In today’s briefing:
- NSE NIFTY50/ Vol Update / SEBI Intervenes Stalling Expiry Day Shift. IVs Pushed to 1Yr Lows.
NSE NIFTY50/ Vol Update / SEBI Intervenes Stalling Expiry Day Shift. IVs Pushed to 1Yr Lows.
- SEBI intervenes on constantly changing Option contract specifications. NSE halts expiry day shift indefinitely & awaits clarity from regulator.
- IVs slid lower to 11% levels – extended weekend being a primary factor. Risk premia is nearing historically low extremes. “Low & Down” state persists for the Vol-Regime model.
- Tactical Implications: (1) Scale back Vol harvesting structures as “Low & Down” Vol-state persists. (2) Reverse Calendars for long gamma exposure to upcoming events. Utilize Low IVs & curve Contango.
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