EQD / NSE Vol Update / ++Vol-Of-Vol & Unstable Vol-Regime. Structural Changes Unfolding in Vol Mkts?

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508 Views14 Oct 2024 01:23

Boomeranged on Wed, 16 Oct 2024 10:17

The new SEBI announcement (15.10.2024) w.r.t to position limits will add to the structural changes unfolding in the Options Markets. Position limits for the derivatives segment has now been increased to 15% of Total OI.

SUMMARY

Options Markets expected risk sentiment to deteriorate further - IVs were elevated. But lack of RV follow through caused sharp markdowns, especially for short-dated contracts.
Increased Vol-of-vol has triggered multiple switches in Vol Regime Model - currently in "High & Down" vol-state. Multiple state-switches indicative of unfolding structural changes in Vol Markets.
Smile looking overly compressed in Monthly & Quarterly contracts as OTM Strangles trade close to par with ATMs.

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