Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50 Index</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index</a>, CNXIT Index, Nifty Midcap 150 Index, Nifty100 Low Volatility30 Index and the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF</a> rebalance at the close tomorrow.</li>
<li>The round-trip trade across the indices is US$3.3bn and there are 13 stocks with over 1 day of ADV to trade from passive trackers.</li>
<li>Stocks with the largest inflows are <a href="https://www.smartkarma.com/entities/trent-ltd" target="_blank" data-smartkarma-citation="entities:8410:1" rel="noopener">Trent</a>, <a href="https://www.smartkarma.com/entities/bharat-electronics-ltd" target="_blank" data-smartkarma-citation="entities:6636:1" rel="noopener">Bharat Electronics</a>, <a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank</a>, <a href="https://www.smartkarma.com/entities/bharat-heavy-electricals" target="_blank" data-smartkarma-citation="entities:460:1" rel="noopener">Bharat Heavy Electricals</a>, <a href="https://www.smartkarma.com/entities/oil-natural-gas-corp-ltd" target="_blank" data-smartkarma-citation="entities:3456:1" rel="noopener">Oil &amp; Natural Gas Corp</a>, <a href="https://www.smartkarma.com/entities/coal-india-ltd" target="_blank" data-smartkarma-citation="entities:9117:1" rel="noopener">Coal India</a>, <a href="https://www.smartkarma.com/entities/hindustan-aeronautics-ltd" target="_blank" data-smartkarma-citation="entities:26747:1" rel="noopener">Hindustan Aeronautics</a> and <a href="https://www.smartkarma.com/entities/interglobe-aviation-ltd" target="_blank" data-smartkarma-citation="entities:24877:1" rel="noopener">InterGlobe Aviation</a>.</li>
</ul>


The NIFTY Index, Nifty Next 50 Index, NSE Nifty Bank Index, CNXIT Index, Nifty Midcap 150 Index, Nifty100 Low Volatility30 Index and the CPSE ETF rebalance at the close tomorrow.
The round-trip trade across the indices is US$3.3bn and there are 13 stocks with over 1 day of ADV to trade from passive trackers.
Stocks with the largest inflows are Trent, Bharat Electronics, Canara Bank, Bharat Heavy Electricals, Oil &amp; Natural Gas Corp, Coal India, Hindustan Aeronautics and InterGlobe Aviation.


NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

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.

Equity Derivatives

<ul>
<li>IVs seesawed through the week on account of the Fed meeting. Trading up to 12.7% going into the meeting &amp; selling-off to 11.4% thereafter.</li>
<li>Vol-Curve Term-structure in Contango post Fed meeting - Nifty50 vol curve sheds its inversion &amp; BankNifty vol curve loses its kinked-shape</li>
<li>BankNifty Smile &amp; Skew characteristics extend relative to previous weeks - despite falling IVs &amp; strengthening index.</li>
</ul>


IVs seesawed through the week on account of the Fed meeting. Trading up to 12.7% going into the meeting &amp; selling-off to 11.4% thereafter.
Vol-Curve Term-structure in Contango post Fed meeting - Nifty50 vol curve sheds its inversion &amp; BankNifty vol curve loses its kinked-shape
BankNifty Smile &amp; Skew characteristics extend relative to previous weeks - despite falling IVs &amp; strengthening index.


EQD / NSE Vol Update / IVs Ride the Fed Seesaw

<ul>
<li>IVs traded lower as risk sentiment received a boost. Markdown in risk-premia confirms earlier premise that the early-September Vol-spike was a seasonality driven event</li>
<li>Vol-Curve Term-structure going into the Fed meeting - Slightly inverted for Nifty50 options &amp; exhibiting V-shape kinked curve for BankNifty options</li>
<li>Volatility Regime Model for BankNifty has switched to "Low &amp; Down", while Nifty50 options retain their "High &amp; Down" vol-state. </li>
</ul>


IVs traded lower as risk sentiment received a boost. Markdown in risk-premia confirms earlier premise that the early-September Vol-spike was a seasonality driven event
Vol-Curve Term-structure going into the Fed meeting - Slightly inverted for Nifty50 options &amp; exhibiting V-shape kinked curve for BankNifty options
Volatility Regime Model for BankNifty has switched to "Low &amp; Down", while Nifty50 options retain their "High &amp; Down" vol-state. 


EQD / NSE Vol Update / As Suspected ... Risk-Premia Unable to Hold Its Bid

<ul>
<li>Late week Equity weakness pulled IVs off Summer Lows - IVs back at 14.0%. A dose of skepticism is required, given End-of-Summer Seasonality effect. </li>
<li>PCR drops to 0.92 &amp; put-strike OI looks weak as weekly expiry rolls to 12.09 date - likely contributing to index's inability to hold support levels.  </li>
<li>Vol-Regime Switching Model held back from switching to Low-Vol state, highlighting sticky nature of "High &amp; Down" Vol-state. Retain Short Vega &amp; Skew-selling bias.</li>
</ul>


Late week Equity weakness pulled IVs off Summer Lows - IVs back at 14.0%. A dose of skepticism is required, given End-of-Summer Seasonality effect. 
PCR drops to 0.92 &amp; put-strike OI looks weak as weekly expiry rolls to 12.09 date - likely contributing to index's inability to hold support levels.  
Vol-Regime Switching Model held back from switching to Low-Vol state, highlighting sticky nature of "High &amp; Down" Vol-state. Retain Short Vega &amp; Skew-selling bias.


EQD / NSE Vol Update / IVs Move Higher as Equities Falter. End-Of-Summer Seasonality at Play?

<ul>
<li>Recovery in Risk-Premia was short-lived. Pressure from a lack of upcoming event-risk has driven short-dated IVs lower.</li>
<li>Nifty50 at All-Time-Highs - PCR &amp; Skew extend further towards puts. Implying active hedging of core long equity positions using OTM puts. </li>
<li>"High &amp; Down" Vol-state persists. Expect a continued slide lower in IVs. Retain previous week's tactical stance - allocations to Short Iron Condors &amp; Skew Harvesting structures.   </li>
</ul>


Recovery in Risk-Premia was short-lived. Pressure from a lack of upcoming event-risk has driven short-dated IVs lower.
Nifty50 at All-Time-Highs - PCR &amp; Skew extend further towards puts. Implying active hedging of core long equity positions using OTM puts. 
"High &amp; Down" Vol-state persists. Expect a continued slide lower in IVs. Retain previous week's tactical stance - allocations to Short Iron Condors &amp; Skew Harvesting structures.   


EQD / NSE Vol Update / Skew & PCR Indicate Active Use of OTM Puts to Hedge NIFTY50 at All-Time-Highs

India

Nifty Bank Index is a free-float capitalization-weighted index comprised of the most liquid and large capitalized Indian Banking stocks. The index will have 12 stocks from the banking sector, which trade on the National Stock Exchange. The index was developed with a base value of 1000 as of January 1, 2000.

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

The next rebalance of the Nifty family of indices takes place at the close on 27 Sep. The round-trip trade is US$3.3bn and there are 13 stocks with...

Brian Freitas

EQD / NSE Vol Update / IVs Ride the Fed Seesaw

IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

AceGama Advisors

EQD / NSE Vol Update / As Suspected ... Risk-Premia Unable to Hold Its Bid

IVs lower as risk sentiment improves; Volatility regime shifts to "Low & Down" for BankNifty, "High & Down" retained for Nifty50 options. Fed...

AceGama Advisors

EQD / NSE Vol Update / IVs Move Higher as Equities Falter. End-Of-Summer Seasonality at Play?

IVs higher to 14% as Equities falter. Is it end-of-summer seasonality? Low PCR & Put-strike OI contributing to Index struggles.

AceGama Advisors

EQD / NSE Vol Update / Skew & PCR Indicate Active Use of OTM Puts to Hedge NIFTY50 at All-Time-Highs

Nifty50 held supports & recovered in the face of a decent Global Equities sell-off. As highlighted in the update, the PCR & Skew of the options...

AceGama Advisors

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

The next rebalance of the Nifty family of indices takes place at the close on 27 Sep. The round-trip trade is US$3.3bn and there are 13 stocks with...

Brian Freitas

EQD / NSE Vol Update / IVs Ride the Fed Seesaw

​IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

AceGama Advisors

EQD / NSE Vol Update / As Suspected ... Risk-Premia Unable to Hold Its Bid

​IVs lower as risk sentiment improves; Volatility regime shifts to "Low & Down" for BankNifty, "High & Down" retained for Nifty50 options. Fed...

AceGama Advisors

EQD / NSE Vol Update / IVs Move Higher as Equities Falter. End-Of-Summer Seasonality at Play?

IVs higher to 14% as ​Equities falter. Is it end-of-summer seasonality? Low PCR & Put-strike OI contributing to Index struggles.

AceGama Advisors

EQD / NSE Vol Update / Skew & PCR Indicate Active Use of OTM Puts to Hedge NIFTY50 at All-Time-Highs

Nifty50 held supports & recovered in the face of a decent Global Equities sell-off. As highlighted in the update, the PCR & Skew of the options...

AceGama Advisors

IVs fluctuated through the week, peaking at 12.7% before dropping to 11.4%. Vol Term-structure normalized post Fed-meeting. BankNifty Smile & Skew...

IVs lower as risk sentiment improves; Volatility regime shifts to "Low & Down" for BankNifty, "High & Down" retained for Nifty50 options. Fed...

IVs higher to 14% as Equities falter. Is it end-of-summer seasonality? Low PCR & Put-strike OI contributing to Index struggles.