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>With the review period nearing completion, there could be 14/15 changes for the NIFTY Midcap 150 Index at the September rebalance.</li>
<li>Estimated one-way turnover is 8.2% resulting in a one-way trade of INR 6.6bn (US$79m). With US$38bn tracking the index actively, the impact on the stocks will be much larger.</li>
<li>Performance of a long adds/short deletes trade was very good in March, and we could see a repeat over the next couple of months.</li>
</ul>


With the review period nearing completion, there could be 14/15 changes for the NIFTY Midcap 150 Index at the September rebalance.
Estimated one-way turnover is 8.2% resulting in a one-way trade of INR 6.6bn (US$79m). With US$38bn tracking the index actively, the impact on the stocks will be much larger.
Performance of a long adds/short deletes trade was very good in March, and we could see a repeat over the next couple of months.


NIFTY MIDCAP150 Index Rebalance Preview: 14 Changes & Good Performance as Actives Start Trading

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>IVs for Monthly &amp; Quarterly contracts rose as options market baked in additional risk premia for the Budget Announcement. </li>
<li>Vega bid &amp; Gamma offered  - Monthly IVs higher by +2.3 vols &amp; Weekly IVs lower by -0.5 vols.  Short-Dated IVs closed lower in spite of upcoming earnings events </li>
<li>Term structure is trading with a kinked shape, with Monthly IVs trading at a markup to rest of the curve</li>
</ul>


IVs for Monthly &amp; Quarterly contracts rose as options market baked in additional risk premia for the Budget Announcement. 
Vega bid &amp; Gamma offered  - Monthly IVs higher by +2.3 vols &amp; Weekly IVs lower by -0.5 vols.  Short-Dated IVs closed lower in spite of upcoming earnings events 
Term structure is trading with a kinked shape, with Monthly IVs trading at a markup to rest of the curve


EQD / NSE Vol Update / Vega Was Bid & Gamma Was Offered

<ul>
<li>Regular Spot-Vol Correlations reasserted - Implied Volatilities (IVs) traded lower as Equity Markets continued making new Highs.</li>
<li>As expected, Vol-Regime Switching Model is stuck in "High &amp; Down" state. IVs projected to grind lower over an elongated period.      </li>
<li>Changes in Vol term-structure + Skew/ Smile compression - indicative of reduced risk-premia for July-end India Budget event.</li>
</ul>


Regular Spot-Vol Correlations reasserted - Implied Volatilities (IVs) traded lower as Equity Markets continued making new Highs.
As expected, Vol-Regime Switching Model is stuck in "High &amp; Down" state. IVs projected to grind lower over an elongated period.      
Changes in Vol term-structure + Skew/ Smile compression - indicative of reduced risk-premia for July-end India Budget event.


EQD / NSE Vol Update / Regular Correlations Take Hold - Vols Drop as Market Soars

<ul>
<li>Implied Volatilities (IVs) continued to rise as the underlying index tried to break above critical resistance - marking a break-down of usual spot-vol correlations.</li>
<li>Vol surface smile &amp; skew characteristics held steady at the 25-Delta point of curve, while dynamics at the 10-Delta zone extended further.</li>
<li>Nifty50 Back-end Term Structure is in Backwardation as Monthly options enjoy markups based on July-end Indian Budget release.   </li>
</ul>


Implied Volatilities (IVs) continued to rise as the underlying index tried to break above critical resistance - marking a break-down of usual spot-vol correlations.
Vol surface smile &amp; skew characteristics held steady at the 25-Delta point of curve, while dynamics at the 10-Delta zone extended further.
Nifty50 Back-end Term Structure is in Backwardation as Monthly options enjoy markups based on July-end Indian Budget release.   


EQD / NSE Vol Update / IVs Rise in Conjunction with Equities Counter to Regular Spot-Vol Correlation

<ul>
<li>Implied Volatilities (IVs) stabilized over the week after falling dramatically since the 04-June-2024 India General Election results.</li>
<li>No tactical changes required while IVs are stable &amp; "High &amp; Down" Vol-state is maintained.</li>
<li>Vol Curve continues to be in Contango. Lack of significant event risk should keep term structure locked in its current orientation. </li>
</ul>


Implied Volatilities (IVs) stabilized over the week after falling dramatically since the 04-June-2024 India General Election results.
No tactical changes required while IVs are stable &amp; "High &amp; Down" Vol-state is maintained.
Vol Curve continues to be in Contango. Lack of significant event risk should keep term structure locked in its current orientation. 


EQD / NSE Vol Update / IVs Stabilize After Falling Dramatically over past 2 Weeks

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)

NIFTY MIDCAP150 Index Rebalance Preview: 14 Changes & Good Performance as Actives Start Trading

There could be 14/15 changes for the NIFTY Midcap150 Index in Sep. Apart from the passive trackers, there are huge active funds tracking the index....

Brian Freitas

EQD / NSE Vol Update / Vega Was Bid & Gamma Was Offered

IVs rise as additional risk premia gets baked in for Budget Announcement. Kinked-shaped term structure with Monthly IVs trading at a markup to rest...

AceGama Advisors

EQD / NSE Vol Update / Regular Correlations Take Hold - Vols Drop as Market Soars

IVs trade lower as equity markets reach new highs. Vol Regime Model projects continued IV decline. Vol Surface characteristics imply reduced risk...

AceGama Advisors

EQD / NSE Vol Update / IVs Rise in Conjunction with Equities Counter to Regular Spot-Vol Correlation

Implied volatilities rise as index tests resistance, spot-vol correlations break down. Nifty50 options show backwardation due to Indian Budget...

AceGama Advisors

EQD / NSE Vol Update / IVs Stabilize After Falling Dramatically over past 2 Weeks

Unusual activity in BankNifty Vol Term Structure. Vol curve opened the week in Backwardation while underlying Index continues to to trade at ATHs.

AceGama Advisors

NIFTY MIDCAP150 Index Rebalance Preview: 14 Changes & Good Performance as Actives Start Trading

There could be 14/15 changes for the NIFTY Midcap150 Index in Sep. Apart from the passive trackers, there are huge active funds tracking the index....

Brian Freitas

EQD / NSE Vol Update / Vega Was Bid & Gamma Was Offered

IVs rise as additional risk premia gets baked in for Budget Announcement. Kinked-shaped term structure with Monthly IVs trading at a markup to rest...

AceGama Advisors

EQD / NSE Vol Update / Regular Correlations Take Hold - Vols Drop as Market Soars

​IVs trade lower as equity markets reach new highs. Vol Regime Model projects continued IV decline. Vol Surface characteristics imply reduced risk...

AceGama Advisors

EQD / NSE Vol Update / IVs Rise in Conjunction with Equities Counter to Regular Spot-Vol Correlation

​Implied volatilities rise as index tests resistance, spot-vol correlations break down. Nifty50 options show backwardation due to Indian Budget...

AceGama Advisors

EQD / NSE Vol Update / IVs Stabilize After Falling Dramatically over past 2 Weeks

Unusual activity in BankNifty Vol Term Structure. Vol curve opened the week in Backwardation while underlying Index continues to to trade at ATHs.

AceGama Advisors

IVs trade lower as equity markets reach new highs. Vol Regime Model projects continued IV decline. Vol Surface characteristics imply reduced risk...

Implied volatilities rise as index tests resistance, spot-vol correlations break down. Nifty50 options show backwardation due to Indian Budget...