AceGama Advisors

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

Proprietary Trading Desk

EQD / NSE Vol Update / IVs Ride the Fed Seesaw

EQD / NSE Vol Update / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

EQD / NSE Vol Update / Smile & Skew Compress as Vols Trade to New Summer Lows

EQD / NSE Vol Update / IVs Move Higher as Equities Falter. End-Of-Summer Seasonality at Play?

EQD / NSE Vol Update / Skew & PCR Indicate Active Use of OTM Puts to Hedge NIFTY50 at All-Time-Highs

Head of Trading/ Partner, AceGama Advisors

Sankalp Singh

Head of Trading/ Partner

Event-Driven

<ul>
<li>IVs traded lower as risk sentiment received a boost. Markdown in risk-premia confirms earlier premise that the early-September Vol-spike was a seasonality driven event</li>
<li>Vol-Curve Term-structure going into the Fed meeting - Slightly inverted for Nifty50 options &amp; exhibiting V-shape kinked curve for BankNifty options</li>
<li>Volatility Regime Model for BankNifty has switched to "Low &amp; Down", while Nifty50 options retain their "High &amp; Down" vol-state. </li>
</ul>


IVs traded lower as risk sentiment received a boost. Markdown in risk-premia confirms earlier premise that the early-September Vol-spike was a seasonality driven event
Vol-Curve Term-structure going into the Fed meeting - Slightly inverted for Nifty50 options &amp; exhibiting V-shape kinked curve for BankNifty options
Volatility Regime Model for BankNifty has switched to "Low &amp; Down", while Nifty50 options retain their "High &amp; Down" vol-state. 


NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

EQD / NSE Vol Update / As Suspected ... Risk-Premia Unable to Hold Its Bid

NIFTY Index

EQD / NSE Vol Update / As Suspected ... Risk-Premia Unable to Hold Its Bid