In today’s briefing:
- EQD / NSE NIFTY50 Vol Update / Vol Term-Structure Inverts as Front-End IVs Jump to 15.0%
EQD / NSE NIFTY50 Vol Update / Vol Term-Structure Inverts as Front-End IVs Jump to 15.0%
- Short-Date IVs reprice higher as active contract rolls over to 12.12.2024 expiry. Elevated risk-premia justified as contracts capture RBI rate decision & U.S. NFP event risks.
- Re-Pricing of front-end IVs has kicked Vol term-structure into Backwardation. Monthly & Quarterly IVs remain unchanged. Current Vol curve shape is at odds with improving sentiment in underlying Index.
- Strategic Implications: (1) Avoid Short Gamma exposure. (2) Continue allocation to Short Vega + Short Smile structures. (3) Look for Nifty50 trading range to stabilize as trigger for Skew harvesting.
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