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NIFTY Index

EQD / NSE Vol Update / Vols Bogged Down by Holiday Shortened Week in Spite of Upcoming Event Risks

347 Views30 Sep 2024 01:49
IVs drop below 11.0% despite event-risks. Vol-Regime switches to "Low & Down" state. IV sell-off driving Vol Term-Structure into Contango, compressing Smile & Skew characteristics.
What is covered in the Full Insight:
  • Market Overview
  • Implied Volatilities & Vol Regime
  • Option Chain Dynamics
  • NSE NIFTY50
  • NSE BANKNIFTY
  • Strategy Trackers – Systematic Volatility Trading
Boomeranged on Wed, 2 Oct 2024 17:06
Release of SEBI Board meeting (30.09.2024) for upheaval of the Options Market. Implications to Market Structure are massive. A few projections - (1) 30%+ drop in volumes estimated by analysts, (2) many retail traders will be locked out by the increased lot sizes, (3) single weekly expiry mandate will kill the 0-DTE game. More details in the discussion section.
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