Nifty/BNF/Stock Futures

[ranga27]

Total Profit after Brokerage : 5582/-

 

[ranga27]

Sold NF (Feb ) @6098 (2 lots )

 

[ranga27]

unable to bounce back to 6120-6140 nifty should touch its 200-DMA (5960)

So my Stop loss for this trade would be 6150 (52 Points) .. If this value gets hit in next 1 or 2 days i will reverse my position to buy..

 

[ranga27]

Huge addition at 6050-6100CE .. Looks like they will keep the index below 6100..

 

[augubhai]

Huge addition at 6050-6100CE .. Looks like they will keep the index below 6100..

I guess you are talking about the Jan series.

I am viewing it as just the last day premium eating, that will all be squared off if there is a small movement in the opposite direction. Due to the gap down today, there was the price increase in the morning due to Vega. As of now, positions at both 6000 and 6100 are neatly balanced, as also the Calls-Puts at 6050.

 

[ranga27]

I guess you are talking about the Jan series.

I am viewing it as just the last day premium eating, that will all be squared off if there is a small movement in the opposite direction. Due to the gap down today, there was the price increase in the morning due to Vega. As of now, positions at both 6000 and 6100 are neatly balanced, as also the Calls-Puts at 6050.

Yeah JAN series.

 

[timepass]

I guess you are talking about the Jan series.

I am viewing it as just the last day premium eating, that will all be squared off if there is a small movement in the opposite direction. Due to the gap down today, there was the price increase in the morning due to Vega. As of now, positions at both 6000 and 6100 are neatly balanced, as also the Calls-Puts at 6050.

Vix hasn't changed much, so how come vega affected the prices seriously ??

 

[augubhai]

Vix hasn't changed much, so how come vega affected the prices seriously ??

there are 2 things that affect vega. one is implied volatility of the underlying - which increases whenever there is a gap-up/down or volatile moves, or even just ahead of key news events. Obviously, when there is volatility (or potential volatility), option writers want to collect a higher premium for their risk.

the other thing that affects vega is how close the strike price is to the underlying price. this component of vega is highest for ATM options, and is lower for both ITM and OTM options. in the morning when 6050 suddenly became ATM, its vega increased.

all my explanation is theoretical - i did not check the vix or the live option prices.

 

[ranga27]

Still holding the 2 lots sold @ 6098

 

[ranga27]

Did add one more lot short @ 6123.

Avg sell Price of 3 lots @6106