In today’s briefing:
- EQD / NSE Vol Update / Vega Was Bid & Gamma Was Offered
- Morning Views Asia: HPCL-Mittal Energy Ltd, JSW Steel Ltd, Lenovo, Lippo Malls Indonesia Retail Trust
EQD / NSE Vol Update / Vega Was Bid & Gamma Was Offered
- IVs for Monthly & Quarterly contracts rose as options market baked in additional risk premia for the Budget Announcement.
- Vega bid & Gamma offered – Monthly IVs higher by +2.3 vols & Weekly IVs lower by -0.5 vols. Short-Dated IVs closed lower in spite of upcoming earnings events
- Term structure is trading with a kinked shape, with Monthly IVs trading at a markup to rest of the curve
Morning Views Asia: HPCL-Mittal Energy Ltd, JSW Steel Ltd, Lenovo, Lippo Malls Indonesia Retail Trust
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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