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

Nico Rosti

Pan-Asia Tactical Market Calls (Quant-Driven)

MRM Research

Quantitative Research

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</a> has been rallying for months, but in the last few weeks there has been a considerable slow down in its rising pace.</li>
<li>Currently the index is at a point where it could pull back this coming week, based on our MRM patterns reading. </li>
<li>A possible alternative scenario would be a continuation of the rally for a total of 4-5 weeks up in a row.</li>
</ul>


The NIFTY Index has been rallying for months, but in the last few weeks there has been a considerable slow down in its rising pace.
Currently the index is at a point where it could pull back this coming week, based on our MRM patterns reading. 
A possible alternative scenario would be a continuation of the rally for a total of 4-5 weeks up in a row.


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.

Cross Asset Strategy

<ul>
<li>Market regulator intervenes to curb excess leverage in equity markets. IVs recover from last week's selloff but bound by 12-16% range. </li>
<li>Vol Regime Model clearly signals "High &amp; Down" state, projecting a slow grind lower for IVs</li>
<li>Shape of the vol surface is indicative of a market well positioned to handle corrections </li>
</ul>


Market regulator intervenes to curb excess leverage in equity markets. IVs recover from last week's selloff but bound by 12-16% range. 
Vol Regime Model clearly signals "High &amp; Down" state, projecting a slow grind lower for IVs
Shape of the vol surface is indicative of a market well positioned to handle corrections 


EQD / NSE Volatility Update / 11-Mar-24 to 15-Mar-24

<ul>
<li>The NIFTY Index this week suddenly stopped its rally and started to correct. </li>
<li>This week should close down and the next week may be also down, but if it is the odds are great for a LONG trade.</li>
<li>Re-Enter the rally at prices between 21800 and 21150, this week or the next.</li>
</ul>


The NIFTY Index this week suddenly stopped its rally and started to correct. 
This week should close down and the next week may be also down, but if it is the odds are great for a LONG trade.
Re-Enter the rally at prices between 21800 and 21150, this week or the next.


<ul>
<li>New ATHs again in NIFTY50! But IVs move significantly lower! Holiday shortened week ahead.</li>
<li>Vol Regime Model shifts clearly to "High &amp; Down" state. Wait-and-see approach warranted on account of 3-day weekend. </li>
<li>As of 01-Mar-2024 Weekly &amp; Monthly BankNifty options will expire on Wednesdays.  </li>
</ul>


New ATHs again in NIFTY50! But IVs move significantly lower! Holiday shortened week ahead.
Vol Regime Model shifts clearly to "High &amp; Down" state. Wait-and-see approach warranted on account of 3-day weekend. 
As of 01-Mar-2024 Weekly &amp; Monthly BankNifty options will expire on Wednesdays.  


EQD / NSE Volatility Update / 04-Mar-24 to 08-Mar-24

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>
<a href="https://www.smartkarma.com/entities/british-american-tobacco-plc" target="_blank" data-smartkarma-citation="entities:21828:1" rel="noopener">British American Tobacco (BATS LN)</a> owns 29.03% of <a href="https://www.smartkarma.com/entities/itc-ltd" target="_blank" data-smartkarma-citation="entities:327:1" rel="noopener">ITC Ltd (ITC IN)</a> and could sell a portion of its stake. But BAT will hold at least 25% of the company.</li>
<li>
<a href="https://www.smartkarma.com/entities/british-american-tobacco-plc" target="_blank" data-smartkarma-citation="entities:21828:1" rel="noopener">British American Tobacco (BATS LN)</a> paring its stake could also lead to SUUTI gradually reducing its own holding in the company.</li>
<li>Any stake sales would not result in buying from global passive trackers while there will be small buying from local index trackers. Increased float could pressure the stock.</li>
</ul>



British American Tobacco (BATS LN) owns 29.03% of ITC Ltd (ITC IN) and could sell a portion of its stake. But BAT will hold at least 25% of the company.

British American Tobacco (BATS LN) paring its stake could also lead to SUUTI gradually reducing its own holding in the company.
Any stake sales would not result in buying from global passive trackers while there will be small buying from local index trackers. Increased float could pressure the stock.


ITC Ltd (ITC IN): Impact of BAT's Potential Stake Sale

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 | Is the NIFTY's Rally Halting?

Our proprietary WEEKLY patterns model indicate this coming week will be crucial for the NIFTY's short-term direction: the index could pull back...

Nico Rosti

EQD / NSE Volatility Update / 11-Mar-24 to 15-Mar-24

IVs rebound but remain constrained within a 12-16% range. Volatility Regime Model predicts a gradual decline in IVs. Volatility surface suggests...

AceGama Advisors

EQD | NIFTY Down: Where to BUY WEEKLY

The NIFTY Index is correcting after a rally, presenting a potential opportunity for a LONG trade at prices between 21800 and 21150.

Nico Rosti

EQD / NSE Volatility Update / 04-Mar-24 to 08-Mar-24

NIFTY50 hits new highs as IVs continue to drop. Potential change in Vol Regime. But caution advised due to holiday-shortened week. BankNifty...

AceGama Advisors

ITC Ltd (ITC IN): Impact of BAT's Potential Stake Sale

Multiple media outlets reporting that British American Tobacco are looking at selling part of their stake in ITC as early as this week. The reports...

Brian Freitas

EQD | Is the NIFTY's Rally Halting?

Our proprietary WEEKLY patterns model indicate this coming week will be crucial for the NIFTY's short-term direction: the index could pull back...

Nico Rosti

EQD / NSE Volatility Update / 11-Mar-24 to 15-Mar-24

IVs rebound but remain constrained within a 12-16% range. Volatility Regime Model predicts a gradual decline in IVs. Volatility surface suggests...

AceGama Advisors

EQD | NIFTY Down: Where to BUY WEEKLY

​The NIFTY Index is correcting after a rally, presenting a potential opportunity for a LONG trade at prices between 21800 and 21150.

Nico Rosti

EQD / NSE Volatility Update / 04-Mar-24 to 08-Mar-24

​NIFTY50 hits new highs as IVs continue to drop. Potential change in Vol Regime. But caution advised due to holiday-shortened week. BankNifty...

AceGama Advisors

ITC Ltd (ITC IN): Impact of BAT's Potential Stake Sale

Multiple media outlets reporting that British American Tobacco are looking at selling part of their stake in ITC as early as this week. The reports...

Brian Freitas

The NIFTY Index is correcting after a rally, presenting a potential opportunity for a LONG trade at prices between 21800 and 21150.

NIFTY50 hits new highs as IVs continue to drop. Potential change in Vol Regime. But caution advised due to holiday-shortened week. BankNifty...