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

<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>Indian markets to implement T+0 settlement cycle starting 28-March-2024. Phase-wise transition planned .</li>
<li>Upcoming long weekends causing drastic markdown in IV levels. This combined with "High &amp; Down" vol regime - short gamma/ short vega trades recommended.  </li>
<li>Contango shape of Volatility curves are an additional reason to be short gamma &amp; earning theta</li>
</ul>


Indian markets to implement T+0 settlement cycle starting 28-March-2024. Phase-wise transition planned .
Upcoming long weekends causing drastic markdown in IV levels. This combined with "High &amp; Down" vol regime - short gamma/ short vega trades recommended.  
Contango shape of Volatility curves are an additional reason to be short gamma &amp; earning theta


EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-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

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)

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

IVs have surged due to election-related uncertainty. BankNifty options market finally responding to RBI aggression. Vol-of-vol is elevated but...

AceGama Advisors

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. Indian markets to shift to T+0 settlement cycle in ...

AceGama Advisors

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

End of the downtrend in IVs? Will Vol regime switch from "High & Down" to "High & Up"? Vol market seems to be at an inflection point with Election...

AceGama Advisors

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

Dispersion trading/ Vol arb to get a boost from new margin rules. Nifty50 vol surface flattens in-spite of major event risk & term structure...

AceGama Advisors

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

FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...

AceGama Advisors

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

IVs have surged due to election-related uncertainty. BankNifty options market finally responding to RBI aggression. Vol-of-vol is elevated but...

AceGama Advisors

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. ​Indian markets to shift to T+0 settlement cycle in ...

AceGama Advisors

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

End of the downtrend in IVs? Will Vol regime switch from "High & Down" to "High & Up"? Vol market seems to be at an inflection point with Election...

AceGama Advisors

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

Dispersion trading/ Vol arb to get a boost from new margin rules. Nifty50 vol surface flattens in-spite of major event risk & term structure...

AceGama Advisors

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

​FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...

AceGama Advisors

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. Indian markets to shift to T+0 settlement cycle in ...

FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...