bearish
EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State
AceGama has highlighted this Insight as a Top Pick
271 Views04 Nov 2024 01:23
Short-dated risk premia inflated due to U.S. election uncertainty. Consider long Gamma exposure through buying Straddles. Vol-curve has shifted from Contango to Backwardation.
What is covered in the Full Insight:
- Market Overview
- Event Risks
- Implied Volatilities & Vol Regime
- Option Chain Dynamics
- Strategy Trackers – Systematic Volatility Trading
Boomeranged on Tue, 5 Nov 2024 16:09
Event Risk Notice - MSCI Index Review (07.11.2024). HDFC Bank to receive weightage increase. $2 Bio inflows expected. Potential tier-1 event risk, given it is the largest component for both Nifty50 & BankNifty indices. Adding to an already event-heavy calendar - elevated IVs & inverted Vol-curve further justified. Nifty50 (Monthly IV: 15.6%) (25D RRs: -3.1%) (Wk v Mth vol-diff: +2.1%)
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