In today’s briefing:
- NIFTY50 Index Rebalance Preview: Yuuge Flow & Impact; Positioning Mixed
- EQD / NSE NIFTY50 Vol Update / High & Down Vol State Confirmed. Greenlight for Selling Smile/ Vega.
NIFTY50 Index Rebalance Preview: Yuuge Flow & Impact; Positioning Mixed
- Zomato (ZOMATO IN) and Jio Financial Services (JIOFIN IN) should replace Bharat Petroleum Corp (BPCL IN) and Britannia Industries (BRIT IN) in the NIFTY Index (NIFTY INDEX) in March.
- Passive NIFTY Index trackers will need to trade at least 4.5x ADV and 8.8x delivery volume on the stocks. There is some opposite flow from Nifty Next 50 Index trackers.
- There does not appear to be a lot of positioning in Jio Financial Services (JIOFIN IN) and the stock could outperform its peers over the next few months.
EQD / NSE NIFTY50 Vol Update / High & Down Vol State Confirmed. Greenlight for Selling Smile/ Vega.
- IVs higher alongside the underlying index. Weekly expiry (02.01.2025) served as the inflection point sending IVs back down. Monthly IVs: 12.7% (Open) -> 14.4% (02.01.2025) -> 13.3% (Close).
- Vol Term-structure swung between Contango & Backwardation around expiry date. Skew in Monthly contracts compressed as IVs moved higher. Smile unchanged.
- Trading Strategy Implications: Reengage Smile/ Vega harvesting structures. Abandon wait-and-watch stance – “High & Down” vol state confirmed.
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