AceGama Advisors

Trading desk specializing in the Listed & OTC options strategies for risk management & investment purposes.

Proprietary Trading Desk

EQD / NSE Vol Update / IVs Finally Respond to Mkt. Forces as Holidays Drop off the Calendar

EQD / NSE Vol Update / Front-End IVs Battered as Wkly. Expiry Date Misses Out on Tier-1 Event Risks.

EQD / NSE NIFTY50 Vol Update / Vol Term-Structure Inverts as Front-End IVs Jump to 15.0%

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

Head of Trading/ Partner, AceGama Advisors

Sankalp Singh

Head of Trading/ Partner

Event-Driven

<ul>
<li>IVs guided lower as Inflation data furthers expectations of easier monetary policy. Weekly IVs lower by -3.3 vols, Monthly IVs lower by -1.6 vols &amp; Quarterly IVs remained unaffected.</li>
<li>IV mark-down seems overdone given the heavy upcoming event-risk calendar. Weekly contracts capture the 18.12.2024 FOMC meeting. </li>
<li>Strategic Implications: (1) Consider Long Gamma positioning given upcoming event risk &amp; IV markdown (2) Retain Short Vega allocations while Monthly IVs still above 10.5%.</li>
</ul>


IVs guided lower as Inflation data furthers expectations of easier monetary policy. Weekly IVs lower by -3.3 vols, Monthly IVs lower by -1.6 vols &amp; Quarterly IVs remained unaffected.
IV mark-down seems overdone given the heavy upcoming event-risk calendar. Weekly contracts capture the 18.12.2024 FOMC meeting. 
Strategic Implications: (1) Consider Long Gamma positioning given upcoming event risk &amp; IV markdown (2) Retain Short Vega allocations while Monthly IVs still above 10.5%.


EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

NIFTY Index

EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk