In today’s briefing:
- EQD / NSE Vol Update / IVs Move Higher as Equities Falter. End-Of-Summer Seasonality at Play?
EQD / NSE Vol Update / IVs Move Higher as Equities Falter. End-Of-Summer Seasonality at Play?
- Late week Equity weakness pulled IVs off Summer Lows – IVs back at 14.0%. A dose of skepticism is required, given End-of-Summer Seasonality effect.
- PCR drops to 0.92 & put-strike OI looks weak as weekly expiry rolls to 12.09 date – likely contributing to index’s inability to hold support levels.
- Vol-Regime Switching Model held back from switching to Low-Vol state, highlighting sticky nature of “High & Down” Vol-state. Retain Short Vega & Skew-selling bias.
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