In today’s briefing:
- Adani Green Energy (ADANIGR IN): Facing the Passive Boot; But Who Will Buy?
- EQD / NSE NIFTY50 Vol Update / Stable Index Causes Risk-Premia Markdown.
Adani Green Energy (ADANIGR IN): Facing the Passive Boot; But Who Will Buy?
- Passive global index trackers sold Adani Green Energy (ADANIGR IN) in November following a big drop in free float for the stock.
- There could be more selling in Adani Green Energy in February as the stock is deleted from the same large global index due to failing free float market cap thresholds.
- With the company at the center of the U.S indictment focused on bribery charges, active foreign and local investors will be wary of buying the stock.
EQD / NSE NIFTY50 Vol Update / Stable Index Causes Risk-Premia Markdown.
- Nifty50 trading range was stable over the holiday shortened week. Option Markets responded accordingly, risk-premia was marked down. Monthly IV: 15.0% -> 11.5%.
- Vol-Regime has switched back to “High & Down” state. Wait-and-watch approach recommended given year-end effects..
- IV selloff has pushed entirety of term-structure into Contango. Skew has extended while Smile has compressed. Smile compression most notable in Monthly 10D Strangles.
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