Head of Trading/ Partner, AceGama Advisors

Sankalp Singh

Head of Trading/ Partner

Proprietary Trading Desk

AceGama Advisors

Trading desk specializing in the Listed & OTC options strategies for risk management & investment purposes.

Event-Driven

The NIFTY 50 index is National Stock Exchange of India's benchmark stock market index for Indian equity market. Nifty is owned and managed by India Index Services and Products (IISL), which is a wholly owned subsidiary of the NSE Strategic Investment Corporation Limited.

<ul>
<li>Curtail Short Gamma &amp; Short Vega exposure as Vol-regime has switched to "High &amp; Up" state.  </li>
<li>Short-Dated IVs traded markedly lower, driven by recovering equities &amp; the 20-May market holiday</li>
<li>Nifty50 vol curve is exhibiting unusual kinked shape. Monthly IVs are commanding a large vol markup relative to rest of the curve. </li>
</ul>


Curtail Short Gamma &amp; Short Vega exposure as Vol-regime has switched to "High &amp; Up" state.  
Short-Dated IVs traded markedly lower, driven by recovering equities &amp; the 20-May market holiday
Nifty50 vol curve is exhibiting unusual kinked shape. Monthly IVs are commanding a large vol markup relative to rest of the curve. 


EQD / NSE Volatility Update / 13-May-24 to 17-May-24

<ul>
<li>Election-Related volatility being reflected in options. India VIX has surged 70% over the past two weeks. Quarterly IVs have seen the largest rise as they capture election result date.</li>
<li>BankNifty IVs are finally responding as the market plays catch up to the bank regulator's new-found aggressiveness</li>
<li>Elevated Vol-of-vol observed the past few weeks. Vol-regime Switching Model continues to point to "High &amp; Down" state. Odds of switching to a "High &amp; Up" state are increasing.</li>
</ul>


Election-Related volatility being reflected in options. India VIX has surged 70% over the past two weeks. Quarterly IVs have seen the largest rise as they capture election result date.
BankNifty IVs are finally responding as the market plays catch up to the bank regulator's new-found aggressiveness
Elevated Vol-of-vol observed the past few weeks. Vol-regime Switching Model continues to point to "High &amp; Down" state. Odds of switching to a "High &amp; Up" state are increasing.


EQD / NSE Volatility Update / 06-May-24 to 10-May-24

<ul>
<li>Implied Volatilities (IVs) have stabilized over the past few weeks &amp; look to be in the early stages of an uptrend. </li>
<li>Breakdown in Spot-Vol correlation - higher IVs at a time when Equity Indices are flirting with All-time-Highs.</li>
<li>Skew compression in BankNifty Options driven by call-buying on the break above 49000, further exacerbated by pre-election demand for June &amp; July expiries. </li>
</ul>


Implied Volatilities (IVs) have stabilized over the past few weeks &amp; look to be in the early stages of an uptrend. 
Breakdown in Spot-Vol correlation - higher IVs at a time when Equity Indices are flirting with All-time-Highs.
Skew compression in BankNifty Options driven by call-buying on the break above 49000, further exacerbated by pre-election demand for June &amp; July expiries. 


EQD / NSE Volatility Update / 29-Apr-24 to 03-May-24

<ul>
<li>SEBI extends cross-margining discounts to correlated assets with different maturities - Dispersion trading &amp; vol arb strategies to benefit. </li>
<li>In spite of upcoming tier-1 event risks the vol surface has flattened  dramatically. Current IV levels are supportive of a continued "High &amp; Down" vol state.</li>
<li>Curve steepening seen in Nifty50 IVs. Unusual kinked-shaped in BankNifty term structure has normalized - vol curve now has a uniform orientation.</li>
</ul>


SEBI extends cross-margining discounts to correlated assets with different maturities - Dispersion trading &amp; vol arb strategies to benefit. 
In spite of upcoming tier-1 event risks the vol surface has flattened  dramatically. Current IV levels are supportive of a continued "High &amp; Down" vol state.
Curve steepening seen in Nifty50 IVs. Unusual kinked-shaped in BankNifty term structure has normalized - vol curve now has a uniform orientation.


EQD / NSE Volatility Update / 22-Apr-24 to 26-Apr-24

<ul>
<li>Unprecedented levels of FII option-buying &amp; increasing geo-political risk causing IVs to re-price higher.</li>
<li>Skew/ Smile characteristics of the Vol Surface reflect increased risk aversion but not it panic mode - yet.</li>
<li>BankNifty IVs exhibiting unusual "kink-in-the-curve". Enter barbell structures to position for reversion in curve shape.</li>
</ul>


Unprecedented levels of FII option-buying &amp; increasing geo-political risk causing IVs to re-price higher.
Skew/ Smile characteristics of the Vol Surface reflect increased risk aversion but not it panic mode - yet.
BankNifty IVs exhibiting unusual "kink-in-the-curve". Enter barbell structures to position for reversion in curve shape.


EQD / NSE Volatility Update / 15-Apr-24 to 19-Apr-24