In today’s briefing:
- EQD / NSE Volatility Update / 06-May-24 to 10-May-24
EQD / NSE Volatility Update / 06-May-24 to 10-May-24
- Election-Related volatility being reflected in options. India VIX has surged 70% over the past two weeks. Quarterly IVs have seen the largest rise as they capture election result date.
- BankNifty IVs are finally responding as the market plays catch up to the bank regulator’s new-found aggressiveness
- Elevated Vol-of-vol observed the past few weeks. Vol-regime Switching Model continues to point to “High & Down” state. Odds of switching to a “High & Up” state are increasing.
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