Daily Brief India: Kalyan Jewellers, Indian Hotels, NIFTY Index and more

In today’s briefing:

Kalyan Jewellers: Rumour-Driven Stock Slide, F&O Ban—Is There Room for Further Correction?
NIFTY NEXT50 Index Rebalance Preview: 7 Potential Changes in March
EQD / NSE NIFTY50 Vol Update / India Budget Event Is Driving Price-Action in the Options Market

Kalyan Jewellers: Rumour-Driven Stock Slide, F&O Ban—Is There Room for Further Correction?

Kalyan Jewellers (KALYANKJ IN) stock has dropped 36% year-to-date and is now under an F&O ban after open interest hit threshold limits.
The rumours driving the stock decline lack financial or strategic relevance with no substantial reason for long-term investors to panic.
The stock correction has realigned Kalyan’s P/E discount to Titan, with current levels likely to stabilise and thus provide a near term support for Kalyan Jeweller’s stock price.

With 10 trading days left in the review period, there could be 7 changes (including 2 migrations) for the NSE Nifty Next 50 Index (NIFTYJR INDEX) in March.
Estimated one-way turnover is 15.9% resulting in a one-way trade of INR 52bn (US$600m). All forecast changes, bar one, have over 1.5x ADV to trade from passive trackers.
All the forecast deletes are F&O members while two adds are not. NSE Indices could revisit the index membership criteria especially given the launch of futures on the index.

India Budget on 01.02.2025 driving price-action in the Options Market. Monthly IVs marked up at 17.0% as contracts cover event-risk. Vol Regime Model pushed into “High & Up” state.
Vol term-structure bent into kinked-shape due to India Budget date. Skew characteristics are elevated while Smile largely unchanged with the exception of Monthly 10-Delta Strangles.
Trading Strategy Implications: (1) Switch to “High & Up” vol-state triggers a cutback in Short Gamma & Short Vega exposure. (2) Vol-barbell opportunity due to the kinked-shape of the Vol-curve.

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