In today’s briefing:
- EQD / NSE Vol Update / IVs Subdued in Spite of Weakening Equities. Skew Looks Overly Compressed.
EQD / NSE Vol Update / IVs Subdued in Spite of Weakening Equities. Skew Looks Overly Compressed.
- IVs steady in spite of significant drop in Indices. Nifty50 Monthly IVs flat at 12.7% & 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.
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