In today’s briefing:
- EQD / NSE Vol Update / ++Vol-Of-Vol & Unstable Vol-Regime. Structural Changes Unfolding in Vol Mkts?
- EQD | Long Nifty 50 Vs. Short Nikkei 225 – A Relative Value Option Strategy with a Kicker
- Hyundai Motor India IPO: Valuation Insights
EQD / NSE Vol Update / ++Vol-Of-Vol & Unstable Vol-Regime. Structural Changes Unfolding in Vol Mkts?
- Options Markets expected risk sentiment to deteriorate further – IVs were elevated. But lack of RV follow through caused sharp markdowns, especially for short-dated contracts.
- Increased Vol-of-vol has triggered multiple switches in Vol Regime Model – currently in “High & Down” vol-state. Multiple state-switches indicative of unfolding structural changes in Vol Markets.
- Smile looking overly compressed in Monthly & Quarterly contracts as OTM Strangles trade close to par with ATMs.
EQD | Long Nifty 50 Vs. Short Nikkei 225 – A Relative Value Option Strategy with a Kicker
- This strategy exploits relative value in implied volatilities and combines it with a long Nifty 50 vs. short Nikkei 225 directional view over a period of two months.
- The strategy performs well if the Nifty 50 rises and outperforms the Nikkei 225. If both indices decline, neither profit nor loss is incurred.
- Leverage increases both the strategy’s payoff and probability of success.
Hyundai Motor India IPO: Valuation Insights
- Hyundai Motor India (1342Z IN), a subsidiary of Hyundai Motor (005385 KS), aims to raise up to US$3.3 billion at a valuation of US$19 billion.
- We previously discussed the IPO in Hyundai Motor India IPO: The Bull Case, Hyundai Motor India IPO: The Bear Case and Hyundai Motor India IPO: The Investment Case.
- Our valuation analysis suggests that the IPO price range of Rs1,865-1,960 per share is attractive. Therefore, we would participate in the IPO.
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