The busiest week of the year has begun, and it’s been relatively uneventful so far. Yesterday’s slight GDP miss was overshadowed by robust preliminary job data and solid earnings reports from the Mag 7 club.
However, the tide may be about to turn—the futures are in the red this morning, with the VIX comfortably above 20. We’ve said this over the past few weeks, but it bears repeating: manage your exposure and keep some dry powder ready, as things will likely get interesting, especially next week.
Tonight, watch out for the potential NFP effect. In Q3, it proved quite profitable as the market’s focus shifted from inflation worries to recession concerns, increasing scrutiny of job reports.
With that, happy Diwali to all our readers. To mark the occasion, today, we’re diving into INDA, the ETF that tracks the Indian market.
Let’s get to it.
The context
Indian equities have had an impressive year so far, navigating numerous challenges, from a major election a few months back to controversies surrounding the Adani Group that could have seriously shaken the stock market.
Yet, none of this derailed the momentum—they’re up a solid 27% and were holding pace with the SP500 until… the beginning of Q4.
Since then, it’s been tough to pinpoint exactly what shifted—could it be managers reallocating funds from India back into the U.S.? We don’t have a definitive answer, but the chart speaks for itself.
A nearly 10% retreat in one month certainly had an impact on realized volatility, and you wouldn’t be mistaken in thinking so.

We’re now back to the year’s highs in volatility. But with an annualized rate of 12.66%, it’s still relatively tame compared to more volatile assets. While we can’t predict the exact outcome of the U.S. election and its ripple effects on global markets, our forecast doesn’t indicate further upward pressure on realized volatility.
In fact, as is often the case when the uncertainty around major events dissipates, we expect volatility to settle back down to its average of around 10% over the next two weeks.
With this in mind, let’s take a look at options prices and see how we might structure a trade in INDA.
The data and the trade methodology
Let’s begin by comparing the realized and implied volatility, measured using 30-day options prices, to get a sense of the variance risk premium (VRP) in the product.
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