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>Options Market caught flat-footed on hawkish Fed rhetoric. IVs corrected sharply higher, with Monthly IVs trading up to 15.5%.     </li>
<li>Vol Regime has switched to "High &amp; Up" state. IVs now in top percentile of historical ranges. Look for a quick switch back to "High &amp; Down" state.      </li>
<li>Smile dynamics unchanged. Skew has undergone compression. Vol term structure trading in inverted-V shape - should normalize once market-holiday drops off the calendar.</li>
</ul>


Options Market caught flat-footed on hawkish Fed rhetoric. IVs corrected sharply higher, with Monthly IVs trading up to 15.5%.     
Vol Regime has switched to "High &amp; Up" state. IVs now in top percentile of historical ranges. Look for a quick switch back to "High &amp; Down" state.      
Smile dynamics unchanged. Skew has undergone compression. Vol term structure trading in inverted-V shape - should normalize once market-holiday drops off the calendar.


EQD / NSE NIFTY50 Vol Update / Options Market Caught Flat-Footed on Hawkish Fed Rhetoric. IVs Jump.

<ul>
<li>IVs guided lower as Inflation data furthers expectations of easier monetary policy. Weekly IVs lower by -3.3 vols, Monthly IVs lower by -1.6 vols &amp; Quarterly IVs remained unaffected.</li>
<li>IV mark-down seems overdone given the heavy upcoming event-risk calendar. Weekly contracts capture the 18.12.2024 FOMC meeting. </li>
<li>Strategic Implications: (1) Consider Long Gamma positioning given upcoming event risk &amp; IV markdown (2) Retain Short Vega allocations while Monthly IVs still above 10.5%.</li>
</ul>


IVs guided lower as Inflation data furthers expectations of easier monetary policy. Weekly IVs lower by -3.3 vols, Monthly IVs lower by -1.6 vols &amp; Quarterly IVs remained unaffected.
IV mark-down seems overdone given the heavy upcoming event-risk calendar. Weekly contracts capture the 18.12.2024 FOMC meeting. 
Strategic Implications: (1) Consider Long Gamma positioning given upcoming event risk &amp; IV markdown (2) Retain Short Vega allocations while Monthly IVs still above 10.5%.


EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

<ul>
<li>Short-Date IVs reprice higher as active contract rolls over to 12.12.2024 expiry. Elevated risk-premia justified as contracts capture RBI rate decision &amp; U.S. NFP event risks.</li>
<li>Re-Pricing of front-end IVs has kicked Vol term-structure into Backwardation. Monthly &amp; Quarterly IVs remain unchanged. Current Vol curve shape is at odds with improving sentiment in underlying Index.</li>
<li>Strategic Implications: (1) Avoid Short Gamma exposure. (2) Continue allocation to Short Vega + Short Smile structures. (3) Look for Nifty50 trading range to stabilize as trigger for Skew harvesting.   </li>
</ul>


Short-Date IVs reprice higher as active contract rolls over to 12.12.2024 expiry. Elevated risk-premia justified as contracts capture RBI rate decision &amp; U.S. NFP event risks.
Re-Pricing of front-end IVs has kicked Vol term-structure into Backwardation. Monthly &amp; Quarterly IVs remain unchanged. Current Vol curve shape is at odds with improving sentiment in underlying Index.
Strategic Implications: (1) Avoid Short Gamma exposure. (2) Continue allocation to Short Vega + Short Smile structures. (3) Look for Nifty50 trading range to stabilize as trigger for Skew harvesting.   


EQD / NSE NIFTY50 Vol Update / Vol Term-Structure Inverts as Front-End IVs Jump to 15.0%

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.

<ul>
<li>Monthly deep-dive into price and vol metrics across Global indexes and macro assets.</li>
<li>In-Depth look at the current state of the markets as well as how volatility and price may unfold.</li>
<li>We highlight strong seasonal trends in April, with all markets typically rising and realized vol typically coming in below implied.</li>
</ul>


Monthly deep-dive into price and vol metrics across Global indexes and macro assets.
In-Depth look at the current state of the markets as well as how volatility and price may unfold.
We highlight strong seasonal trends in April, with all markets typically rising and realized vol typically coming in below implied.


April Global Macro Volatility: Strong Price and Vol Seasonals

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>The global auto industry faces significant tariff exposure. Option implied volatility offers a forward-looking assessment of risk.</li>
<li>Chinese car makers started to increase in implied volatility more than the other markets at the beginning of February. They now show the highest risk.</li>
<li>Recent implied volatility trends, asymmetric pricing (skew), and the term structure all seem to indicate that the Indian auto sector is the least exposed to international trade relations.</li>
</ul>


The global auto industry faces significant tariff exposure. Option implied volatility offers a forward-looking assessment of risk.
Chinese car makers started to increase in implied volatility more than the other markets at the beginning of February. They now show the highest risk.
Recent implied volatility trends, asymmetric pricing (skew), and the term structure all seem to indicate that the Indian auto sector is the least exposed to international trade relations.


EQD | Volatile Roads: Unveiling Risk in the Asian Auto Industry Through the Options Market

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 / Options Market Caught Flat-Footed on Hawkish Fed Rhetoric. IVs Jump.

Options market surprised by Fed's hawkish tone, IVs spike to 15.5%. Volatility regime now "High & Up", expect quick shift back. Skew compressed,...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

Nifty50 weakness & FOMC event-risk has triggered a move higher in IVs. Weekly IVs jumped from 11.0% to 15.0%.& Monthly IVs jumped from 12.2% to...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Vol Term-Structure Inverts as Front-End IVs Jump to 15.0%

Previously noted that the inverted Vol term-structure was out of phase with a rallying NIFTY50. The term-structure has now flattened & moved into...

AceGama Advisors

April Global Macro Volatility: Strong Price and Vol Seasonals

Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...

John Ley

EQD | Volatile Roads: Unveiling Risk in the Asian Auto Industry Through the Options Market

Global auto industry faces tariff risk. The option market assigns the highest risk to Chinese car makers. The Indian auto sector appears least...

Gaudenz Schneider

EQD / NSE NIFTY50 Vol Update / Options Market Caught Flat-Footed on Hawkish Fed Rhetoric. IVs Jump.

​Options market surprised by Fed's hawkish tone, IVs spike to 15.5%. Volatility regime now "High & Up", expect quick shift back. Skew compressed,...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

Nifty50 weakness & FOMC event-risk has triggered a move higher in IVs. Weekly IVs jumped from 11.0% to 15.0%.& Monthly IVs jumped from 12.2% to...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Vol Term-Structure Inverts as Front-End IVs Jump to 15.0%

Previously noted that the inverted Vol term-structure was out of phase with a rallying NIFTY50. The term-structure has now flattened & moved into...

AceGama Advisors

April Global Macro Volatility: Strong Price and Vol Seasonals

​Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...

John Ley

EQD | Volatile Roads: Unveiling Risk in the Asian Auto Industry Through the Options Market

​Global auto industry faces tariff risk. The option market assigns the highest risk to Chinese car makers. The Indian auto sector appears least...

Gaudenz Schneider

Options market surprised by Fed's hawkish tone, IVs spike to 15.5%. Volatility regime now "High & Up", expect quick shift back. Skew compressed,...

Analysis of price and volatility metrics across global indexes and macro assets, showing strong seasonal trends in April with markets rising and...

Global auto industry faces tariff risk. The option market assigns the highest risk to Chinese car makers. The Indian auto sector appears least...