EQD / NSE Vol Update / Vols Focus on India-Specific News & Ignore Upcoming Global Macro Events

447 Views29 Jul 2024 14:36

Boomeranged on Fri, 2 Aug 2024 10:00

Post FOMC Event update. Indian Markets have continued their trend of higher Equity Indices as the Nifty50 has cleared the 25000 resistance. Short-dated IVs have found support & halted their slide - Weekly IVs are at 10.9%. Monthly IVs continue their slide, trading from 11.8% down to 11.3%.

SUMMARY

Implied Volatilities (IVs) sold off dramatically post Budget Event - in spite of weaker underlying indices. Larger break of trading ranges likely needed to stall the slide in IVs.
Wait-And-See approach to tactical decisions justified. Vol-Regime avoids a switch from “High & Down” state. Protracted grind lower in IVs projected.
Vol Surface Smile has compressed alongside lower IVs. Skew remains unaffected by change in IV levels. Vol Term-structure has flattened.

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