In today’s briefing:
- NIFTY200 Momentum30 Index Rebalance: 13 Changes, 42% Turnover, Momentum Recovers After Selloff
- EQD / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint
NIFTY200 Momentum30 Index Rebalance: 13 Changes, 42% Turnover, Momentum Recovers After Selloff
- There are 13 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 27 June.
- Estimated one-way turnover is 42.3% resulting in a one-way trade of INR 32bn (US$384m). There are 13 stocks with over 0.5x ADV to trade, mostly on the deletes.
- After steady outperformance over the last few months, there was a selloff in momentum names following the announcement of the election results. There has been a recovery since then.
EQD / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint
- IVs were crushed in the aftermath of Election results & in spite of lingering political instability & significant moves in RV.
- Vol-Regime Switching Model is holding at “High & Up” state. Probability of switching to “High & Down” state has increased significantly.
- Vol term structure is still in Backwardation – should transition to Contango as IV & RV drift lower.
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