Head of Trading/ Partner, AceGama Advisors

Sankalp Singh

Head of Trading/ Partner

Proprietary Trading Desk

AceGama Advisors

Trading desk specializing in the Listed & OTC options strategies for risk management & investment purposes.

Event-Driven

The NIFTY 50 index is National Stock Exchange of India's benchmark stock market index for Indian equity market. Nifty is owned and managed by India Index Services and Products (IISL), which is a wholly owned subsidiary of the NSE Strategic Investment Corporation Limited.

<ul>
<li>SEBI extends cross-margining discounts to correlated assets with different maturities - Dispersion trading &amp; vol arb strategies to benefit. </li>
<li>In spite of upcoming tier-1 event risks the vol surface has flattened  dramatically. Current IV levels are supportive of a continued "High &amp; Down" vol state.</li>
<li>Curve steepening seen in Nifty50 IVs. Unusual kinked-shaped in BankNifty term structure has normalized - vol curve now has a uniform orientation.</li>
</ul>


SEBI extends cross-margining discounts to correlated assets with different maturities - Dispersion trading &amp; vol arb strategies to benefit. 
In spite of upcoming tier-1 event risks the vol surface has flattened  dramatically. Current IV levels are supportive of a continued "High &amp; Down" vol state.
Curve steepening seen in Nifty50 IVs. Unusual kinked-shaped in BankNifty term structure has normalized - vol curve now has a uniform orientation.


EQD / NSE Volatility Update / 22-Apr-24 to 26-Apr-24

<ul>
<li>Unprecedented levels of FII option-buying &amp; increasing geo-political risk causing IVs to re-price higher.</li>
<li>Skew/ Smile characteristics of the Vol Surface reflect increased risk aversion but not it panic mode - yet.</li>
<li>BankNifty IVs exhibiting unusual "kink-in-the-curve". Enter barbell structures to position for reversion in curve shape.</li>
</ul>


Unprecedented levels of FII option-buying &amp; increasing geo-political risk causing IVs to re-price higher.
Skew/ Smile characteristics of the Vol Surface reflect increased risk aversion but not it panic mode - yet.
BankNifty IVs exhibiting unusual "kink-in-the-curve". Enter barbell structures to position for reversion in curve shape.


EQD / NSE Volatility Update / 15-Apr-24 to 19-Apr-24

<ul>
<li>Downtrend in IVs stall as market sentiment deteriorates. Vol Regime Model sticks to "High &amp; Down" state.</li>
<li>Consider Equity Tail hedges/ buying OTM puts in current environment. Roll strikes lower if/when equities weaken further.</li>
<li>Skew compression seen in BankNifty options as preference for out-of-money puts wane. Skew selling an unsuitable strategy at current levels.</li>
</ul>


Downtrend in IVs stall as market sentiment deteriorates. Vol Regime Model sticks to "High &amp; Down" state.
Consider Equity Tail hedges/ buying OTM puts in current environment. Roll strikes lower if/when equities weaken further.
Skew compression seen in BankNifty options as preference for out-of-money puts wane. Skew selling an unsuitable strategy at current levels.


EQD / NSE Volatility Update / 08-Apr-24 to 12-Apr-24

<ul>
<li>Equities shrug off hawkish RBI rhetoric - eye on $3 Billion inflows from MSCI rejig &amp; June Elections results</li>
<li>Short dated IVs trade lower. Quarterly-expiry IVs continue to hold at &gt;13.0% levels as they capture multiple event risks</li>
<li>Short vega positions recommended as "High &amp; Down" vol state persists. Use current scenario to buy tail hedges as protection for long Equity positions. </li>
</ul>


Equities shrug off hawkish RBI rhetoric - eye on $3 Billion inflows from MSCI rejig &amp; June Elections results
Short dated IVs trade lower. Quarterly-expiry IVs continue to hold at &gt;13.0% levels as they capture multiple event risks
Short vega positions recommended as "High &amp; Down" vol state persists. Use current scenario to buy tail hedges as protection for long Equity positions. 


EQD / NSE Volatility Update / 01-Apr-24 to 05-Apr-24

<ul>
<li>On-The-Run Quarterly Options now capture India General Elections. Position buildup can be seen in the 21,000 put and 24,000 call strikes</li>
<li>Weekly and Monthly contract risk premia being squeezed lower due to holiday shortened trading but Quarterly contracts exhibit vol richness</li>
<li>Scale back short gamma exposure as reward-risk unappealing at current IV levels</li>
</ul>


On-The-Run Quarterly Options now capture India General Elections. Position buildup can be seen in the 21,000 put and 24,000 call strikes
Weekly and Monthly contract risk premia being squeezed lower due to holiday shortened trading but Quarterly contracts exhibit vol richness
Scale back short gamma exposure as reward-risk unappealing at current IV levels


EQD / NSE Volatility Update / 25-Mar-24 to 29-Mar-24

AceGama Advisors is a proprietary trading desk headquartered in Mumbai. We concentrate primarily on options and volatility-based strategies that trade Equity, Currency & Commodity derivatives on the OTC & Exchange-listed markets. 

The firm is led by Sankalp Singh, formerly Head of Options Trading at New-York
based hedge fund FX Concepts. Sankalp began his career 2004 as an analyst, moving from Investment Research to Senior Portfolio Manager. In 2012, he moved to India to start AceGama.

Sankalp Singh
Head of Trading/ Partner
• AceGama Advisors

EQD / NSE Volatility Update / 22-Apr-24 to 26-Apr-24

Dispersion trading/ Vol arb to get a boost from new margin rules. Nifty50 vol surface flattens in-spite of major event risk & term structure...

AceGama Advisors

EQD / NSE Volatility Update / 15-Apr-24 to 19-Apr-24

FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...

AceGama Advisors

EQD / NSE Volatility Update / 08-Apr-24 to 12-Apr-24

IV downtrend stalls as market sentiment deteriorates late-week. Equity tail hedges recommended, roll strikes lower as/when equities selloff....

AceGama Advisors

EQD / NSE Volatility Update / 01-Apr-24 to 05-Apr-24

Equities remain resilient despite RBI's hawkish stance. Markets focused on inflows from MSCI rejig & Elections. Short vega positions & Equity Tail...

AceGama Advisors

EQD / NSE Volatility Update / 25-Mar-24 to 29-Mar-24

June Expiry date captures General Elections. Vol richness in Quarterly contracts while Weekly and Monthly contracts have lower risk premia - scale...

AceGama Advisors

EQD / NSE Volatility Update / 22-Apr-24 to 26-Apr-24

Dispersion trading/ Vol arb to get a boost from new margin rules. Nifty50 vol surface flattens in-spite of major event risk & term structure...

AceGama Advisors

EQD / NSE Volatility Update / 15-Apr-24 to 19-Apr-24

​FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...

AceGama Advisors

EQD / NSE Volatility Update / 08-Apr-24 to 12-Apr-24

​IV downtrend stalls as market sentiment deteriorates late-week. Equity tail hedges recommended, roll strikes lower as/when equities selloff....

AceGama Advisors

EQD / NSE Volatility Update / 01-Apr-24 to 05-Apr-24

​Equities remain resilient despite RBI's hawkish stance. Markets focused on inflows from MSCI rejig & Elections. Short vega positions & Equity Tail...

AceGama Advisors

EQD / NSE Volatility Update / 25-Mar-24 to 29-Mar-24

June Expiry date captures General Elections. Vol richness in Quarterly contracts while Weekly and Monthly contracts have lower risk premia - scale...

AceGama Advisors

FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...

IV downtrend stalls as market sentiment deteriorates late-week. Equity tail hedges recommended, roll strikes lower as/when equities selloff....

Equities remain resilient despite RBI's hawkish stance. Markets focused on inflows from MSCI rejig & Elections. Short vega positions & Equity Tail...