EQD / NSE Vol Update / Options Mkt. Structural Changes Incoming: 15x Position Limits + 3x Lot Size

359 Views21 Oct 2024 02:00

Boomeranged on Wed, 23 Oct 2024 01:15

Nifty50 Index has traded decisively below 25000 level. IVs have responded as a result, taking the entire Vol Surface uniformly higher. Weekly IVs have gone from 10.3% to 13.5% & Monthly IVs from 11.9% to 14.5%. Higher IVs, though, have not translated to extensions in Skew or Smile. Term-structure also continues to trade in Contango, indicating an orderly market so far.

SUMMARY

SEBI-Mandated structural changes continue to percolate through for Options Markets. Position limits & lot sizes have been increased drastically, tilting regulations away from Retail & towards more Institutional participation.
IV levels are in the middle of their 12-month ranges. Vol-Regime Model currently in "High & Down" state - grind lower in IVs projected.
In spite of a stronger underlying index, upcoming Bank earnings results have supported BankNifty IVs.

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