Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX) </a>finished last week in positive territory. A longer rally could ensue.</li>
<li>This Insight provides option strategies based on the resistance and support levels identified in the quantitative Insight <a href="https://www.smartkarma.com/insights/eqd-nifty-50-state-of-the-odds" target="_blank" data-smartkarma-citation="insights:167397" rel="noopener">EQD | NIFTY 50: State Of The Odds</a>.</li>
<li>Volatility skew and option liquidity inform three strategies, which include a Capped Risk Reversal, a Risk Reversal, and a Call Spread.</li>
</ul>


The NIFTY Index (NIFTY INDEX) finished last week in positive territory. A longer rally could ensue.
This Insight provides option strategies based on the resistance and support levels identified in the quantitative Insight EQD | NIFTY 50: State Of The Odds.
Volatility skew and option liquidity inform three strategies, which include a Capped Risk Reversal, a Risk Reversal, and a Call Spread.


EQD | NIFTY 50 (NIFTY INDEX) - Capped Risk Reversal and Other Option Opportunities

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 trade higher in spite of a late-week recovery in equities. Negative correlation between Index &amp; option premiums reasserted as multiple holidays fall off the calendar.    </li>
<li>Vol-Regime Switching Model firmly lodged in "High &amp; Down" state. Allocation to Iron Condors/ Iron Butterflies recommended.   </li>
<li>Vol surface characteristics also reflecting increased risk premia - Skew extends away from overly compressed levels. Vol term structure swings from Contango to Backwardation.</li>
</ul>


IVs trade higher in spite of a late-week recovery in equities. Negative correlation between Index &amp; option premiums reasserted as multiple holidays fall off the calendar.    
Vol-Regime Switching Model firmly lodged in "High &amp; Down" state. Allocation to Iron Condors/ Iron Butterflies recommended.   
Vol surface characteristics also reflecting increased risk premia - Skew extends away from overly compressed levels. Vol term structure swings from Contango to Backwardation.


EQD / NSE Vol Update / IVs Finally Respond to Mkt. Forces as Holidays Drop off the Calendar

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 declining HHI across various investor categories in the Indian securities market indicates a positive trend towards diversification and broader exposure. </li>
<li>This shift towards mid- and small-cap stocks suggests that investors are seeking growth opportunities amidst high market valuations. </li>
<li>The net outflows from FPIs, particularly concentrated in the top 100 stocks, indicate a shift in investment focus towards smaller companies. While sectoral analysis reveals disparities in concentration.</li>
</ul>


Overall, the declining HHI across various investor categories in the Indian securities market indicates a positive trend towards diversification and broader exposure. 
This shift towards mid- and small-cap stocks suggests that investors are seeking growth opportunities amidst high market valuations. 
The net outflows from FPIs, particularly concentrated in the top 100 stocks, indicate a shift in investment focus towards smaller companies. While sectoral analysis reveals disparities in concentration.


Thematic Report: Bets Beyond the Giants, How Institutional Investors Are Betting on Smaller Stocks

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>
<a href="https://www.smartkarma.com/entities/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato (ZOMATO IN)</a> will replace <a href="https://www.smartkarma.com/entities/jsw-steel-ltd" target="_blank" data-smartkarma-citation="entities:18561:1" rel="noopener">JSW Steel Ltd (JSTL IN)</a> in the <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 (SENSEX INDEX)</a> at the close on 20 December.</li>
<li>This is the first of many potential inclusions for <a href="https://www.smartkarma.com/entities/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato</a> in local indices over the next few months and is due to inclusion of the stock in the F&amp;O segment.</li>
<li>Futures and options in <a href="https://www.smartkarma.com/entities/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato (ZOMATO IN)</a> start trading from the open on 29 November. Expect increased volatility in the short-term and an increase in traded volumes.</li>
</ul>



Zomato (ZOMATO IN) will replace JSW Steel Ltd (JSTL IN) in the S&amp;P BSE SENSEX Index (SENSEX INDEX) at the close on 20 December.
This is the first of many potential inclusions for Zomato in local indices over the next few months and is due to inclusion of the stock in the F&amp;O segment.
Futures and options in Zomato (ZOMATO IN) start trading from the open on 29 November. Expect increased volatility in the short-term and an increase in traded volumes.


SENSEX Index Rebalance: F&O Inclusion Brings First of Many Index Inclusions for Zomato

Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

<ul>
<li>After a period of prolonged sell-off, the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> last week found support around the 23263 level and bounced.</li>
<li>Below we introduce a new "quantitative chart" tool called "<strong>QUANTCHARTS</strong>": it displays in a compact format all the information you need to evaluate the probability of trend reversal.</li>
<li>As you will see the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> closed just below the 25% (Q1) probability target, so it has room to rise further in the coming weeks, the CC is supportive.</li>
</ul>


After a period of prolonged sell-off, the NIFTY Index last week found support around the 23263 level and bounced.
Below we introduce a new "quantitative chart" tool called "QUANTCHARTS": it displays in a compact format all the information you need to evaluate the probability of trend reversal.
As you will see the NIFTY Index closed just below the 25% (Q1) probability target, so it has room to rise further in the coming weeks, the CC is supportive.


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 | NIFTY 50 (NIFTY INDEX) - Capped Risk Reversal and Other Option Opportunities

The NIFTY 50 ended positively last week with potential for a longer rally. This Insight offers option strategies based on resistance/support...

Gaudenz Schneider

EQD / NSE Vol Update / IVs Finally Respond to Mkt. Forces as Holidays Drop off the Calendar

IVs rise despite late-week equities rebound. Negative correlation between Index & option premiums confirmed as holidays end. Skew and Vol term...

AceGama Advisors

Thematic Report: Bets Beyond the Giants, How Institutional Investors Are Betting on Smaller Stocks

Investors in the Indian securities market are diversifying towards mid- and small-cap stocks for growth opportunities, leading to declining HHI...

Nimish Maheshwari

SENSEX Index Rebalance: F&O Inclusion Brings First of Many Index Inclusions for Zomato

Zomato will replace JSW Steel in the Sensex after close on 20 Dec. Zomato is also expected to be added to other indices over the next few months....

Brian Freitas

EQD | NIFTY 50: State Of The Odds

The NIFTY 50 Index is analyzed with the our new proprietary QUANTCHARTS tool: resistance levels seems far enough to leave room for a rally from...

Nico Rosti

EQD | NIFTY 50 (NIFTY INDEX) - Capped Risk Reversal and Other Option Opportunities

The ​NIFTY 50 ended positively last week with potential for a longer rally. This Insight offers option strategies based on resistance/support...

Gaudenz Schneider

EQD / NSE Vol Update / IVs Finally Respond to Mkt. Forces as Holidays Drop off the Calendar

​IVs rise despite late-week equities rebound. Negative correlation between Index & option premiums confirmed as holidays end. Skew and Vol term...

AceGama Advisors

Thematic Report: Bets Beyond the Giants, How Institutional Investors Are Betting on Smaller Stocks

​Investors in the Indian securities market are diversifying towards mid- and small-cap stocks for growth opportunities, leading to declining HHI...

Nimish Maheshwari

SENSEX Index Rebalance: F&O Inclusion Brings First of Many Index Inclusions for Zomato

Zomato will replace JSW Steel in the Sensex after close on 20 Dec. Zomato is also expected to be added to other indices over the next few months....

Brian Freitas

EQD | NIFTY 50: State Of The Odds

The ​NIFTY 50 Index is analyzed with the our new proprietary QUANTCHARTS tool: resistance levels seems far enough to leave room for a rally from...

Nico Rosti

The NIFTY 50 ended positively last week with potential for a longer rally. This Insight offers option strategies based on resistance/support...

IVs rise despite late-week equities rebound. Negative correlation between Index & option premiums confirmed as holidays end. Skew and Vol term...

Investors in the Indian securities market are diversifying towards mid- and small-cap stocks for growth opportunities, leading to declining HHI...

The NIFTY 50 Index is analyzed with the our new proprietary QUANTCHARTS tool: resistance levels seems far enough to leave room for a rally from...