AceGama Advisors

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

Proprietary Trading Desk

EQD | NIFTY 50 (NIFTY INDEX) - Capped Risk Reversal and Other Option Opportunities

EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

EQD / NSE Vol Update / Risk Premia Marked Down as Tier1 Event Risks Drop off the Calendar

EQD / NSE Vol Update / IVs Subdued in Spite of Weakening Equities. Skew Looks Overly Compressed.

EQD | Dropping NIFTY 50 Could Find Support Very Soon

Head of Trading/ Partner, AceGama Advisors

Sankalp Singh

Head of Trading/ Partner

Event-Driven

<ul>
<li>IVs trade higher in spite of a late-week recovery in equities. Negative correlation between Index &amp; option premiums reasserted as multiple holidays fall off the calendar.    </li>
<li>Vol-Regime Switching Model firmly lodged in "High &amp; Down" state. Allocation to Iron Condors/ Iron Butterflies recommended.   </li>
<li>Vol surface characteristics also reflecting increased risk premia - Skew extends away from overly compressed levels. Vol term structure swings from Contango to Backwardation.</li>
</ul>


IVs trade higher in spite of a late-week recovery in equities. Negative correlation between Index &amp; option premiums reasserted as multiple holidays fall off the calendar.    
Vol-Regime Switching Model firmly lodged in "High &amp; Down" state. Allocation to Iron Condors/ Iron Butterflies recommended.   
Vol surface characteristics also reflecting increased risk premia - Skew extends away from overly compressed levels. Vol term structure swings from Contango to Backwardation.


NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

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

NIFTY Index

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