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>Late week Equity weakness pulled IVs off Summer Lows - IVs back at 14.0%. A dose of skepticism is required, given End-of-Summer Seasonality effect. </li>
<li>PCR drops to 0.92 &amp; put-strike OI looks weak as weekly expiry rolls to 12.09 date - likely contributing to index's inability to hold support levels.  </li>
<li>Vol-Regime Switching Model held back from switching to Low-Vol state, highlighting sticky nature of "High &amp; Down" Vol-state. Retain Short Vega &amp; Skew-selling bias.</li>
</ul>


Late week Equity weakness pulled IVs off Summer Lows - IVs back at 14.0%. A dose of skepticism is required, given End-of-Summer Seasonality effect. 
PCR drops to 0.92 &amp; put-strike OI looks weak as weekly expiry rolls to 12.09 date - likely contributing to index's inability to hold support levels.  
Vol-Regime Switching Model held back from switching to Low-Vol state, highlighting sticky nature of "High &amp; Down" Vol-state. Retain Short Vega &amp; Skew-selling bias.


EQD / NSE Vol Update / IVs Move Higher as Equities Falter. End-Of-Summer Seasonality at Play?

India Equity Analyst - Fundamental & Thematic, Beat the Street

Sudarshan Bhandari

India Equity Analyst - Fundamental & Thematic

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>India's IPO boom is bucking the global trend with highest ever IPOs in H12024; thanks to strong inflows and investor confidence.</li>
<li>SEBI's report show flipping trend with 54% of investors have sold their IPO bound stocks within a week of listing.</li>
<li>2024 has been the golden year for all the stakeholders considering better listing gains and returns along with number of opportunities available.</li>
</ul>


India's IPO boom is bucking the global trend with highest ever IPOs in H12024; thanks to strong inflows and investor confidence.
SEBI's report show flipping trend with 54% of investors have sold their IPO bound stocks within a week of listing.
2024 has been the golden year for all the stakeholders considering better listing gains and returns along with number of opportunities available.


Thematic Report: Charting Key Trends of India's IPO Boom

<ul>
<li>Recovery in Risk-Premia was short-lived. Pressure from a lack of upcoming event-risk has driven short-dated IVs lower.</li>
<li>Nifty50 at All-Time-Highs - PCR &amp; Skew extend further towards puts. Implying active hedging of core long equity positions using OTM puts. </li>
<li>"High &amp; Down" Vol-state persists. Expect a continued slide lower in IVs. Retain previous week's tactical stance - allocations to Short Iron Condors &amp; Skew Harvesting structures.   </li>
</ul>


Recovery in Risk-Premia was short-lived. Pressure from a lack of upcoming event-risk has driven short-dated IVs lower.
Nifty50 at All-Time-Highs - PCR &amp; Skew extend further towards puts. Implying active hedging of core long equity positions using OTM puts. 
"High &amp; Down" Vol-state persists. Expect a continued slide lower in IVs. Retain previous week's tactical stance - allocations to Short Iron Condors &amp; Skew Harvesting structures.   


EQD / NSE Vol Update / Skew & PCR Indicate Active Use of OTM Puts to Hedge NIFTY50 at All-Time-Highs

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

Event-Driven

<ul>
<li>Following SEBI's review of eligibility criteria for entry/exit of stocks in the derivatives segment, there could be 18 deletions/79 inclusions in the F&amp;O segment over the next 6 months.</li>
<li>The introduction of some stocks in the F&amp;O segment could lead to their inclusion in 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/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">SENSEX</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">Nifty Bank</a> and CNXIT indices and weight changes in the <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next50</a>.</li>
<li>The inclusion of stocks in indices with a fixed number of constituents will result in deletion of some stocks from these indices. There should be methodology changes too.</li>
</ul>


Following SEBI's review of eligibility criteria for entry/exit of stocks in the derivatives segment, there could be 18 deletions/79 inclusions in the F&amp;O segment over the next 6 months.
The introduction of some stocks in the F&amp;O segment could lead to their inclusion in the NIFTY, SENSEX, Nifty Bank and CNXIT indices and weight changes in the Nifty Next50.
The inclusion of stocks in indices with a fixed number of constituents will result in deletion of some stocks from these indices. There should be methodology changes too.


India: Index Implications of Additions to the F&O Segment

<ul>
<li>Following SEBI's review of eligibility criteria for entry/exit of stocks in the derivatives segment, there could be 18 deletions/79 inclusions in the F&amp;O segment over the next 6 months.  </li>
<li>The new framework could lead to mechanical entry and exit of stocks in the F&amp;O segment with minimal intervention from SEBI.</li>
<li>The introduction of some large cap stocks in the F&amp;O segment could lead to their inclusion in 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/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">SENSEX Index</a> and other local indices.</li>
</ul>


Following SEBI's review of eligibility criteria for entry/exit of stocks in the derivatives segment, there could be 18 deletions/79 inclusions in the F&amp;O segment over the next 6 months.  
The new framework could lead to mechanical entry and exit of stocks in the F&amp;O segment with minimal intervention from SEBI.
The introduction of some large cap stocks in the F&amp;O segment could lead to their inclusion in the NIFTY Index, SENSEX Index and other local indices.


India: Potential Adds/Deletes from F&O Segment

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 / IVs Move Higher as Equities Falter. End-Of-Summer Seasonality at Play?

IVs higher to 14% as Equities falter. Is it end-of-summer seasonality? Low PCR & Put-strike OI contributing to Index struggles.

AceGama Advisors

Thematic Report: Charting Key Trends of India's IPO Boom

India's IPO market is thriving in 2024, with record high IPOs and strong investor confidence leading to better returns and opportunities for...

Sudarshan Bhandari

EQD / NSE Vol Update / Skew & PCR Indicate Active Use of OTM Puts to Hedge NIFTY50 at All-Time-Highs

Nifty50 held supports & recovered in the face of a decent Global Equities sell-off. As highlighted in the update, the PCR & Skew of the options...

AceGama Advisors

India: Index Implications of Additions to the F&O Segment

With 79 stocks potentially added to the FnO market in the next few months, there will be a lot of changes for the NIFTY, NEXT50, NSEBANK, CNXIT,...

Brian Freitas

India: Potential Adds/Deletes from F&O Segment

There could be 79 inclusions and 18 deletions for the FnO segment following the revised eligibility criteria. That will in turn result in some of...

Brian Freitas

EQD / NSE Vol Update / IVs Move Higher as Equities Falter. End-Of-Summer Seasonality at Play?

IVs higher to 14% as ​Equities falter. Is it end-of-summer seasonality? Low PCR & Put-strike OI contributing to Index struggles.

AceGama Advisors

Thematic Report: Charting Key Trends of India's IPO Boom

​India's IPO market is thriving in 2024, with record high IPOs and strong investor confidence leading to better returns and opportunities for...

Sudarshan Bhandari

EQD / NSE Vol Update / Skew & PCR Indicate Active Use of OTM Puts to Hedge NIFTY50 at All-Time-Highs

Nifty50 held supports & recovered in the face of a decent Global Equities sell-off. As highlighted in the update, the PCR & Skew of the options...

AceGama Advisors

India: Index Implications of Additions to the F&O Segment

With 79 stocks potentially added to the FnO market in the next few months, there will be a lot of changes for the NIFTY, NEXT50, NSEBANK, CNXIT,...

Brian Freitas

India: Potential Adds/Deletes from F&O Segment

There could be 79 inclusions and 18 deletions for the FnO segment following the revised eligibility criteria. That will in turn result in some of...

Brian Freitas

IVs higher to 14% as Equities falter. Is it end-of-summer seasonality? Low PCR & Put-strike OI contributing to Index struggles.

India's IPO market is thriving in 2024, with record high IPOs and strong investor confidence leading to better returns and opportunities for...