EQD / NSE Vol Update / Coffee Boost for Sleepy Vol Mkts as Risk Sentiment Sours into the Weekend

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377 Views05 Aug 2024 02:21

Boomeranged on Fri, 9 Aug 2024 01:06

Market Riks Aversion has paused. As expected OI build-up of 24000 puts worked as decent Support-level for Nifty50. With Vol-state in "High & Up" - look to take advantage of higher IV-levels to establish Short Gamma & Short Vega positions.

SUMMARY

Implied Volatilities (IVs) fell post-FOMC, but reversed course as market sentiment worsened late -week. IV-jump expected as Indian markets catch up to Friday's U.S. price action
Vol-Regime Model still in a "High & Down" vol state. Will switch if large IV change on the open. Short Vega & Risk-Reversal positions will need to be reevaluated.
Low PCR, OI call bias & Skew compression: All point to unguarded downside in Nifty50. Next stop 24000.

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