Day Trading Stocks & Futures

[Riskyman]

well said. simple & perfect.

except the similarity in the names, implied volatility has nothing to do with historical volatility.

Is exactly what I was saying too comparing today's IV with yesterdays is futile

 

[Riskyman]

pichli baar aadhe mein chodd ke chale gaye the....iss baar poora duba ke he saans loge...

 

[Riskyman]

HPCL still some way from a break. Worth watching!

HPCL Hourly

 

[mohan.sic]

Well the best way to calculate if options are expensive I figured out is compare the combined premium of ATM prices calls/puts this expiry with the combined premium of the last 20- 30 expirys with the same number of days to expire left. That would tell us whether an IV of 9 or 8 or whatever when 14 days to expire is less/ more. That kind of data should be available doing meaningful analysis. Thanks to RM he has been very kind to give us good data on futures to do data study. A boon to data students.

I couldnt find so much data on options.

This is a good idea.

Let me simplify the same idea further down.

Instead of combined premium of CE & PE, for easy understanding let us take only premium of ATM CE of this expiry and compare the price with ATM CE of previous expiry ( with same no of days to expiry). This will give us idea of whether CE of this expiry is cheaper or costly than previous expiry. Right ?

To simply is further down, the same can be achieved by tracking the CE IV's instead of CE Prices. That's is by comparing the ATM CE strike IV of current expiry to ATM CE strike IV of previous expiry ( with same no of days to expiry). But we need to have captured IV data for this.

Note- Some factors like, Future spread difference will hinder the study, but overall it can be achieved.

 

[mohan.sic]

Is exactly what I was saying too comparing today's IV with yesterdays is futile

Bro,

The problem is you are thinking that previous day IV numbers will become HV. That is not correct.
Previous day IV numbers are not HV. HV is different.

 

[lemondew]

I put combined premium because ATM is different at different circumstances. I ignore 50 multiples because they have less liquidity.

Nifty at 8080. ATM = 8100 CE is less than
Nifty at 8100. ATM = 8100 CE is more

But 8100 CE + PE premium should be same other factors same.

Again nifty 7000 Combined premium = 70 = 1 % of underlying is same
at nifty at 8000 combined premium = 80 = 1% of underlying again
So i used percentage of underlying rather than prices.


I have taken into account option pricing is based on
1. Underlying price
2. Choice of strike(ATM/ITM/ OTM)
3. Theta( time for expiry)
4. Vega(IV)

Assumptions: gamma doesnt effect much. Interest rates/risk free rates is more or less same for the year.

This is a good idea.

Let me simplify the same idea further down.

Instead of combined premium of CE & PE, for easy understanding let us take only premium of ATM CE of this expiry and compare the price with ATM CE of previous expiry ( with same no of days to expiry). This will give us idea of whether CE of this expiry is cheaper or costly than previous expiry. Right ?

To simply is further down, the same can be achieved by tracking the CE IV's instead of CE Prices. That's is by comparing the ATM CE strike IV of current expiry to ATM CE strike IV of previous expiry ( with same no of days to expiry). But we need to have captured IV data for this.

Note- Some factors like, Future spread difference will hinder the study, but overall it can be achieved.

 

[mohan.sic]

I put combined premium because ATM is different at different circumstances. I ignore 50 multiples because they have less liquidity.

Nifty at 8080. ATM = 8100 CE is less than
Nifty at 8100. ATM = 8100 CE is more

But 8100 CE + PE premium should be same other factors same.

Again nifty 7000 Combined premium = 70 = 1 % of underlying is same
at nifty at 8000 combined premium = 80 = 1% of underlying again
So i used percentage of underlying rather than prices.


I have taken into account option pricing is based on
1. Underlying price
2. Choice of strike(ATM/ITM/ OTM)
3. Theta( time for expiry)
4. Vega(IV)

Assumptions: gamma doesnt effect much. Interest rates/risk free rates is more or less same for the year.

yes, It is clear. When nifty is not trading exactly at strike level, we cant get clarity if we take either only CE or PE price. But when we take combined premium, that problem will be answered.

 

[primitivetrader]

possibility of price move upside in bnf

 

[lemondew]

Also nifty at 6000 = 60 premium less cannot be compared with nifty at 10000 = 70 premium more . A % would work better.

Because the premiums are generally based on bank interest rates which is a percentage of underlying.

yes, It is clear. When nifty is not trading exactly at strike level, we cant get clarity if we take either only CE or PE price. But when we take combined premium, that problem will be answered.

 

[against_tides]

no one talking about vix nowadays...