In today’s briefing:
- EQD / NSE Volatility Update / 25-Mar-24 to 29-Mar-24
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EQD / NSE Volatility Update / 25-Mar-24 to 29-Mar-24
- On-The-Run Quarterly Options now capture India General Elections. Position buildup can be seen in the 21,000 put and 24,000 call strikes
- Weekly and Monthly contract risk premia being squeezed lower due to holiday shortened trading but Quarterly contracts exhibit vol richness
- Scale back short gamma exposure as reward-risk unappealing at current IV levels