>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">Nifty Next 50 Index</a>, <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</a>, CNXIT Index, Nifty Midcap 150 Index, Nifty100 Low Volatility30 Index and the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF</a> rebalance at the close tomorrow.</li>
<li>The round-trip trade across the indices is US$3.3bn and there are 13 stocks with over 1 day of ADV to trade from passive trackers.</li>
<li>Stocks with the largest inflows are <a href="https://www.smartkarma.com/entities/trent-ltd" target="_blank" data-smartkarma-citation="entities:8410:1" rel="noopener">Trent</a>, <a href="https://www.smartkarma.com/entities/bharat-electronics-ltd" target="_blank" data-smartkarma-citation="entities:6636:1" rel="noopener">Bharat Electronics</a>, <a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank</a>, <a href="https://www.smartkarma.com/entities/bharat-heavy-electricals" target="_blank" data-smartkarma-citation="entities:460:1" rel="noopener">Bharat Heavy Electricals</a>, <a href="https://www.smartkarma.com/entities/oil-natural-gas-corp-ltd" target="_blank" data-smartkarma-citation="entities:3456:1" rel="noopener">Oil &amp; Natural Gas Corp</a>, <a href="https://www.smartkarma.com/entities/coal-india-ltd" target="_blank" data-smartkarma-citation="entities:9117:1" rel="noopener">Coal India</a>, <a href="https://www.smartkarma.com/entities/hindustan-aeronautics-ltd" target="_blank" data-smartkarma-citation="entities:26747:1" rel="noopener">Hindustan Aeronautics</a> and <a href="https://www.smartkarma.com/entities/interglobe-aviation-ltd" target="_blank" data-smartkarma-citation="entities:24877:1" rel="noopener">InterGlobe Aviation</a>.</li>
</ul>


The NIFTY Index, Nifty Next 50 Index, NSE Nifty Bank Index, CNXIT Index, Nifty Midcap 150 Index, Nifty100 Low Volatility30 Index and the CPSE ETF rebalance at the close tomorrow.
The round-trip trade across the indices is US$3.3bn and there are 13 stocks with over 1 day of ADV to trade from passive trackers.
Stocks with the largest inflows are Trent, Bharat Electronics, Canara Bank, Bharat Heavy Electricals, Oil &amp; Natural Gas Corp, Coal India, Hindustan Aeronautics and InterGlobe Aviation.


NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

<ul>
<li>IVs seesawed through the week on account of the Fed meeting. Trading up to 12.7% going into the meeting &amp; selling-off to 11.4% thereafter.</li>
<li>Vol-Curve Term-structure in Contango post Fed meeting - Nifty50 vol curve sheds its inversion &amp; BankNifty vol curve loses its kinked-shape</li>
<li>BankNifty Smile &amp; Skew characteristics extend relative to previous weeks - despite falling IVs &amp; strengthening index.</li>
</ul>


IVs seesawed through the week on account of the Fed meeting. Trading up to 12.7% going into the meeting &amp; selling-off to 11.4% thereafter.
Vol-Curve Term-structure in Contango post Fed meeting - Nifty50 vol curve sheds its inversion &amp; BankNifty vol curve loses its kinked-shape
BankNifty Smile &amp; Skew characteristics extend relative to previous weeks - despite falling IVs &amp; strengthening index.


EQD / NSE Vol Update / IVs Ride the Fed Seesaw

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 / ++Vol-Of-Vol & Unstable Vol-Regime. Structural Changes Unfolding in Vol Mkts?

The new SEBI announcement (15.10.2024) w.r.t to position limits will add to the structural changes unfolding in the Options Markets. Position...

AceGama Advisors

EQD / NSE Vol Update / Skew & Smile Unmoved by Equity Selloff - Options Market Ill-Prepared for More

Options Markets see increased IV-levels post China-induced equities selloff. But market left ill-prepared for further downside as Smile & Skew...

AceGama Advisors

EQD / NSE Vol Update / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

Release of SEBI Board meeting (30.09.2024) for upheaval of the Options Market. Implications to Market Structure are massive. A few projections -...

AceGama Advisors

NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

The next rebalance of the Nifty family of indices takes place at the close on 27 Sep. The round-trip trade is US$3.3bn and there are 13 stocks with...

Brian Freitas

EQD / NSE Vol Update / IVs Ride the Fed Seesaw

IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

AceGama Advisors

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD / NSE Vol Update / ++Vol-Of-Vol & Unstable Vol-Regime. Structural Changes Unfolding in Vol Mkts?

The new SEBI announcement (15.10.2024) w.r.t to position limits will add to the structural changes unfolding in the Options Markets. Position...

AceGama Advisors

EQD / NSE Vol Update / Skew & Smile Unmoved by Equity Selloff - Options Market Ill-Prepared for More

​Options Markets see increased IV-levels post China-induced equities selloff. But market left ill-prepared for further downside as Smile & Skew...

AceGama Advisors

EQD / NSE Vol Update / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

Release of SEBI Board meeting (30.09.2024) for upheaval of the Options Market. Implications to Market Structure are massive. A few projections -...

AceGama Advisors

NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

The next rebalance of the Nifty family of indices takes place at the close on 27 Sep. The round-trip trade is US$3.3bn and there are 13 stocks with...

Brian Freitas

EQD / NSE Vol Update / IVs Ride the Fed Seesaw

​IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

AceGama Advisors

Options Markets see increased IV-levels post China-induced equities selloff. But market left ill-prepared for further downside as Smile & Skew...

IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...