In today’s briefing:
- EQD / NSE Vol Update / Regular Correlations Take Hold – Vols Drop as Market Soars
- Morning Views Asia: Greentown China, NagaCorp Ltd, Vedanta Resources, Yuexiu Property
EQD / NSE Vol Update / Regular Correlations Take Hold – Vols Drop as Market Soars
- Regular Spot-Vol Correlations reasserted – Implied Volatilities (IVs) traded lower as Equity Markets continued making new Highs.
- As expected, Vol-Regime Switching Model is stuck in “High & Down” state. IVs projected to grind lower over an elongated period.
- Changes in Vol term-structure + Skew/ Smile compression – indicative of reduced risk-premia for July-end India Budget event.
Morning Views Asia: Greentown China, NagaCorp Ltd, Vedanta Resources, Yuexiu Property
Lucror Analytics Morning Views comprise our fundamental credit analysis, opinions and trade recommendations on high yield issuers in the region, based on key company-specific developments in the past 24 hours. Our Morning Views include a section with a brief market commentary, key market indicators and a macroeconomic and corporate event calendar.
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