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>Nifty50 risk premia recovers from depressed levels due to Global trade tensions. Lags global equity Vol-spike. Monthly IVs: 11.0% -&gt; 12.5%. Vol-Regime moves to "Low &amp; Up" state.  </li>
<li>Term-Structure swings into Backwardation in the Front-End, but curve finally settled back in Contango by week's end. Skew/ Smile characteristics held steady with slight compression in Strangle markups.</li>
<li>Tactical Implications: (1) Continue reduced exposure to Risk-premia harvesting, (2) Long Vega structures recommended in "Low &amp; Up" vol-state. </li>
</ul>


Nifty50 risk premia recovers from depressed levels due to Global trade tensions. Lags global equity Vol-spike. Monthly IVs: 11.0% -&gt; 12.5%. Vol-Regime moves to "Low &amp; Up" state.  
Term-Structure swings into Backwardation in the Front-End, but curve finally settled back in Contango by week's end. Skew/ Smile characteristics held steady with slight compression in Strangle markups.
Tactical Implications: (1) Continue reduced exposure to Risk-premia harvesting, (2) Long Vega structures recommended in "Low &amp; Up" vol-state. 


NSE NIFTY50/ Vol Update / Trade Tensions Prevail: Reduce Vol Harvesting & Position for +ve Vega.

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>Nifty remains the global market with the lowest implied volatility and has been outperforming its peers in this sell off.</li>
<li>We assess where Nifty is likely to open on Monday and the expected impact on implied vol and discuss whether hedging should be considered. </li>
<li>We highlight the absence of a flight-to-quality bid in this global meltdown and what that could mean for relative returns vs. the SP500.</li>
</ul>


Nifty remains the global market with the lowest implied volatility and has been outperforming its peers in this sell off.
We assess where Nifty is likely to open on Monday and the expected impact on implied vol and discuss whether hedging should be considered. 
We highlight the absence of a flight-to-quality bid in this global meltdown and what that could mean for relative returns vs. the SP500.


Nifty Index Options Weekly (Apr 01 – 04): Lowest Implied Vol Amid a Global Meltdown

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>Analysis of the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a>, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a>, <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng</a>, <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200</a>, <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200</a>, <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500</a> and <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100</a> stock indices: where is the bottom for the global stock market rout? </li>
<li>
<a href="https://www.smartkarma.com/insights/nasdaq-100-ndx-and-trump-s-tariffs-war-how-to-read-our-insights-models-during-a-bear-market-crash" target="_blank" rel="noopener">As explained in this insight</a>, our models have been battle-tested since 2008. While they can't predict the future, they provide valuable insights for identifying market bottoms during crashes. </li>
<li>What follows is a focused analysis of each market index we track, aimed at identifying potential bottoms amid extreme sell-offs, helping position ahead of the next Bear Market rally/reversal. </li>
</ul>


Analysis of the NIFTY, Nikkei 225, Hang Seng, KOSPI 200, S&amp;P/ASX 200, S&amp;P 500 and Nasdaq-100 stock indices: where is the bottom for the global stock market rout? 

As explained in this insight, our models have been battle-tested since 2008. While they can't predict the future, they provide valuable insights for identifying market bottoms during crashes. 
What follows is a focused analysis of each market index we track, aimed at identifying potential bottoms amid extreme sell-offs, helping position ahead of the next Bear Market rally/reversal. 


Global Stocks Outlook: Where Is the Bottom for This Crash?

<ul>
<li>SEBI intervenes on constantly changing Option contract specifications. NSE halts expiry day shift indefinitely &amp; awaits clarity from regulator. </li>
<li>IVs slid lower to 11% levels - extended weekend being a primary factor. Risk premia is nearing historically low extremes. "Low &amp; Down" state persists for the Vol-Regime model.</li>
<li>Tactical Implications: (1) Scale back Vol harvesting structures as "Low &amp; Down" Vol-state persists. (2) Reverse Calendars for long gamma exposure to upcoming events. Utilize Low IVs &amp; curve Contango.</li>
</ul>


SEBI intervenes on constantly changing Option contract specifications. NSE halts expiry day shift indefinitely &amp; awaits clarity from regulator. 
IVs slid lower to 11% levels - extended weekend being a primary factor. Risk premia is nearing historically low extremes. "Low &amp; Down" state persists for the Vol-Regime model.
Tactical Implications: (1) Scale back Vol harvesting structures as "Low &amp; Down" Vol-state persists. (2) Reverse Calendars for long gamma exposure to upcoming events. Utilize Low IVs &amp; curve Contango.


NSE NIFTY50/ Vol Update / SEBI Intervenes Stalling Expiry Day Shift. IVs Pushed to 1Yr Lows.

<ul>
<li>Weekly recap of volatility and price metrics, covering option volumes, volatility trends, the spot/implied relationship, and open interest.</li>
<li>Implied vol remained stable, and we discuss why it may be sticky at current levels.</li>
<li>With global weakness and the upcoming April 2 reciprocal tariffs announcement, we reiterate a tactical hedge.</li>
</ul>


Weekly recap of volatility and price metrics, covering option volumes, volatility trends, the spot/implied relationship, and open interest.
Implied vol remained stable, and we discuss why it may be sticky at current levels.
With global weakness and the upcoming April 2 reciprocal tariffs announcement, we reiterate a tactical hedge.


Nifty Index Options Weekly (Mar 24 – 28): Sticky Implied Vol and a Tactical Hedge Ahead of Tariffs

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 / Trade Tensions Prevail: Reduce Vol Harvesting & Position for +ve Vega.

Event risk/ IV update: Market holiday on 10.04.2025 & trade tensions have trickled into Local Markets. IVs have spiked from 12.5% to 22.5%. Vol...

AceGama Advisors

Nifty Index Options Weekly (Apr 01 – 04): Lowest Implied Vol Amid a Global Meltdown

Nifty outperforms global markets with low volatility, potential impact on Monday's opening, and lack of flight-to-quality bid discussed for...

John Ley

Global Stocks Outlook: Where Is the Bottom for This Crash?

Analysis of Major Global Stock Indices to Identify Potential Intermediate Bottoms: Where Could the First Bear Market Rallies Begin?

Nico Rosti

NSE NIFTY50/ Vol Update / SEBI Intervenes Stalling Expiry Day Shift. IVs Pushed to 1Yr Lows.

IV & Event update: IVs marked back up to 13% as 02.04.2025 US Tariff deadline approaches. Risk sentiment has deteriorated in the 11th hour despite...

AceGama Advisors

Nifty Index Options Weekly (Mar 24 – 28): Sticky Implied Vol and a Tactical Hedge Ahead of Tariffs

Weekly recap of volatility metrics and price trends, highlighting stable implied vol and reiterate a tactical hedge amid global weakness and...

John Ley

NSE NIFTY50/ Vol Update / Trade Tensions Prevail: Reduce Vol Harvesting & Position for +ve Vega.

Event risk/ IV update: Market holiday on 10.04.2025 & trade tensions have trickled into Local Markets. IVs have spiked from 12.5% to 22.5%. Vol...

AceGama Advisors

Nifty Index Options Weekly (Apr 01 – 04): Lowest Implied Vol Amid a Global Meltdown

​Nifty outperforms global markets with low volatility, potential impact on Monday's opening, and lack of flight-to-quality bid discussed for...

John Ley

Global Stocks Outlook: Where Is the Bottom for This Crash?

Analysis of Major Global Stock Indices to Identify Potential Intermediate Bottoms: Where Could the First Bear Market Rallies Begin?

Nico Rosti

NSE NIFTY50/ Vol Update / SEBI Intervenes Stalling Expiry Day Shift. IVs Pushed to 1Yr Lows.

IV & Event update: IVs marked back up to 13% as 02.04.2025 US Tariff deadline approaches. Risk sentiment has deteriorated in the 11th hour despite...

AceGama Advisors

Nifty Index Options Weekly (Mar 24 – 28): Sticky Implied Vol and a Tactical Hedge Ahead of Tariffs

​Weekly recap of volatility metrics and price trends, highlighting stable implied vol and reiterate a tactical hedge amid global weakness and...

John Ley

Nifty outperforms global markets with low volatility, potential impact on Monday's opening, and lack of flight-to-quality bid discussed for...

Weekly recap of volatility metrics and price trends, highlighting stable implied vol and reiterate a tactical hedge amid global weakness and...