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EQD / NSE NIFTY50 Vol Update / Stable Index Causes Risk-Premia Markdown.
794 Views29 Dec 2024 20:04
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.
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