Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>This strategy exploits relative value in implied volatilities and combines it with a long Nifty 50 vs. short Nikkei 225 directional view over a period of two months.</li>
<li>The strategy performs well if the Nifty 50 rises and outperforms the Nikkei 225. If both indices decline, neither profit nor loss is incurred.</li>
<li>Leverage increases both the strategy's payoff and probability of success.</li>
</ul>


This strategy exploits relative value in implied volatilities and combines it with a long Nifty 50 vs. short Nikkei 225 directional view over a period of two months.
The strategy performs well if the Nifty 50 rises and outperforms the Nikkei 225. If both indices decline, neither profit nor loss is incurred.
Leverage increases both the strategy's payoff and probability of success.


EQD | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

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>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

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>The strong rebound from the crash low signals resilience in the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a>, and notably, the index appears to be staging a short-term breakout from its recent downtrend.
</li>
<li>Is this the start of a rally? It's hard to say, given the current economic uncertainty—however, our model suggests the index could extend its gains for another week.</li>
<li>The rally should be limited, a good profit target according to our model is between 24039 and 24496.
</li>
</ul>


The strong rebound from the crash low signals resilience in the NIFTY Index, and notably, the index appears to be staging a short-term breakout from its recent downtrend.

Is this the start of a rally? It's hard to say, given the current economic uncertainty—however, our model suggests the index could extend its gains for another week.
The rally should be limited, a good profit target according to our model is between 24039 and 24496.



NIFTY 50 Tactical Outlook (Post-Easter Targets)

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>Implied vol spiked sharply on Monday, marking one of the largest single-day moves since the pandemic.</li>
<li>We discuss the move in skew and suggest a course of action for previously recommended hedges.</li>
<li>The magnitude of the implied vol move is examined in the context of recent price behavior—and whether it holds.</li>
</ul>


Implied vol spiked sharply on Monday, marking one of the largest single-day moves since the pandemic.
We discuss the move in skew and suggest a course of action for previously recommended hedges.
The magnitude of the implied vol move is examined in the context of recent price behavior—and whether it holds.


Nifty Index Options Weekly (Apr 07 – 11): Volatility Spikes, Skew Steepens, Hedges Reassessed

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 | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

Option strategy: exploit relative value in implied volatilities combined with directional positioning for a leveraged payoff in a long Nifty 50 vs....

Gaudenz Schneider

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

NIFTY 50 Tactical Outlook (Post-Easter Targets)

The NIFTY Index rallied and performed a potential short-term breakout, but global uncertainty remains. Our model suggests gains could continue for...

Nico Rosti

Nifty Index Options Weekly (Apr 07 – 11): Volatility Spikes, Skew Steepens, Hedges Reassessed

Implied volatility surged on Monday, prompting a reevaluation of recommended hedges and the sustainability of recent price movements.

John Ley

EQD | Long Nifty 50 Vs. Short Nikkei 225 - A Relative Value Option Strategy with a Kicker

Option strategy: exploit relative value in implied volatilities combined with directional positioning for a leveraged payoff in a long Nifty 50 vs....

Gaudenz Schneider

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

NIFTY 50 Tactical Outlook (Post-Easter Targets)

​The NIFTY Index rallied and performed a potential short-term breakout, but global uncertainty remains. Our model suggests gains could continue for...

Nico Rosti

Nifty Index Options Weekly (Apr 07 – 11): Volatility Spikes, Skew Steepens, Hedges Reassessed

​Implied volatility surged on Monday, prompting a reevaluation of recommended hedges and the sustainability of recent price movements.

John Ley

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...

The NIFTY Index rallied and performed a potential short-term breakout, but global uncertainty remains. Our model suggests gains could continue for...

Implied volatility surged on Monday, prompting a reevaluation of recommended hedges and the sustainability of recent price movements.