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.

Event-Driven

<ul>
<li>IVs Spike with Election Results release on 04-June-2024. Post event there's a risk of large IV-crush regardless of the result.</li>
<li>Current Vol-state is "High &amp; Up". Wait for the switch to "High &amp; Down" before initiating new risk-premia harvesting strategies</li>
<li>Weekly IVs have received large markups due to elections. Entire Vol Curve is now in Backwardation -  curve inversion at extreme levels</li>
</ul>


IVs Spike with Election Results release on 04-June-2024. Post event there's a risk of large IV-crush regardless of the result.
Current Vol-state is "High &amp; Up". Wait for the switch to "High &amp; Down" before initiating new risk-premia harvesting strategies
Weekly IVs have received large markups due to elections. Entire Vol Curve is now in Backwardation -  curve inversion at extreme levels


EQD / Weekly Vol Update / IVs Spike with Election Results Round the Corner

<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

<ul>
<li>IVs were crushed in the aftermath of Election results &amp; in spite of lingering political instability &amp; significant moves in RV.</li>
<li>Vol-Regime Switching Model is holding at "High &amp; Up" state. Probability of switching to "High &amp; Down" state has increased significantly.</li>
<li>Vol term structure is still in Backwardation - should transition to Contango as IV &amp; RV drift lower.</li>
</ul>


IVs were crushed in the aftermath of Election results &amp; in spite of lingering political instability &amp; significant moves in RV.
Vol-Regime Switching Model is holding at "High &amp; Up" state. Probability of switching to "High &amp; Down" state has increased significantly.
Vol term structure is still in Backwardation - should transition to Contango as IV &amp; RV drift lower.


EQD / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint

<ul>
<li>Multiple factors help IVs stabilize after last week's spike. "High &amp; Up" vol state to persist until elections results on 04-June-2024.</li>
<li>SEBI makes changes to Dynamic Price-band Mechanism. Will impact options market-making &amp; should have an overall Vol suppressing effect. </li>
<li>Nifty50 10-delta Risk-reversals extend to -8.5% as the Index reaches 23000. Risk-premia favouring puts over calls is looking over-extended.</li>
</ul>


Multiple factors help IVs stabilize after last week's spike. "High &amp; Up" vol state to persist until elections results on 04-June-2024.
SEBI makes changes to Dynamic Price-band Mechanism. Will impact options market-making &amp; should have an overall Vol suppressing effect. 
Nifty50 10-delta Risk-reversals extend to -8.5% as the Index reaches 23000. Risk-premia favouring puts over calls is looking over-extended.


EQD / NSE Volatility Update / 20-May-24 to 24-May-24

<ul>
<li>Curtail Short Gamma &amp; Short Vega exposure as Vol-regime has switched to "High &amp; Up" state.  </li>
<li>Short-Dated IVs traded markedly lower, driven by recovering equities &amp; the 20-May market holiday</li>
<li>Nifty50 vol curve is exhibiting unusual kinked shape. Monthly IVs are commanding a large vol markup relative to rest of the curve. </li>
</ul>


Curtail Short Gamma &amp; Short Vega exposure as Vol-regime has switched to "High &amp; Up" state.  
Short-Dated IVs traded markedly lower, driven by recovering equities &amp; the 20-May market holiday
Nifty50 vol curve is exhibiting unusual kinked shape. Monthly IVs are commanding a large vol markup relative to rest of the curve. 


EQD / NSE Volatility Update / 13-May-24 to 17-May-24

India

Nifty Bank Index is a free-float capitalization-weighted index comprised of the most liquid and large capitalized Indian Banking stocks. The index will have 12 stocks from the banking sector, which trade on the National Stock Exchange. The index was developed with a base value of 1000 as of January 1, 2000.

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

EQD / Weekly Vol Update / IVs Spike with Election Results Round the Corner

Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

AceGama Advisors

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

EQD / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint

IVs get crushed post-elections in spite of lingering political instability & large trading ranges. Vol regime remains "High & Up". Vol term...

AceGama Advisors

EQD / NSE Volatility Update / 20-May-24 to 24-May-24

IVs stabilize post-spike but high vol state will last until election results. SEBI changes to impact options market-making, Nifty50 risk-reversals...

AceGama Advisors

EQD / NSE Volatility Update / 13-May-24 to 17-May-24

Vol-regime has switched to "High & Up" state. Reduce Short Gamma & Short Vega exposure. Short-Dated IVs softer on account of market holiday....

AceGama Advisors

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

EQD / Weekly Vol Update / IVs Spike with Election Results Round the Corner

​Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

AceGama Advisors

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

EQD / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint

IVs get crushed post-elections in spite of lingering political instability & large trading ranges. Vol regime remains "High & Up". Vol term...

AceGama Advisors

EQD / NSE Volatility Update / 20-May-24 to 24-May-24

​IVs stabilize post-spike but high vol state will last until election results. SEBI changes to impact options market-making, Nifty50 risk-reversals...

AceGama Advisors

EQD / NSE Volatility Update / 13-May-24 to 17-May-24

Vol-regime has switched to "High & Up" state. ​Reduce Short Gamma & Short Vega exposure. Short-Dated IVs softer on account of market holiday....

AceGama Advisors

Vols spiking! Risk of IV-crush post elections. Wait for Vol regime switch to "High & Down" to initiate new short Gamma positions. Vol Curve...

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

IVs stabilize post-spike but high vol state will last until election results. SEBI changes to impact options market-making, Nifty50 risk-reversals...

Vol-regime has switched to "High & Up" state. Reduce Short Gamma & Short Vega exposure. Short-Dated IVs softer on account of market holiday....