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>India Budget on 01.02.2025 driving price-action in the Options Market. Monthly IVs marked up at 17.0% as contracts cover event-risk. Vol Regime Model pushed into "High &amp; Up" state.</li>
<li>Vol term-structure bent into kinked-shape due to India Budget date. Skew characteristics are elevated while Smile largely unchanged with the exception of Monthly 10-Delta Strangles.</li>
<li>Trading Strategy Implications: (1) Switch to "High &amp; Up" vol-state triggers a cutback in Short Gamma &amp; Short Vega exposure. (2) Vol-barbell opportunity due to the kinked-shape of the Vol-curve. </li>
</ul>


India Budget on 01.02.2025 driving price-action in the Options Market. Monthly IVs marked up at 17.0% as contracts cover event-risk. Vol Regime Model pushed into "High &amp; Up" state.
Vol term-structure bent into kinked-shape due to India Budget date. Skew characteristics are elevated while Smile largely unchanged with the exception of Monthly 10-Delta Strangles.
Trading Strategy Implications: (1) Switch to "High &amp; Up" vol-state triggers a cutback in Short Gamma &amp; Short Vega exposure. (2) Vol-barbell opportunity due to the kinked-shape of the Vol-curve. 


EQD / NSE NIFTY50 Vol Update / India Budget Event Is Driving Price-Action in the Options Market

<ul>
<li>IVs jump early as sentiment soured, but trailed off through the week as underlying markets held support zones. Vol-Regime Model retains "High &amp; Down" state.</li>
<li>Skew &amp; Smile unchanged over the week in spite of the rollercoaster ride in IVs. Term-structure experienced to-and-fro swings.    </li>
<li>Trading Strategy Implications: Iron Condor/ Butterfly structures to be continued as long as regime model indicates "High &amp; Down" vol state. </li>
</ul>


IVs jump early as sentiment soured, but trailed off through the week as underlying markets held support zones. Vol-Regime Model retains "High &amp; Down" state.
Skew &amp; Smile unchanged over the week in spite of the rollercoaster ride in IVs. Term-structure experienced to-and-fro swings.    
Trading Strategy Implications: Iron Condor/ Butterfly structures to be continued as long as regime model indicates "High &amp; Down" vol state. 


EQD / NSE NIFTY50 Vol Update / IVs Jump on HMPV Scare Then Grind Lower as Mkts Hold Support.

<ul>
<li>IVs higher alongside the underlying index. Weekly expiry (02.01.2025) served as the inflection point sending IVs back down. Monthly IVs: 12.7% (Open) -&gt; 14.4% (02.01.2025) -&gt; 13.3% (Close).</li>
<li>Vol Term-structure swung between Contango &amp; Backwardation around expiry date. Skew in Monthly contracts compressed as IVs moved higher. Smile unchanged. </li>
<li>
 Trading Strategy Implications: Reengage Smile/ Vega harvesting structures. Abandon wait-and-watch stance - "High &amp; Down" vol state confirmed. </li>
</ul>


IVs higher alongside the underlying index. Weekly expiry (02.01.2025) served as the inflection point sending IVs back down. Monthly IVs: 12.7% (Open) -&gt; 14.4% (02.01.2025) -&gt; 13.3% (Close).
Vol Term-structure swung between Contango &amp; Backwardation around expiry date. Skew in Monthly contracts compressed as IVs moved higher. Smile unchanged. 

 Trading Strategy Implications: Reengage Smile/ Vega harvesting structures. Abandon wait-and-watch stance - "High &amp; Down" vol state confirmed. 


EQD / NSE NIFTY50 Vol Update / High & Down Vol State Confirmed. Greenlight for Selling Smile/ Vega.

Derivatives and Quantitative Strategist

Gaudenz Schneider

Index Rebalance

<ul>
<li>Timing expiration, assessing volatility, and managing event risk are crucial for effective option trades.</li>
<li>Exchange holidays, expiries, central bank rate decisions, and index changes can significantly impact volatility and market direction.</li>
<li>The attached document provides key dates to help navigate the complexities of option trading in Australia, Hong Kong, India, Japan, South Korea, and the USA.
</li>
</ul>


Timing expiration, assessing volatility, and managing event risk are crucial for effective option trades.
Exchange holidays, expiries, central bank rate decisions, and index changes can significantly impact volatility and market direction.
The attached document provides key dates to help navigate the complexities of option trading in Australia, Hong Kong, India, Japan, South Korea, and the USA.



2025 Essential Calendar for Option Traders in Asia: Key Dates & Insights

<ul>
<li>Nifty50 trading range was stable over the holiday shortened week. Option Markets responded accordingly, risk-premia was marked down. Monthly IV: 15.0% -&gt; 11.5%.</li>
<li>Vol-Regime has switched back to "High &amp; Down" state. Wait-and-watch approach recommended given year-end effects.. </li>
<li>IV selloff has pushed entirety of term-structure into Contango. Skew has extended while Smile has compressed. Smile compression most notable in Monthly 10D Strangles. </li>
</ul>


Nifty50 trading range was stable over the holiday shortened week. Option Markets responded accordingly, risk-premia was marked down. Monthly IV: 15.0% -&gt; 11.5%.
Vol-Regime has switched back to "High &amp; Down" state. Wait-and-watch approach recommended given year-end effects.. 
IV selloff has pushed entirety of term-structure into Contango. Skew has extended while Smile has compressed. Smile compression most notable in Monthly 10D Strangles. 


EQD / NSE NIFTY50 Vol Update / Stable Index Causes Risk-Premia Markdown.

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 / NSE NIFTY50 Vol Update / India Budget Event Is Driving Price-Action in the Options Market

IV Update: Option Market remains hyper-focused on the 01.02.2025 India Budget date, pushing IVs for 06.02.2025 expiry contracts even higher to...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / IVs Jump on HMPV Scare Then Grind Lower as Mkts Hold Support.

Event Risk/ IV Update: Monthly-expiry contracts have rolled over to the 06.02.2024 date, which now covers the Indian Budget event-risk (01.02.2024 ...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / High & Down Vol State Confirmed. Greenlight for Selling Smile/ Vega.

IVs oscillate around weekly expiry date (02.01.2025). "High & Down" vol state confirmed. Reengage Smile/Vega harvesting structures.

AceGama Advisors

2025 Essential Calendar for Option Traders in Asia: Key Dates & Insights

Timing expiration and managing event risk are essential for successful option trading. This document provides key dates for option traders across...

Gaudenz Schneider

EQD / NSE NIFTY50 Vol Update / Stable Index Causes Risk-Premia Markdown.

Market are back from holidays & IVs have been pushed back up. Weekly IVs trading up at 16% & Monthly IVs are back in the 14% zone. Vol term...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / India Budget Event Is Driving Price-Action in the Options Market

IV Update: Option Market remains hyper-focused on the 01.02.2025 India Budget date, pushing IVs for 06.02.2025 expiry contracts even higher to...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / IVs Jump on HMPV Scare Then Grind Lower as Mkts Hold Support.

Event Risk/ IV Update: Monthly-expiry contracts have rolled over to the 06.02.2024 date, which now covers the Indian Budget event-risk (01.02.2024 ...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / High & Down Vol State Confirmed. Greenlight for Selling Smile/ Vega.

​IVs oscillate around weekly expiry date (02.01.2025). "High & Down" vol state confirmed. Reengage Smile/Vega harvesting structures.

AceGama Advisors

2025 Essential Calendar for Option Traders in Asia: Key Dates & Insights

Timing expiration and managing event risk are essential for successful option trading. This document provides key dates for option traders across...

Gaudenz Schneider

EQD / NSE NIFTY50 Vol Update / Stable Index Causes Risk-Premia Markdown.

Market are back from holidays & IVs have been pushed back up. Weekly IVs trading up at 16% & Monthly IVs are back in the 14% zone. Vol term...

AceGama Advisors

IVs oscillate around weekly expiry date (02.01.2025). "High & Down" vol state confirmed. Reengage Smile/Vega harvesting structures.