In today’s briefing:
- NSE NIFTY50/ Vol Update / Risk Premia Catches up with Global Counterparts in Spite of Truncated Week
NSE NIFTY50/ Vol Update / Risk Premia Catches up with Global Counterparts in Spite of Truncated Week
- Risk premia in Nifty50 Options catches up with Global Markets as IVs spike from sub-12% to 24% – levels last seen during 2024 National Elections.
- Vol-Regime switches from “Low & Up” state to “High & Up”. Term-structure swings into Backwardation. Front-end risk premiums elevated in spite of truncated upcoming week.
- Tactical Implications: (1) Use IV-spike to flatten +ve Vega exposure. (2) Avoid -ve Gamma, Vol harvesting structures. (3) Front-end/ Back-end Calendars recommended as extreme curve inversion expected to normalize.
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