Derivatives and Quantitative Strategist

Gaudenz Schneider

Event-Driven

<ul>
<li>The Reserve Bank of India (RBI) will announce its monetary policy decision on Friday, June 6, 2025. Market consensus expects a rate cut to 5.75%.</li>
<li>Analysis of the <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index</a> over the past decade shows consistent negative returns on rate decision days when a cut is expected—regardless of whether the cut is delivered.</li>
<li>This Insight highlights actionable insights for traders by revealing historical patterns in the Nifty Bank Index’s behavior on RBI rate decision days and breaking down market reactions by scenario.</li>
</ul>


The Reserve Bank of India (RBI) will announce its monetary policy decision on Friday, June 6, 2025. Market consensus expects a rate cut to 5.75%.
Analysis of the NSE Nifty Bank Index over the past decade shows consistent negative returns on rate decision days when a cut is expected—regardless of whether the cut is delivered.
This Insight highlights actionable insights for traders by revealing historical patterns in the Nifty Bank Index’s behavior on RBI rate decision days and breaking down market reactions by scenario.


This Friday’s RBI Decision: Nifty Bank Slips Either Way, History Suggests

Equity Derivatives

NSE Nifty Bank Index / Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index</a> implied volatility could be seen as rich when compared to its own history and in comparison to realized volatility.</li>
<li>Putting implied volatility into context with the <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index</a> 200 day moving average will lead to a different conclusion. Selling volatility might not be the opportunity it seems.</li>
<li>This Insight provides a quantitative indication at which level implied volatility can be assessed as rich.</li>
</ul>



NSE Nifty Bank Index implied volatility could be seen as rich when compared to its own history and in comparison to realized volatility.
Putting implied volatility into context with the NSE Nifty Bank Index 200 day moving average will lead to a different conclusion. Selling volatility might not be the opportunity it seems.
This Insight provides a quantitative indication at which level implied volatility can be assessed as rich.


EQD | NSE Nifty Bank Index - Implied Volatility Not (Yet) Rich Enough.

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>In May, SEBI recommended changes to the minimum number of constituents for non-benchmark indices and the capping for those indices. Then came the market consultation in August.</li>
<li>SEBI has now confirmed the changes along with the timeline for capping changes to the largest stocks in the index.</li>
<li>The changes could commence in December and continue till March. The adds will take place in December and weight changes for the largest stocks will take place in 4 tranches.</li>
</ul>


In May, SEBI recommended changes to the minimum number of constituents for non-benchmark indices and the capping for those indices. Then came the market consultation in August.
SEBI has now confirmed the changes along with the timeline for capping changes to the largest stocks in the index.
The changes could commence in December and continue till March. The adds will take place in December and weight changes for the largest stocks will take place in 4 tranches.


NIFTY Bank Index: Methodology Changes to Result in Big Flows

Equity Bottom-Up

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/lic-housing-finance-ltd" target="_blank" data-smartkarma-citation="entities:15667:1" rel="noopener">LIC Housing Finance (LICHF IN)</a> vs. <a href="https://www.smartkarma.com/entities/bank-of-india" target="_blank" data-smartkarma-citation="entities:541:1" rel="noopener">Bank Of India (BOI IN)</a> price-ratio deviates more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Going long <a href="https://www.smartkarma.com/entities/lic-housing-finance-ltd" target="_blank" data-smartkarma-citation="entities:15667:1" rel="noopener">LIC Housing Finance (LICHF IN)</a> and short <a href="https://www.smartkarma.com/entities/bank-of-india" target="_blank" data-smartkarma-citation="entities:541:1" rel="noopener">Bank Of India (BOI IN)</a> targets a 7% return.</li>
<li>
Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.</li>
</ul>



Context: The LIC Housing Finance (LICHF IN) vs. Bank Of India (BOI IN) price-ratio deviates more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long LIC Housing Finance (LICHF IN) and short Bank Of India (BOI IN) targets a 7% return.

Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.


Long LIC Housing (LICHF IN) Vs. Short Bank of India (BOI IN): Statistical Arbitrage Pair Trade

Chief Economist & Political Strategist, CrossASEAN Research

Prasenjit K. Basu

Chief Economist & Political Strategist

CrossASEAN Research

At CrossASEAN Research we strive to produce unbiased and differentiated on the ground insights on companies across South East Asia. Our Research is produced for the most part after face to face meetings and conversations with company management to dig deep into the long term vision and strategy of the companies we cover. We seek to deliver investable and actionable themes on sectors and markets across SE Asia, often in collaboration with other Insight Providers across the region, pooling the vast experience of the analysts within the Smartkarma Ecosystem. We also offer bespoke work and tailor made trips for our clients. 

Insights across South East Asia

Macroeconomics

<ul>
<li>RBI's MPC cut its policy repo rate by 50bp (to 5.5%, implying cuts totalling 100bp in the past half year), and also a phased 100bp cut in CRR by Dec'25. </li>
<li>Despite CPI inflation moderating below 3.2%YoY in Apr'25, the RBI has only slightly lowered its inflation forecast for FY26 to 3.7% (from 4%), and hence returned to a neutral stance. </li>
<li>Given an above-normal monsoon, already strong Rabi crop, and low crude oil prices, we expect CPI inflation to average less than 3%YoY in Jun-Dec'25, allowing 75bp of further rate cuts. </li>
</ul>


RBI's MPC cut its policy repo rate by 50bp (to 5.5%, implying cuts totalling 100bp in the past half year), and also a phased 100bp cut in CRR by Dec'25. 
Despite CPI inflation moderating below 3.2%YoY in Apr'25, the RBI has only slightly lowered its inflation forecast for FY26 to 3.7% (from 4%), and hence returned to a neutral stance. 
Given an above-normal monsoon, already strong Rabi crop, and low crude oil prices, we expect CPI inflation to average less than 3%YoY in Jun-Dec'25, allowing 75bp of further rate cuts. 


India: 50bp Rate Cut, 100bp of CRR Cuts Pave the Way for Faster RGDP Growth

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
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NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

This Friday’s RBI Decision: Nifty Bank Slips Either Way, History Suggests

RBI set to announce rate decision on June 6, with expectations of a cut to 5.75%. Analysis shows negative returns in the Nifty Bank Index on rate...

Gaudenz Schneider

EQD | NSE Nifty Bank Index - Implied Volatility Not (Yet) Rich Enough.

Implied volatility for the NSE Nifty Bank Index may seem high historically, but seen in context with the index's 200 day moving average suggests...

Gaudenz Schneider

NIFTY Bank Index: Methodology Changes to Result in Big Flows

The methodology and capping changes for the Nifty Bank Index will be implemented in 4 tranches, likely ending in March. The flows are big and the...

Brian Freitas

Long LIC Housing (LICHF IN) Vs. Short Bank of India (BOI IN): Statistical Arbitrage Pair Trade

Potential relative value opportunity with a 7% target-return by going long LIC Housing Finance and short Bank of India. Essential for quantitative...

Gaudenz Schneider

India: 50bp Rate Cut, 100bp of CRR Cuts Pave the Way for Faster RGDP Growth

We forecast 8.5% real GDP growth in FY26, with another 75bp of rate cuts by Dec'25 (after 100bp cuts in Feb-Jun'25) boosting fixed investment,...

Prasenjit K. Basu

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

This Friday’s RBI Decision: Nifty Bank Slips Either Way, History Suggests

​RBI set to announce rate decision on June 6, with expectations of a cut to 5.75%. Analysis shows negative returns in the Nifty Bank Index on rate...

Gaudenz Schneider

EQD | NSE Nifty Bank Index - Implied Volatility Not (Yet) Rich Enough.

​Implied volatility for the NSE Nifty Bank Index may seem high historically, but seen in context with the index's 200 day moving average suggests...

Gaudenz Schneider

NIFTY Bank Index: Methodology Changes to Result in Big Flows

The methodology and capping changes for the Nifty Bank Index will be implemented in 4 tranches, likely ending in March. The flows are big and the...

Brian Freitas

Long LIC Housing (LICHF IN) Vs. Short Bank of India (BOI IN): Statistical Arbitrage Pair Trade

Potential relative value opportunity with a 7% target-return by going long LIC Housing Finance and short Bank of India. Essential for quantitative...

Gaudenz Schneider

India: 50bp Rate Cut, 100bp of CRR Cuts Pave the Way for Faster RGDP Growth

We forecast 8.5% real GDP growth in FY26, with another 75bp of rate cuts by Dec'25 (after 100bp cuts in Feb-Jun'25) boosting fixed investment,...

Prasenjit K. Basu

RBI set to announce rate decision on June 6, with expectations of a cut to 5.75%. Analysis shows negative returns in the Nifty Bank Index on rate...

Implied volatility for the NSE Nifty Bank Index may seem high historically, but seen in context with the index's 200 day moving average suggests...