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>IVs jump early as sentiment soured, but trailed off through the week as underlying markets held support zones. Vol-Regime Model retains "High &amp; Down" state.</li>
<li>Skew &amp; Smile unchanged over the week in spite of the rollercoaster ride in IVs. Term-structure experienced to-and-fro swings.    </li>
<li>Trading Strategy Implications: Iron Condor/ Butterfly structures to be continued as long as regime model indicates "High &amp; Down" vol state. </li>
</ul>


IVs jump early as sentiment soured, but trailed off through the week as underlying markets held support zones. Vol-Regime Model retains "High &amp; Down" state.
Skew &amp; Smile unchanged over the week in spite of the rollercoaster ride in IVs. Term-structure experienced to-and-fro swings.    
Trading Strategy Implications: Iron Condor/ Butterfly structures to be continued as long as regime model indicates "High &amp; Down" vol state. 


EQD / NSE NIFTY50 Vol Update / IVs Jump on HMPV Scare Then Grind Lower as Mkts Hold Support.

<ul>
<li>IVs higher alongside the underlying index. Weekly expiry (02.01.2025) served as the inflection point sending IVs back down. Monthly IVs: 12.7% (Open) -&gt; 14.4% (02.01.2025) -&gt; 13.3% (Close).</li>
<li>Vol Term-structure swung between Contango &amp; Backwardation around expiry date. Skew in Monthly contracts compressed as IVs moved higher. Smile unchanged. </li>
<li>
<em><strong> Trading Strategy Implications:</strong></em> Reengage Smile/ Vega harvesting structures. Abandon wait-and-watch stance - "High &amp; Down" vol state confirmed. </li>
</ul>


IVs higher alongside the underlying index. Weekly expiry (02.01.2025) served as the inflection point sending IVs back down. Monthly IVs: 12.7% (Open) -&gt; 14.4% (02.01.2025) -&gt; 13.3% (Close).
Vol Term-structure swung between Contango &amp; Backwardation around expiry date. Skew in Monthly contracts compressed as IVs moved higher. Smile unchanged. 

 Trading Strategy Implications: Reengage Smile/ Vega harvesting structures. Abandon wait-and-watch stance - "High &amp; Down" vol state confirmed. 


EQD / NSE NIFTY50 Vol Update / High & Down Vol State Confirmed. Greenlight for Selling Smile/ Vega.

<ul>
<li>Nifty50 trading range was stable over the holiday shortened week. Option Markets responded accordingly, risk-premia was marked down. Monthly IV: 15.0% -&gt; 11.5%.</li>
<li>Vol-Regime has switched back to "High &amp; Down" state. Wait-and-watch approach recommended given year-end effects.. </li>
<li>IV selloff has pushed entirety of term-structure into Contango. Skew has extended while Smile has compressed. Smile compression most notable in Monthly 10D Strangles. </li>
</ul>


Nifty50 trading range was stable over the holiday shortened week. Option Markets responded accordingly, risk-premia was marked down. Monthly IV: 15.0% -&gt; 11.5%.
Vol-Regime has switched back to "High &amp; Down" state. Wait-and-watch approach recommended given year-end effects.. 
IV selloff has pushed entirety of term-structure into Contango. Skew has extended while Smile has compressed. Smile compression most notable in Monthly 10D Strangles. 


EQD / NSE NIFTY50 Vol Update / Stable Index Causes Risk-Premia Markdown.

<ul>
<li>Options Market caught flat-footed on hawkish Fed rhetoric. IVs corrected sharply higher, with Monthly IVs trading up to 15.5%.     </li>
<li>Vol Regime has switched to "High &amp; Up" state. IVs now in top percentile of historical ranges. Look for a quick switch back to "High &amp; Down" state.      </li>
<li>Smile dynamics unchanged. Skew has undergone compression. Vol term structure trading in inverted-V shape - should normalize once market-holiday drops off the calendar.</li>
</ul>


Options Market caught flat-footed on hawkish Fed rhetoric. IVs corrected sharply higher, with Monthly IVs trading up to 15.5%.     
Vol Regime has switched to "High &amp; Up" state. IVs now in top percentile of historical ranges. Look for a quick switch back to "High &amp; Down" state.      
Smile dynamics unchanged. Skew has undergone compression. Vol term structure trading in inverted-V shape - should normalize once market-holiday drops off the calendar.


EQD / NSE NIFTY50 Vol Update / Options Market Caught Flat-Footed on Hawkish Fed Rhetoric. IVs Jump.

<ul>
<li>IVs guided lower as Inflation data furthers expectations of easier monetary policy. Weekly IVs lower by -3.3 vols, Monthly IVs lower by -1.6 vols &amp; Quarterly IVs remained unaffected.</li>
<li>IV mark-down seems overdone given the heavy upcoming event-risk calendar. Weekly contracts capture the 18.12.2024 FOMC meeting. </li>
<li>Strategic Implications: (1) Consider Long Gamma positioning given upcoming event risk &amp; IV markdown (2) Retain Short Vega allocations while Monthly IVs still above 10.5%.</li>
</ul>


IVs guided lower as Inflation data furthers expectations of easier monetary policy. Weekly IVs lower by -3.3 vols, Monthly IVs lower by -1.6 vols &amp; Quarterly IVs remained unaffected.
IV mark-down seems overdone given the heavy upcoming event-risk calendar. Weekly contracts capture the 18.12.2024 FOMC meeting. 
Strategic Implications: (1) Consider Long Gamma positioning given upcoming event risk &amp; IV markdown (2) Retain Short Vega allocations while Monthly IVs still above 10.5%.


EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

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 in 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 NIFTY50 Vol Update / IVs Jump on HMPV Scare Then Grind Lower as Mkts Hold Support.

IVs spiked early but settled as markets held support. Skew & Smile unchanged despite IV rollercoaster. Iron Condor/Butterfly strategies...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / High & Down Vol State Confirmed. Greenlight for Selling Smile/ Vega.

IVs oscillate around weekly expiry date (02.01.2025). "High & Down" vol state confirmed. Reengage Smile/Vega harvesting structures.

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Stable Index Causes Risk-Premia Markdown.

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...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Options Market Caught Flat-Footed on Hawkish Fed Rhetoric. IVs Jump.

Options market surprised by Fed's hawkish tone, IVs spike to 15.5%. Volatility regime now "High & Up", expect quick shift back. Skew compressed,...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

Nifty50 weakness & FOMC event-risk has triggered a move higher in IVs. Weekly IVs jumped from 11.0% to 15.0%.& Monthly IVs jumped from 12.2% to...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / IVs Jump on HMPV Scare Then Grind Lower as Mkts Hold Support.

​IVs spiked early but settled as markets held support. Skew & Smile unchanged despite IV rollercoaster. Iron Condor/Butterfly strategies...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / High & Down Vol State Confirmed. Greenlight for Selling Smile/ Vega.

​IVs oscillate around weekly expiry date (02.01.2025). "High & Down" vol state confirmed. Reengage Smile/Vega harvesting structures.

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Stable Index Causes Risk-Premia Markdown.

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...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Options Market Caught Flat-Footed on Hawkish Fed Rhetoric. IVs Jump.

​Options market surprised by Fed's hawkish tone, IVs spike to 15.5%. Volatility regime now "High & Up", expect quick shift back. Skew compressed,...

AceGama Advisors

EQD / NSE NIFTY50 Vol Update / Markdown in Short-Dated IVs Overdone Given Upcoming FOMC Event Risk

Nifty50 weakness & FOMC event-risk has triggered a move higher in IVs. Weekly IVs jumped from 11.0% to 15.0%.& Monthly IVs jumped from 12.2% to...

AceGama Advisors

IVs spiked early but settled as markets held support. Skew & Smile unchanged despite IV rollercoaster. Iron Condor/Butterfly strategies...

IVs oscillate around weekly expiry date (02.01.2025). "High & Down" vol state confirmed. Reengage Smile/Vega harvesting structures.

Options market surprised by Fed's hawkish tone, IVs spike to 15.5%. Volatility regime now "High & Up", expect quick shift back. Skew compressed,...