AceGama Advisors

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

Proprietary Trading Desk

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

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 / IVs Oscillate  - Reacting First To MSCI-HDFC News & Later to U.S. Inflation

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

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>Late week Equity weakness pulled IVs off Summer Lows - IVs back at 14.0%. A dose of skepticism is required, given End-of-Summer Seasonality effect. </li>
<li>PCR drops to 0.92 &amp; put-strike OI looks weak as weekly expiry rolls to 12.09 date - likely contributing to index's inability to hold support levels.  </li>
<li>Vol-Regime Switching Model held back from switching to Low-Vol state, highlighting sticky nature of "High &amp; Down" Vol-state. Retain Short Vega &amp; Skew-selling bias.</li>
</ul>


Late week Equity weakness pulled IVs off Summer Lows - IVs back at 14.0%. A dose of skepticism is required, given End-of-Summer Seasonality effect. 
PCR drops to 0.92 &amp; put-strike OI looks weak as weekly expiry rolls to 12.09 date - likely contributing to index's inability to hold support levels.  
Vol-Regime Switching Model held back from switching to Low-Vol state, highlighting sticky nature of "High &amp; Down" Vol-state. Retain Short Vega &amp; Skew-selling bias.


NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

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

NIFTY Index

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