Nifty gamma exposure (NiGEX), which measures liquidity and volatility, fell on May 03rd with a closing value of 20L, after being at 37L on May 02nd. Not much to infer from this drop. While this indicates a positive gamma environment, it's important to note that NiGEX should not be the sole factor in making investment decisions. Theta, the cost of owning gamma, benefits option owners in this scenario, as well as rewards delta, with call owners seeing a positive effect when asset prices rise. This also reduces directional risk and variance.
A decrease in NiGEX, correlating with Nifty which closed with a -0.3% drop on May 03rd. Additionally, NiGEX has exhibited volatile behavior over the past 200 days, with an average value of 301K and a median value of 1144K. The value range has been wide, ranging from a low of -116L to a high of 50L.
To learn more about Gamma Exposure and NiGex, refer to the article on What is GEX (Gamma Exposure)?
To know more about VIX, visit the NSE page at VIX
No comments:
Post a Comment