EQD / NSE Vol Update / Controlled Detonation in Vols - Initial Jump Followed by Calmer Levels

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282 Views12 Aug 2024 14:22

Boomeranged on Wed, 14 Aug 2024 11:13

MSCI's decides to split HDFC Bank's re-weighting between August & November 2024. HDFC Bank down -3.5% as a result, dragging BankNifty & Nifty50 indices lower with it. BankNifty IVs go bid as a result - Weekly IVs up from 15.5% to 17.0% & Monthly IVs from 15.6% to 16.7%.

SUMMARY

IVs move higher in a controlled manner relative to U.S. markets. Combination of technical factors put a dampener on the Options Markets & IV turn lower by Week's end.
Many determining factors underwent changes in Vol-Regime Model - but threshold to switch out of "High & Down" state not achieved.
Smile & Skew characteristics blow out significantly on the open but settle at lower levels by week's close.

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