NIFTY Options Trading by RAJ

[funkyvaib]

My thought us as follows. When a fii/ dii/ anyone writes an call option for less than re rhetorical value especially on a day when vix is lowest

1 they think market will range bound in a tight range
2 top of market is already there and they see no further upside.

Premji - Wished to check if you have uploaded the file, couldn't find it. or if you may send it me to [email protected].

I was keen to study on it on weekend, hope its ok with you. Thank you again.

 

[premkumartalreja]

Here we go friends..I have spent a lot of time on this Hopefully you will find it useful

http://speedy.sh/kJfW3/Nifty-Live-BlackScholesandGreeksCalculator.xlsm

This also calculates greeks and plots a graph comparing theoretical value vs market.

 

[premkumartalreja]

Thought of the day - On a day when the VIX Is low shouldn't the options sells more expensive than theoretical value since VIX might go up. Why is it the other way.

 

[DanPickUp]

Thought of the day - On a day when the VIX Is low shouldn't the options sells more expensive than theoretical value since VIX might go up. Why is it the other way.

Beside the VIX, you also have the (IMV) Implied Volatility from the options, which differ from strike level to strike level. IMV must not correspond with VIX. To calculate the theoretical value of an option you normally use the (HV) Historical Volatility of the underlying. Even that HV must not correspond with IMV or VIX. So you can calculate your theoretical value of an option and you still will be able in many cases to find under priced and over priced options compare to your result.

 

[bapu4]

What's the problem you having with options oracle ?

Hi Premkumarji,
Thanks,
how to put Indian stock's symbols in it? I put AXISBANK and AXISBANK.NS But
nothing is happening actually I had started the tutorial in that it asked me to put symbol yesterday Night.
GBu

 

[mastermind007]

Beside the VIX, you also have the (IMV) Implied Volatility from the options, which differ from strike level to strike level. IMV must not correspond with VIX. To calculate the theoretical value of an option you normally use the (HV) Historical Volatility of the underlying. Even that HV must not correspond with IMV or VIX. So you can calculate your theoretical value of an option and you still will be able in many cases to find under priced and over priced options compare to your result.

Dan, P.T.

I actually use the current price to estimate the Implied Volatility. Trade Tiger has Theoratical Price Calculator in which you manually enter the I.V.

I keep adjusting it up or down until the value shown by TT matches with what CMP is showing. Ideally, both call and put should converge.

I did ask one trainer from SK and he also does the same thing but I am not fully convinced that it was the most appropriate approach

 

[mastermind007]

Here we go friends..I have spent a lot of time on this Hopefully you will find it useful

http://speedy.sh/kJfW3/Nifty-Live-BlackScholesandGreeksCalculator.xlsm

This also calculates greeks and plots a graph comparing theoretical value vs market.

Very Good!!!

 

[premkumartalreja]

Dan, P.T.

I actually use the current price to estimate the Implied Volatility. Trade Tiger has Theoratical Price Calculator in which you manually enter the I.V.

I keep adjusting it up or down until the value shown by TT matches with what CMP is showing. Ideally, both call and put should converge.

I did ask one trainer from SK and he also does the same thing but I am not fully convinced that it was the most appropriate approach

Hey mastermind the IV for each strike is available on nse option chain so I sit understand what you were trying to do?

 

[DanPickUp]

Here some help to the ongoing problem about calculating IV.

http://i41.tinypic.com/2w3wexd.png

http://i40.tinypic.com/348ltmb.png

As of today, every platform from a broker who offers option trading should at least be able to show the IV of every option strike price he offers his clients to trade.

Next is some little help for those who are not so much adversed in option trading and may never heard about what IV is. I will not go much in theory instead show some screen shots which should make it clear what IV is. If you still have a problem with that, visit my thread about Option trading.

Here a past example from the S&P 500, which shows how important it is to know the IV of puts and calls at any strike level at any time we want to trade them. In this example http://i41.tinypic.com/xfrl8k.png; both put and call, have been 25 points far away from the current future strike level at 1525. The future level is marked with this symbol: >. You see clearly how different the IV was on those option levels by looking at the yellow marked lines. The 1500 put had an IV of 14.1 and the 1550 call had an IV of 10.2. You even see it on the value of the price, as IV has a direct impact on those option values. You can see the put is valued with 7.66 (higher vola compare to the call) and the call only has a value of 5.20 (lower vola compare to the put), even if both of them have exactly the same distance to the current future strike level.

Now coming to the next example which is in Corn. I am clear that you not can trade options on Corn in your place, but that is not the point. Have a look again at the spotted levels, marked in yellow and what do you see? http://i42.tinypic.com/2akmycl.png Here the actual Future was at 330 and you see the atm call 330 and the far out of the money 460 call. You see clearly the different the IV had at those different option strike levels. The atm 330 call had an IV of 33.2% and the otm 460 call even had an IV of 46.5%. So otm options can have a huge IV and this we need to know at the time we want to use those options for any trading idea we have in mind.

Take care / DanPickUp

 

[Relish]

Here we go friends..I have spent a lot of time on this Hopefully you will find it useful

http://speedy.sh/kJfW3/Nifty-Live-BlackScholesandGreeksCalculator.xlsm

This also calculates greeks and plots a graph comparing theoretical value vs market.

Can you please upload file on other site like 4shared I am not able to download it. Thank's