Nifty50 trading range stable over holiday week, option markets respond with risk-premia markdown. Volatility regime now "High & Down", term-structure in Contango with Smile compression.
What is covered in the Full Insight:
Introduction
Market Overview
Volatility and Risk-Premia
Option Market Dynamics
Strategy Implications
Boomeranged on Thu, 2 Jan 2025 08:13
Market are back from holidays & IVs have been pushed back up. Weekly IVs trading up at 16% & Monthly IVs are back in the 14% zone. Vol term-structure has quickly inverted as well, with Weekly vs. Monthly vol-differentials swinging from -1.1 vols to +1.5 vols & Monthly vs. Quarterly Vol-differential flattening out.