NIFTY Options Trading by RAJ

[mohan.sic]

D/A,

Below is option chain data from nse. ( 01/04/2015) just edited and marked the iv colums on both sides.

call side the iv's are around 11 and are less than put iv's which are around 13.5 ...what do they denote. Is it that puts are overpriced compared to calls and does this iv numbers help in trading?

and is VIX number ( volt index) calculated from these iv's ? if so how ...




thanks.

 

[soumanag]

D/A,

Below is option chain data from nse. ( 01/04/2015) just edited and marked the iv colums on both sides.

call side the iv's are around 11 and are less than put iv's which are around 13.5 ...what do they denote. Is it that puts are overpriced compared to calls and does this iv numbers help in trading?

and is VIX number ( volt index) calculated from these iv's ? if so how ...




thanks.

Hi,

This is from NSE - VIX site:

" India VIX is computed using out-of-the-money option contracts. Out-of-the-money
option contracts are identified using forward index level. The forward index level
helps in determining the at-the-money (ATM) strike which in turn helps in selecting
the option contracts which shall be used for computing India VIX. The forward index
level is taken as the latest available price of NIFTY future contract for the respective
expiry month.
The strike price of NIFTY option contract available just below the forward index
level is taken as the ATM strike. NIFTY option Call contracts with strike price above
the ATM strike and NIFTY option Put contracts with strike price below the ATM
strike are identified as out-of-the-money options and best bid and ask quotes of such
option contracts are used for computation of India VIX. In respect of strikes for
which appropriate quotes are not available, values are arrived through interpolation
using a statistical method namely “Natural Cubic Spline”
After identification of the quotes, the variance (volatility squared) is computed
separately for near and mid month expiry. The variance is computed by providing
weightages to each of the NIFTY option contracts identified for the computation, as
per the CBOE method. The weightage of a single option contract is directly
proportional to the average of best bid-ask quotes of the option contract and inversely
proportional to the option contract’s strike price
Computation of India VIX
The variance for the near and mid month expiry computed separately are interpolated to
get a single variance value with a constant maturity of 30 days to expiration. The square
root of the computed variance value is multiplied by 100 to arrive at the India VIX value."

Hope this helps.

Regarding the IV of PUT - CALL, IMO they are good indicators to know if the options are overpriced relative to each other and take trade decision when they diverge from average levels. For this we need to track day to day IV data since I am not aware of any resources which provide historic IV data for options.
It is very useful to refer to them to make sure you are not buying over priced options related to other strikes / selling options cheap related to other strikes (by referring to the average IV).

 

[Riskyman]

Whats options data suggesting for today? See good COI at 8600 pe being added. Floor for the day? Move above 8600 expected?

 

[kcsusha]

Why 8700CE has risen from Rs 80 to Rs 95 when nearly 2.89 lakhs have been added to
8700CE OI? ( Time 1.30 to 1.45pm )

 

[kcsusha]

One possible reason may be nearly 4.3 lakhs OI have been added to 8600PE.

 

[kcsusha]

Hats off to Raj Sir. Today NF came to as low as 8607 from 8664. But there was a huge
OI build-up at 8600 PE. At 2pm nearly 5 lakhs added to 8600 PE. NF shooted from
8607 to 8670.

 

[Riskyman]

Why 8700CE has risen from Rs 80 to Rs 95 when nearly 2.89 lakhs have been added to
8700CE OI? ( Time 1.30 to 1.45pm )

Look at 8900 Ce. Added almost 8 lakhs and 8600 Pe was adding fast. Think i was mentioning about it on another thread and Nifty wnt Boom boom. 8600 pe writing meant good support. Think we will have more upside tomo

The Mini OAT was showing "Strong bear". Just got changed to "weak bear" now

 

[sangram1705]

See if below post helps in quickly reading the thread. Compilation of important posts here http://www.traderji.com/trading-diary/88670-nifty-options-trading-raj-650.html#post1022483

good one bro!
this is really helpful.

 

[gabriel098]

thank you very much raj , u have been a great help , god bless you

 

[VJAY]

Dear Raj,
Is OI (old) and OI mini totally diferent for trend ident?

OI mini

OI (old)