Commentary: A great deal is happening around the world—wars, economic shifts, and much more. Let’s look at how the Nifty has responded. For several days it has traded in a narrow range. Many people wonder why, despite such eventful conditions, option premiums remain inexpensive and the VIX is low, as if nothing were happening. There are several reasons for this:
I. Tail risk priced in skew, not ATM: If we delta-map the strikes we’ll see 25-Δ put IV minus 25-Δ call IV is strongly positive – a big negative-skew premium. That’s the war-/crash-hedge: it lives in the skew, not the ATM fix.
*Only relevant range is valid for study in this
The surface depicts a market that is complacent about day-to-day swings (low ATM IV) yet nervous enough to keep tail hedges expensive in the very front end.
Short-vol carry is still attractive in the centre but only if you respect the fat put skew (use limited-risk spreads or own cheap calls as a hedge).
Bullish optionality is anomalously cheap – risk-reversal (sell 10 Δ put / buy 10 Δ call :No recommendation) pays you vol premium plus convexity to a squeeze.
We need to watch Thursday’s expiry closely: if nothing bad materialises, that red put wing will deflate, and front-month IV could reset even lower – but if we get a downdraft, the dealer hedging feedback loop could re-inflate vol very fast.
Index Movement
VIX Movement
Moreover, as Vix is utilising past 30 days, the effect is shifting into skew rather than premiums. Market is not showing panic in volatility, but smart money is staying protected as shown above.
II. Realised dispersion, low index correlation: Single-name moves are big, but they offset each other, so the index variance that VIX references stays muted.
If we take a look at past two weeks movement (6th June’25 - 20th June’25), we will see how the internal movements have kept the absolute index under control.
III.Lack of Market Participation Volume : Following the recent pull-back, both volume and market depth have thinned considerably, causing occasional erratic price action. This poses a risk: the index may appear to stage a strong recovery, yet the rally lacks a solid statistical foundation.
All and all, this is what we know from what has happened, now an assessment on what holds ahead.
The index closed at 25,112 on Friday. A decisive move will require a break above 25,264 or below 24,655.
The anchor median is 25,009. A close beneath this level would likely push prices toward 24,655; if that support fails on a closing basis, the market could slide to 24,016 and 23,335, where firmer support may appear.
If the index holds above the 25,009 anchor, it should retest 25,264. A sustained break above 25,264 could carry prices to the 25,600 – 25,800 zone, potentially completing the current “g” leg—though that leg could also end at 25,264.
Numerous gaps have emerged because of thin participation and reduced turnover in the underlying stocks. These gaps will remain a risk until the market corrects and finds fresh “fuel” to rally with conviction.
Friday’s data initially looked constructive but may turn into a bull trap: several indicators still tilt toward downside risk, and also the Federal Reserve has left rates unchanged.
There is a modest chance the market will remain range-bound for another week.
Regards,
Akash Gupta
CIO, MD and Co-Founder
Astratinvest Financial Advisors Pvt. Ltd. (AIF SEBI Registration: IN/AIF3/25-26/1795)
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