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>Indian markets to implement T+0 settlement cycle starting 28-March-2024. Phase-wise transition planned .</li>
<li>Upcoming long weekends causing drastic markdown in IV levels. This combined with "High &amp; Down" vol regime - short gamma/ short vega trades recommended.  </li>
<li>Contango shape of Volatility curves are an additional reason to be short gamma &amp; earning theta</li>
</ul>


Indian markets to implement T+0 settlement cycle starting 28-March-2024. Phase-wise transition planned .
Upcoming long weekends causing drastic markdown in IV levels. This combined with "High &amp; Down" vol regime - short gamma/ short vega trades recommended.  
Contango shape of Volatility curves are an additional reason to be short gamma &amp; earning theta


EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

Pan-Asia Tactical Market Calls (Quant-Driven), MRM Research

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>As reported by <a href="https://www.smartkarma.com/profiles/brian-freitas" target="_blank" data-smartkarma-citation="accounts:4091" rel="noopener">Brian Freitas</a> , one of 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> 's component (Zomato: <a href="https://www.smartkarma.com/entities/eternal-limited" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Eternal (ETERNAL IN)</a> ) will be subject to big passive selling beginning on Tuesday.</li>
<li>Let's have a look at 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> to evaluate the tactical outlook according to our model.</li>
<li>Since our <a href="https://www.smartkarma.com/insights/nifty-index-outlook-back-in-an-uptrend-where-to-buy-this-dip" target="_blank" rel="noopener">last BUY recommendation in a previous insight in early May</a>, the index has made some progress uptrending, let's see if the rally can continue...</li>
</ul>


As reported by Brian Freitas , one of the NIFTY Index (NIFTY INDEX) 's component (Zomato: Eternal (ETERNAL IN) ) will be subject to big passive selling beginning on Tuesday.
Let's have a look at the NIFTY Index (NIFTY INDEX) to evaluate the tactical outlook according to our model.
Since our last BUY recommendation in a previous insight in early May, the index has made some progress uptrending, let's see if the rally can continue...


NIFTY Index Outlook (With an Eye on Zomato’s Passive Selling Starting...)

<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%

<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

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 Volatility Update / 18-Mar-24 to 22-Mar-24

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. Indian markets to shift to T+0 settlement cycle in ...

AceGama Advisors

NIFTY Index Outlook (With an Eye on Zomato’s Passive Selling Starting...)

NIFTY Index's component Zomato (ETERNAL IN) to face passive selling from Tuesday, this insight evaluates the index's current tactical outlook...

Nico Rosti

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

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. ​Indian markets to shift to T+0 settlement cycle in ...

AceGama Advisors

NIFTY Index Outlook (With an Eye on Zomato’s Passive Selling Starting...)

​NIFTY Index's component Zomato (ETERNAL IN) to face passive selling from Tuesday, this insight evaluates the index's current tactical outlook...

Nico Rosti

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

Upcoming long weekends and contango volatility curves prompting short gamma/short vega trades. Indian markets to shift to T+0 settlement cycle in ...

NIFTY Index's component Zomato (ETERNAL IN) to face passive selling from Tuesday, this insight evaluates the index's current tactical outlook...

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...