High Profit EOD based option Strategy for Advanced Traders

[Novice30]

These premiums are based on today EOD. If index opens on 30th December at the same level, these should be same. There may be minor differences. Anyway, you cannot trade today. So, the date given is 30th Dec 2013.

Different brokers charge different commission. For example, my broker charge Rs. 10 per lot plus transaction charges and stamp duty. So, the total charges will be around Rs. 80. For 5.78 points, I get Rs. 289. So, net profit is still Rs. 200/=. The problem is margin money. If margin money required is Rs. 25,000/=, then you do not get even interest. I think, it is a useless strategy but before discarding it as useless, I wanted an expert opinion of Danji. Sometime, what you feel useless might be useful, so why discard without having expert opinion.

Yes, you are right.

My brokerage is on the higher side, thats why I make a loss even though you will make the profit for the same strategy.

 

[SaravananKS]

Saravananji,

There is absolutely no need of reinventing the wheel.

I have seen many options software products but they do not satisfy my need so I developed one that is exactly fulfil my requirements. I do not compare it with any professional options software (at the same time, I am not averse to take good points from any other software, if these are useful to me).

Now, I tell how my software is different:

(1) It is exactly for Nifty. It takes all the options data from NSE so I need not enter any data. It also removes strike price that is not multiple of 100 (like 5750, 5850 etc. ) because there is not enough liquidity or there is too much gap between ask and bid price.

(2) While computing strategies, I do not take LTP, rather I take the average price of ask and bid (in most cases, this is what you will get on the next day opening).

(3) It computes IV (implied volatility) for each strike price based on the premium. Though, it is slightly different from what is provided by NSE but that is ok. Now, all my computations like options Greeks and probability are calculated based on these IV. In most other software, you can give single volatility. Most software does not allow you to enter different IV for different strike prices.

(4) Then, I refine the probability of losing trade based on the VIX data for one year and NSE spot data for 5 years using Monte Carlo with genetic algorithm. There are tools (link given by Danji) to compute probability. But, those tools are not aware that Nifty has never crossed 6416 in its lifetime whereas my software checks last 5 years Nifty data and it knows that. So, it gives slightly better results. However, in any case, the probability is always an estimate and it keeps changing every second based on the Nifty price and volatility so this is not a major issue.

(5) Once, I know the probability, then I take that range and give that range to software and number of legs. It computes all the combinations. Now, sometime the combinations may be in the thousands. So, I sort these based on different criteria and it create a text file with top 20 strategies. I select the strategy of my liking.

(6) Last but not least, the key advantage of your own software is you can manipulate as per your requirements. For example, if you ask me to give the probability of touching 6500, 6600, 6700, 6800 on each date from 1st Jan to 25th Jan. I just write a small program with two loops (it will take hardly 5 minutes) and the entire list of probabilities is created and stored in a file. This is only an example. Another example, is computing probability each day. My trade is stored in the database. It takes Nifty spot price from NSE and computes probability automatically, I just start the program. No data entry at all. This is not possible with program developed by another company.

The basic thing is it cannot be compared with any professional program (because those are written for masses and have lot of other useful features) but it serves me very well.

Nice Pannalal, all the best for your project. i hope you will develop a better software..... I recommend real option Analysis by johnathan mun book which may be use full for you if you like to enhance your software further..

Keep Suggesting any good Strategies here if you think that has good profitable probabilities
:thumb:

 

[Robin2808]

Thanks All

 

[munde_77]

@Danji,

The key thing is you need to know even the name of these strategies. Hmm

There was a typo here. What I wanted to say is that you need not know the name of these strategies. This explains the thing to a large extent.

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Now coming up with what you posted about even thousands of strategies, but not even knowing them, how would you be able to create such a software? My friend, no bad thoughts about that, but please be realistic with your chosen words. In your way it sounds like a chess computer which not have all the informations it needs to play real chess.
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It is very simple. Suppose you ask computer that I want my trade should be positive if the range of Nifty is between 5900 and 6600. Number of Legs should be 4. It will take each option. Create four loops. In simple language, create combinations of 4 legs of each and every option. Then, do the necessary computation. If it is positive between 5900 and 6600, it will retain it, otherwise discard it. I have all options for strike price from 6000 to 7000 (if these are multiple of 100, discarding those are multiple of 50 like 6050 etc.). It has created exactly 976 strategies. That means there are only 976 combinations that satisfy these requirements. You just pm me, I shall send you the complete list of 976 strategies. I need not know the name because I am testing all the combinations. That is as simple as. It does not see the quality of strategy, just compute all the combinations and if it satisfies the given condition, retain it, otherwise discard it. Now, you can sort as per your choice because nobody has time to read 976 strategies.

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Even your last trading recommendation was very abnormal and not practicable in its way, as your software is not on such a level you post here.
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Please read my comments given there:
"This may not be the best strategy but one of the strategy given by the software, giving as example".

So, I did not say that you use this strategy. This is one example where you earn money if Nifty is between 6000 and 6600. Anyway, this is well know strategy: "Short Strangle".

I do not compare it with any professional software. But, still it has its own quality. Let me make it user friendly (right now, it is a programmer's tool, not for end user), then I shall send one copy to you. Only on seeing the software, you will be able to compare it with others and know its value. It might be very poor in comparison of other software, but you will know only when you see it.

Nice Gr8. All the best. Let me also know when the software is ready :thumb:

 

[DanPickUp]

Please see your private message. I have sent the link of the file. The file is zipped. If you unzip, it is a plain text file that can be opened with any editor.

@Pannalal

Ok, I have it and I will go through it. Will be with you again as soon as this is done. Probably have some ideas for you. See you later / DanPickUp

@LondonVisitor

Thanks for your nice replay. :thumb: DanPickUp

 

[pannalal]

As IV is low, the premiums are low and the market is bullish, I thought that I shall not give any strategy this month. Anyway, I am presenting a simple bear spread strategy with low return:

Transaction to be done on 30 Dec 2013 for Base Index at 6315.25
Sell 6600 CE at Price 25.23
Buy 6700 CE at Price 10.80
Net Points Received: 14.43

Delta: -0.09176
Gamma: -0.00038
Theta: 0.56972
Vega: -1.82029
Rho: -0.47993

Profit for Index equal less than or equal to 6600 on 30 Jan 2014 is 14.43
Loss for Index equal to 6650 on 30 Jan 2014 is -35.57
Loss for Index greater than or equal to 6700 on 30 Jan 2014 is -85.57

Though, return percentage is low, it is quite safe. Delta is very low, so holding it much easier than naked sell of options. If Nifty moves up, the premium on 6600 CE will increase but will be compensated by a relatively increase in 6700 CE (though it will be less). Anyway, margin requirement will be less, so it may still give a decent return. Limited risk strategy.:rofl:

Disclaimer: I do not share in profit, so, not ready to share the loss.

 

[DanPickUp]

@Pannalal

Ok, I went through all your presented 976 combination of how to trade with four legs, short or long, in the range of 6000 to 7000. All combinations are calculated in a way to implement them at the same time in any trade. I do not call them strategies, as for me a strategy is clearly defined like a strangle or a straddle, just to keep it simple. In your case you have a strategy X which is the one when buying one leg and selling three other legs. No specific name for that, but those idea is repeated on and on in the presented combinations.

Moving on what a strategy is: Now I can choose to trade that straddle or strangle or strategy X in different ways with different legs on different strike levels, which would be different combinations. But at the end it is still a strangle or a straddle or the strategy X. So talking about 976 strategies is confusing and could miss lead. Guess that is cleared and understood

As you told in point 3 on the file you sent me: Only those strategies are considered where trade will be positive if Nifty remains positive between 5900 AND 6600, you press the button with best result and you take the presented combination for your next trade. For these you not even need to know the name of any strategy, as your result is pure math. If you not want to use a matrix and if you not want to use a software which even pictures that result, so probably the most simple way to have a decision what to trade. If that is what you want, then so it will be and so it is. That is fine.

Just in case you want to further improve your file in any way, have a look at the following: http://www.optionvue.info/videos/watch.php?vid=a31d8d427. Here you may find some more clear ideas how a trade finder can look and what can be done with a trade finder.

Now please move on with your good thread, post the best results your file come up with and HAPPY NEW YEAR to you and all the readers and members here in TJ. Take care / DanPickUp

 

[pannalal]

In Coming Year
Enjoy every single moment.
The good, bad, beautiful, ugly,
inspiring, the not-so-glamorous moments.
And Thank GOD through it all.
Happy New Year 2014 and
Happy Trading to all the members.

 

[pannalal]

@Pannalal

Just in case you want to further improve your file in any way, have a look at the following: http://www.optionvue.info/videos/watch.php?vid=a31d8d427. Here you may find some more clear ideas how a trade finder can look and what can be done with a trade finder.

Now please move on with your good thread, post the best results your file come up with and HAPPY NEW YEAR to you and all the readers and members here in TJ. Take care / DanPickUp

Danji,

Many thanks for your suggestion. I shall go through the video and make the necessary changes in the software.

 

[DanPickUp]

Danji,

Many thanks for your suggestion. I shall go through the video and make the necessary changes in the software.

@Pannalal

As it is now clear that Option Oracle works again, I highly recommend you to use it and to have a look first there about what your file comes up with. Munde and LivetoTrade know exacetely how to use OO. So if you have any question about it, contact those guys.

http://www.traderji.com/options/91666-thoughts-trades-options-7.html#post920427

http://www.traderji.com/options/91666-thoughts-trades-options-7.html#post920440

The are good by what they do. Take care / DanPickUp