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>IV PercentRank metrics indicate middle-of-the-range Risk Premia. "High &amp; Down" vol-state persists for the Vol Regime-Switching model.   </li>
<li>Front-End IVs battered  as Weekly options expire prior to Friday's tier-1 event risks. IVs marked down -3.6 vols. </li>
<li>IV Term-Structure shifts drastically - from Backwardation to Kinked-Shape. Year-end calendar effects causing Vol-surface distortions.</li>
</ul>


IV PercentRank metrics indicate middle-of-the-range Risk Premia. "High &amp; Down" vol-state persists for the Vol Regime-Switching model.   
Front-End IVs battered  as Weekly options expire prior to Friday's tier-1 event risks. IVs marked down -3.6 vols. 
IV Term-Structure shifts drastically - from Backwardation to Kinked-Shape. Year-end calendar effects causing Vol-surface distortions.


EQD / NSE Vol Update / Front-End IVs Battered as Wkly. Expiry Date Misses Out on Tier-1 Event Risks.

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

<ul>
<li>The <a href="https://www.smartkarma.com/entities/national-stock-exchange" target="_blank" data-smartkarma-citation="entities:23751:1" rel="noopener">National Stock Exchange (NSEIN IN)</a> has announced a list of 45 stocks that will be added to the Futures &amp; Options (F&amp;O) segment of the market from 29 November.</li>
<li>There will be changes to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NSE Nifty Next 50 Index</a>, <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">S&amp;P BSE SENSEX Index</a> and the CNXIT Index over the next couple of rebalances.</li>
<li>There are some interesting situations out there, including a change to the universe for the <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NSE Nifty Next 50 Index (NIFTYJR INDEX)</a> that could lead to more changes. </li>
</ul>


The National Stock Exchange (NSEIN IN) has announced a list of 45 stocks that will be added to the Futures &amp; Options (F&amp;O) segment of the market from 29 November.
There will be changes to the NIFTY Index, NSE Nifty Next 50 Index, S&amp;P BSE SENSEX Index and the CNXIT Index over the next couple of rebalances.
There are some interesting situations out there, including a change to the universe for the NSE Nifty Next 50 Index (NIFTYJR INDEX) that could lead to more changes. 


INDIA: Index Changes Due to the 45 New Additions to the F&O Segment

Derivatives and Quantitative Strategist

Gaudenz Schneider

<ul>
<li>The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.</li>
<li>Market Specific commentary and option opportunities for <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</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 (AS51 INDEX)</a>, <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a>, <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 (NDX INDEX)</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 (SPX INDEX),</a> and more.</li>
<li>Volatility analytics plus upcoming events and market holidays to the end of January as reference data.</li>
</ul>


The US post-election rally lifted markets which run a trade deficit with the US alongside US markets. In that period, volatility decreased in all markets, regardless of performance.
Market Specific commentary and option opportunities for NIFTY Index (NIFTY INDEX), S&amp;P/ASX 200 (AS51 INDEX), Nikkei 225 (NKY INDEX), Nasdaq-100 (NDX INDEX), S&amp;P 500 (SPX INDEX), and more.
Volatility analytics plus upcoming events and market holidays to the end of January as reference data.


EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

Chief Executive Officer, Emmer Capital Partners Limited

Manishi Raychaudhuri

Chief Executive Officer

Emmer Capital Partners Limited

Emmer Capital Partners is an Asia Pacific focused financial advisory firm engaging in strategic financial asset allocation advice, bespoke thematic research and advising early-stage companies and connecting them to investors. Emmer Capital provides macro-economic and multi-asset investment strategy inputs to institutions, family offices, private wealth managers, private equity, and corporate boards directly and through independent research platforms. Emmer Capital also advises a wide range of startup companies on fund raising and business strategy. Emmer Capital's active engagement with the print and electronic media reaches a broad spectrum of investors across the globe.

Cross Asset Strategy

<ul>
<li>Asia is cheap relative to the US - trading at less than 40% of US's P/BV - but that's because Asia's ROE has consistently declined relative to US's.</li>
<li>Over the next couple of years Asian ROEs are forecast to revive relative to the US's but all Asian markets are not forecast to participate in this recovery.</li>
<li>The "ROE Winners" (rising forecast ROEs) are Korea, Taiwan, India, Malaysia. Indonesia to stay flat but solidly higher than Asian average. We are skeptical of HK/China and Thailand's ROE recovery.</li>
</ul>


Asia is cheap relative to the US - trading at less than 40% of US's P/BV - but that's because Asia's ROE has consistently declined relative to US's.
Over the next couple of years Asian ROEs are forecast to revive relative to the US's but all Asian markets are not forecast to participate in this recovery.
The "ROE Winners" (rising forecast ROEs) are Korea, Taiwan, India, Malaysia. Indonesia to stay flat but solidly higher than Asian average. We are skeptical of HK/China and Thailand's ROE recovery.


Asian Equities: Be Selective - Focus on The "ROE Winners"

Market & Forensics Analyst, Beat the Street

Nimish Maheshwari

Market & Forensics Analyst

Beat the Street

Beat The Street was founded by Nimish Maheshwari and Sudarshan Bhandari, both of whom are Chartered Accountants by Profession, known for their expert analysis in the fields of Business, Sectoral analysis, and Corporate governance.

With a strong social media presence of 45,000+ Subscribers across various platforms, they are considered trusted voices in the industry. Their insights and analysis have been featured in some of India’s most prominent publications, including the Economic Times, Dalal Street Investment Journal, The Morning Context, and The Ken.

Their analysis on Bankrupt & Insolvent companies has been instrumental in saving investors from significant losses. They have a keen eye for identifying red flags and has identified exclusive redflags earlier in Vedanta, Nykaa, Dhani Services, Adani and many more.

Read Business Not Stock Prices

Thematic (Sector/Industry)

<ul>
<li>Overall, the outlook for corporate earnings in India remains challenging, with downward revisions in key financial metrics and sectors. </li>
<li>The weak performance in Q2 highlights the impact of various economic factors on company profits. Some positive signs such as expected govt spending &amp; improved rural demand, could boost H1FY25</li>
<li>The current valuation of the Nifty and broader market suggests that there may be limited upside potential in the near term.</li>
</ul>


Overall, the outlook for corporate earnings in India remains challenging, with downward revisions in key financial metrics and sectors. 
The weak performance in Q2 highlights the impact of various economic factors on company profits. Some positive signs such as expected govt spending &amp; improved rural demand, could boost H1FY25
The current valuation of the Nifty and broader market suggests that there may be limited upside potential in the near term.


Thematic Report : India Inc Q2FY25 Earnings Review and Highlights

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 Vol Update / Front-End IVs Battered as Wkly. Expiry Date Misses Out on Tier-1 Event Risks.

IV metrics show moderate risk premia. Front-end IVs dropping before tier-1 event risks. Term structure shifts from backwardation to kinked-shape...

AceGama Advisors

INDIA: Index Changes Due to the 45 New Additions to the F&O Segment

Futures & Options start trading on 45 new stocks in India today. Things could get interesting in the 3 Adani names where the stock prices have been...

Brian Freitas

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Gaudenz Schneider

Asian Equities: Be Selective - Focus on The "ROE Winners"

Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...

Manishi Raychaudhuri

Thematic Report : India Inc Q2FY25 Earnings Review and Highlights

Challenging outlook for corporate earnings in India due to downward revisions in key financial metrics and sectors, with limited upside potential...

Nimish Maheshwari

EQD / NSE Vol Update / Front-End IVs Battered as Wkly. Expiry Date Misses Out on Tier-1 Event Risks.

​IV metrics show moderate risk premia. Front-end IVs dropping before tier-1 event risks. Term structure shifts from backwardation to kinked-shape...

AceGama Advisors

INDIA: Index Changes Due to the 45 New Additions to the F&O Segment

Futures & Options start trading on 45 new stocks in India today. Things could get interesting in the 3 Adani names where the stock prices have been...

Brian Freitas

EQD | Global Option Implied Volatility - Opportunities in Nifty 50, Nasdaq, ASX 200, FTSE 100, SMI

​US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Gaudenz Schneider

Asian Equities: Be Selective - Focus on The "ROE Winners"

​Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...

Manishi Raychaudhuri

Thematic Report : India Inc Q2FY25 Earnings Review and Highlights

​Challenging outlook for corporate earnings in India due to downward revisions in key financial metrics and sectors, with limited upside potential...

Nimish Maheshwari

IV metrics show moderate risk premia. Front-end IVs dropping before tier-1 event risks. Term structure shifts from backwardation to kinked-shape...

US post-election rally lowers implied volatility across all markets. Specific commentary on NIFTY, S&P/ASX 200, Nikkei 225, Nasdaq-100, S&P 500....

Asia's cheap P/BV compared to the US is due to low ROE. Over the next couple of years Asian ROE is forecast to revive relative to US, driven by...

Challenging outlook for corporate earnings in India due to downward revisions in key financial metrics and sectors, with limited upside potential...