In today’s briefing:
- EQD / NSE Vol Update / IVs Marked Higher & Vol Curve Inverts … Its All About the Budget
- NIFTY MIDCAP150 Index Rebalance Preview: 14 Changes & Good Performance as Actives Start Trading
EQD / NSE Vol Update / IVs Marked Higher & Vol Curve Inverts … Its All About the Budget
- Weekly IVs marked significantly higher. Options demand returns post holiday-shortened week. Market focuses on 23.07.2024 Budget & Corporate Earnings announcements.
- Put-Call Ratio compression + Rising IVs indicative of call-buying activity. Significant Open-Interest buildup seen in 25000 calls.
- Vol Term-structure: Entire curve in Backwardation. Much of which can be attributed to the India Budget event. Curve expected to flatten out post event.
NIFTY MIDCAP150 Index Rebalance Preview: 14 Changes & Good Performance as Actives Start Trading
- With the review period nearing completion, there could be 14/15 changes for the NIFTY Midcap 150 Index at the September rebalance.
- Estimated one-way turnover is 8.2% resulting in a one-way trade of INR 6.6bn (US$79m). With US$38bn tracking the index actively, the impact on the stocks will be much larger.
- Performance of a long adds/short deletes trade was very good in March, and we could see a repeat over the next couple of months.
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