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>Indo-Pak ceasefire triggers risk-premia markdowns – Monthly IVs -4.0 vols lower, Skew &amp; Smile get compressed  </li>
<li>Vol-Regime stays in “High &amp; Up” state with high likelihood of switching to “High &amp; Down” in the upcoming week.  </li>
<li>IV term-structure flattened as the week progressed. Leaving front-end vol-differentials in Contango &amp; Back-end Backwardation now eased to +0.60 vols.  </li>
</ul>


Indo-Pak ceasefire triggers risk-premia markdowns – Monthly IVs -4.0 vols lower, Skew &amp; Smile get compressed  
Vol-Regime stays in “High &amp; Up” state with high likelihood of switching to “High &amp; Down” in the upcoming week.  
IV term-structure flattened as the week progressed. Leaving front-end vol-differentials in Contango &amp; Back-end Backwardation now eased to +0.60 vols.  


NSE NIFTY50/ Vol Update / Indo-Pak Ceasefire! Large Markdowns in IV-Skew-Smile Triggered

<ul>
<li>Onset of IND-PAK military conflict spurs IVs higher to +18% levels. Vol Regime model holds in “High &amp; Up” state.  </li>
<li>Skew extends to extreme levels, RRs trades from -5.0 to -7.0 vols. Vol Term-structure is now flat in the front-end &amp; in Backwardation at the back-end of the curve.    </li>
<li>Tactical Implications: Avoid Risk-premia harvesting as "High &amp; Up" vol-state prevails.</li>
</ul>


Onset of IND-PAK military conflict spurs IVs higher to +18% levels. Vol Regime model holds in “High &amp; Up” state.  
Skew extends to extreme levels, RRs trades from -5.0 to -7.0 vols. Vol Term-structure is now flat in the front-end &amp; in Backwardation at the back-end of the curve.    
Tactical Implications: Avoid Risk-premia harvesting as "High &amp; Up" vol-state prevails.


NSE NIFTY50/ Vol Update / INDO-PAK CONFLICT SPURS LOCAL RISK-PREMIA HIGHER. IV @ +18.0%

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>In our <a href="https://www.smartkarma.com/insights/nifty-50-tactical-outlook-post-easter-targets" target="_blank" rel="noopener">previous</a><a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> insight we highlighted rally targets in the 24039-24496 zone. The index reached 24589 last week, double-topped this week, then closed the week down at 24008. </li>
<li>The index was ultra-overbought according to our <a href="https://qantrading.com/quantcharts/AsiaPacific/NIFTY50_WEEKLY/NIFTY50_WEEKLY.html" target="_blank" rel="noopener">WEEKLY model</a>, the pullback was overdue. <strong>This pullback is a buy opportunity</strong>.</li>
<li>
<strong>This insight discusses key support zones to buy and profit taking targets for the rally</strong>.</li>
</ul>


In our previousNIFTY Index insight we highlighted rally targets in the 24039-24496 zone. The index reached 24589 last week, double-topped this week, then closed the week down at 24008. 
The index was ultra-overbought according to our WEEKLY model, the pullback was overdue. This pullback is a buy opportunity.

This insight discusses key support zones to buy and profit taking targets for the rally.


NIFTY INDEX Outlook: Back in an Uptrend - Where To Buy This Dip

<ul>
<li>IVs rise as markets return from holiday-truncated week, moving from 14.2% to 15.8%. Monthly contracts benefit most as they capture multiple tier-1 event risks.</li>
<li>“High &amp; Up” vol-state persists. Though there is a high probability of switching to “High &amp; Down” with slight IV stabilization.</li>
<li>TACTICAL IMPLICATIONS: Avoid negative Gamma/ Smile/ Vega exposure. Wait for vol-regime shift before initiating new risk-premia harvesting structures</li>
</ul>


IVs rise as markets return from holiday-truncated week, moving from 14.2% to 15.8%. Monthly contracts benefit most as they capture multiple tier-1 event risks.
“High &amp; Up” vol-state persists. Though there is a high probability of switching to “High &amp; Down” with slight IV stabilization.
TACTICAL IMPLICATIONS: Avoid negative Gamma/ Smile/ Vega exposure. Wait for vol-regime shift before initiating new risk-premia harvesting structures


NSE NIFTY50/ Vol Update / Option Markets Remain in High Vol-Regime

<ul>
<li>Improved risk sentiment &amp; holiday truncated week cause compression of risk premia. Monthly IVs fell over -5.0 vol-points over the 3-day session to close at 14.2%. </li>
<li>Vol-Regime continues to stay in "High &amp; Up" vol-state. Stabilization in IVs &amp; RVs required for switch to "High &amp; Down". Extreme Backwardation of the Vol-curve has now subsided</li>
<li>Tactical Implications: (1) Negative Gamma strategies have been battered. Avoid allocation to these while "High &amp; Up" vol-state prevails. </li>
</ul>


Improved risk sentiment &amp; holiday truncated week cause compression of risk premia. Monthly IVs fell over -5.0 vol-points over the 3-day session to close at 14.2%. 
Vol-Regime continues to stay in "High &amp; Up" vol-state. Stabilization in IVs &amp; RVs required for switch to "High &amp; Down". Extreme Backwardation of the Vol-curve has now subsided
Tactical Implications: (1) Negative Gamma strategies have been battered. Avoid allocation to these while "High &amp; Up" vol-state prevails. 


NSE NIFTY50/ Vol Update / Improved Risk Sentiment & Truncated Week Cause Risk-Premia Compression

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)

NSE NIFTY50/ Vol Update / Indo-Pak Ceasefire! Large Markdowns in IV-Skew-Smile Triggered

Indo-Pak ceasefire leads to lower risk-premia. Volatility regime remains "High & Up" with potential switch to "High & Down" next week. IV term...

AceGama Advisors

NSE NIFTY50/ Vol Update / INDO-PAK CONFLICT SPURS LOCAL RISK-PREMIA HIGHER. IV @ +18.0%

IND-PAK conflict triggers surge in IVs, skew at extreme levels, vol term-structure flat in front-end and backwardation in back-end. Tactical...

AceGama Advisors

NIFTY INDEX Outlook: Back in an Uptrend - Where To Buy This Dip

The NIFTY Index closed the week down after a 4-week rally. Our NIFTY Index model sees this pullback as buy opportunity: key support zones and...

Nico Rosti

NSE NIFTY50/ Vol Update / Option Markets Remain in High Vol-Regime

Market volatility increases post-holiday, favoring monthly contracts. Stay cautious of potential shift in volatility state for strategic positioning.

AceGama Advisors

NSE NIFTY50/ Vol Update / Improved Risk Sentiment & Truncated Week Cause Risk-Premia Compression

Improving risk sentiment & holiday-shortened week leads to IV compression. Monthly IVs drop to 14.2%. Vol-regime remains "High & Up". Avoid...

AceGama Advisors

NSE NIFTY50/ Vol Update / Indo-Pak Ceasefire! Large Markdowns in IV-Skew-Smile Triggered

​Indo-Pak ceasefire leads to lower risk-premia. Volatility regime remains "High & Up" with potential switch to "High & Down" next week. IV term...

AceGama Advisors

NSE NIFTY50/ Vol Update / INDO-PAK CONFLICT SPURS LOCAL RISK-PREMIA HIGHER. IV @ +18.0%

​IND-PAK conflict triggers surge in IVs, skew at extreme levels, vol term-structure flat in front-end and backwardation in back-end. Tactical...

AceGama Advisors

NIFTY INDEX Outlook: Back in an Uptrend - Where To Buy This Dip

​The NIFTY Index closed the week down after a 4-week rally. Our NIFTY Index model sees this pullback as buy opportunity: key support zones and...

Nico Rosti

NSE NIFTY50/ Vol Update / Option Markets Remain in High Vol-Regime

​Market volatility increases post-holiday, favoring monthly contracts. Stay cautious of potential shift in volatility state for strategic positioning.

AceGama Advisors

NSE NIFTY50/ Vol Update / Improved Risk Sentiment & Truncated Week Cause Risk-Premia Compression

​Improving risk sentiment & holiday-shortened week leads to IV compression. Monthly IVs drop to 14.2%. Vol-regime remains "High & Up". Avoid...

AceGama Advisors

Indo-Pak ceasefire leads to lower risk-premia. Volatility regime remains "High & Up" with potential switch to "High & Down" next week. IV term...

IND-PAK conflict triggers surge in IVs, skew at extreme levels, vol term-structure flat in front-end and backwardation in back-end. Tactical...

The NIFTY Index closed the week down after a 4-week rally. Our NIFTY Index model sees this pullback as buy opportunity: key support zones and...

Market volatility increases post-holiday, favoring monthly contracts. Stay cautious of potential shift in volatility state for strategic positioning.

Improving risk sentiment & holiday-shortened week leads to IV compression. Monthly IVs drop to 14.2%. Vol-regime remains "High & Up". Avoid...