Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Equity Derivatives

<ul>
<li>Implied vols adjusted downward by 3 points and now at 33rd percentile over the past year as Nifty ekes out a 40 bp gain.</li>
<li>Seasonal trends not favorable for Nifty in the 2nd half of the month.</li>
<li>Expect that vol down / spot up will re-assert itself with implied vols having normalized.</li>
</ul>


Implied vols adjusted downward by 3 points and now at 33rd percentile over the past year as Nifty ekes out a 40 bp gain.
Seasonal trends not favorable for Nifty in the 2nd half of the month.
Expect that vol down / spot up will re-assert itself with implied vols having normalized.


EQD | Nifty Index Options Weekly (January 20 – 24): Implied Vol Normalizes

<ul>
<li>December seasonals across major markets show a generally positive profile, but the path is uneven, with most gains clustering in the final days of the month.</li>
<li>Several markets offer appealing vol selling setups, particularly those with consistently positive December vol premiums and elevated implied levels relative to past outcomes.</li>
<li>Nifty vol appears attractively priced, but its tendency not to monetize in December requires traders to think differently about how they extract value.</li>
</ul>


December seasonals across major markets show a generally positive profile, but the path is uneven, with most gains clustering in the final days of the month.
Several markets offer appealing vol selling setups, particularly those with consistently positive December vol premiums and elevated implied levels relative to past outcomes.
Nifty vol appears attractively priced, but its tendency not to monetize in December requires traders to think differently about how they extract value.


Macro Monthly (December): Seasonal Strength, Vol Selling Edges and a Notable Nifty Setup

<ul>
<li>Nifty has been in a prolonged downtrend, currently 4 months in duration and clipping 10.3% off the index. This is the second longest decline since 2007.</li>
<li>When looked at vs the extent of this decline, implied vol is at the bottom of its historical range and historic vol also quietest in a down-move since 2007.</li>
<li>Implied vol is trading at or above peak levels seen on historic vol since the decline started and implied remains negatively correlated to movements in spot.</li>
</ul>


Nifty has been in a prolonged downtrend, currently 4 months in duration and clipping 10.3% off the index. This is the second longest decline since 2007.
When looked at vs the extent of this decline, implied vol is at the bottom of its historical range and historic vol also quietest in a down-move since 2007.
Implied vol is trading at or above peak levels seen on historic vol since the decline started and implied remains negatively correlated to movements in spot.


EQD | Nifty Index Options Weekly (Jan 24 – 31): Second Longest Decline Since 2007

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.

<ul>
<li>Monthly Options contracts experiencing large IV markups on account of India Budget event. IVs have traded up to 18.0%. YTD vol increase marks a significant shift in the Vol-regime.</li>
<li>Gamma offered &amp; Vega bid - Weekly Options contracts relatively out-of-favour while Monthly &amp; Quarterly contracts are being marked up.</li>
<li>Skew &amp; Smile characteristics have compressed slightly. Vol term-structure continues to trade with "inverted-V" shape. </li>
</ul>


Monthly Options contracts experiencing large IV markups on account of India Budget event. IVs have traded up to 18.0%. YTD vol increase marks a significant shift in the Vol-regime.
Gamma offered &amp; Vega bid - Weekly Options contracts relatively out-of-favour while Monthly &amp; Quarterly contracts are being marked up.
Skew &amp; Smile characteristics have compressed slightly. Vol term-structure continues to trade with "inverted-V" shape. 


EQD / NSE NIFTY50 Vol Update / India Budget Event Dominates Local Options Markets.

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> implied volatility could be seen as rich when compared to its own history and in comparison to realized volatility.</li>
<li>Putting implied volatility into context with <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> market levels and trends will lead to a different conclusion. Implied volatility is not nearly as rich as conventional measures suggest.</li>
<li>This Insight provides a quantitative indication at which price implied volatility can be assessed as rich, given current relative index levels.</li>
</ul>



NIFTY Index implied volatility could be seen as rich when compared to its own history and in comparison to realized volatility.
Putting implied volatility into context with NIFTY Index market levels and trends will lead to a different conclusion. Implied volatility is not nearly as rich as conventional measures suggest.
This Insight provides a quantitative indication at which price implied volatility can be assessed as rich, given current relative index levels.


EQD | Nifty 50 Option Strategy - Implied Volatility Is Not as Rich as It Seems

India

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.

NIFTY Index (NIFTY INDEX)

EQD | Nifty Index Options Weekly (January 20 – 24): Implied Vol Normalizes

Implied vols for Nifty adjusted down, now at 33rd percentile over past year as market sees slight gain. Seasonal trends not favorable for 2nd half...

John Ley

Macro Monthly (December): Seasonal Strength, Vol Selling Edges and a Notable Nifty Setup

December’s uneven but historically positive pattern sets the backdrop, with several markets offering strong vol selling edges and Nifty presenting...

John Ley

EQD | Nifty Index Options Weekly (Jan 24 – 31): Second Longest Decline Since 2007

Nifty index experiencing second longest decline since 2007, with implied and historic volatility at low levels for a down move of this duration.

John Ley

EQD / NSE NIFTY50 Vol Update / India Budget Event Dominates Local Options Markets.

Pre-Budget Update: 01.02.2025 (Saturday) announced as special trading session. First full budget release for the Modi 3.0 Govt. Options markets...

AceGama Advisors

EQD | Nifty 50 Option Strategy - Implied Volatility Is Not as Rich as It Seems

Implied volatility of the Nifty 50 Index may seem rich historically, but when compared to market levels, it's not as high as it appears.

Gaudenz Schneider

EQD | Nifty Index Options Weekly (January 20 – 24): Implied Vol Normalizes

​Implied vols for Nifty adjusted down, now at 33rd percentile over past year as market sees slight gain. Seasonal trends not favorable for 2nd half...

John Ley

Macro Monthly (December): Seasonal Strength, Vol Selling Edges and a Notable Nifty Setup

December’s uneven but historically positive pattern sets the backdrop, with several markets offering strong vol selling edges and Nifty presenting...

John Ley

EQD | Nifty Index Options Weekly (Jan 24 – 31): Second Longest Decline Since 2007

​Nifty index experiencing second longest decline since 2007, with implied and historic volatility at low levels for a down move of this duration.

John Ley

EQD / NSE NIFTY50 Vol Update / India Budget Event Dominates Local Options Markets.

Pre-Budget Update: 01.02.2025 (Saturday) announced as special trading session. First full budget release for the Modi 3.0 Govt. Options markets...

AceGama Advisors

EQD | Nifty 50 Option Strategy - Implied Volatility Is Not as Rich as It Seems

​Implied volatility of the Nifty 50 Index may seem rich historically, but when compared to market levels, it's not as high as it appears.

Gaudenz Schneider

Implied vols for Nifty adjusted down, now at 33rd percentile over past year as market sees slight gain. Seasonal trends not favorable for 2nd half...

Nifty index experiencing second longest decline since 2007, with implied and historic volatility at low levels for a down move of this duration.

Implied volatility of the Nifty 50 Index may seem rich historically, but when compared to market levels, it's not as high as it appears.