NIFTY Options Trading by RAJ

[ananths]

Hi Prem,

INFY IV is comparatively low this time.It used to be as high as 70 to 90 before quarterly results.

As observed by you Highest OI is in 3100PE and 3900CE.

My understanding on IV is as below,

Low IV means market would be range bound or up move possible - long strangle would be good?
High IV means lot of uncertainty and high option prices - Short strangle would be good?

What was your analysis in taking short strangle? :thumb:

Thanks.

 

[ananths]

Whats the symbol for Infosys in option oracle

Option Oracle doesn't have any separate symbol....it takes from NSE.
I think its INFY.

 

[TraderRavi]

3100 PE @ 22 , 3800 CE @ 22,
CMP INFY FUT 3450

thinking of buying the above pair for infy result tomorrow
total cost = 44 x 125 = 5500

 

[funkyvaib]

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.

Premji - Quick question on this tool. To refresh the data, I've to close and open it again everytime. Is there any other way to refresh the data in this file?

Thanks

 

[healthraj]

My View on NIFTY and INFY before INFY results on tomorrow

NIFTY :
As per OAT the Range has moved from 6300-6500 last week to 6000-6300.

In the lower timeframe the bottom could be 6150.
In the hourly charts the bottom could be 6080.
In the Daily charts the support is at 6140.

The VOLT indicates Selling Puts and Buying Calls.

INFY:

The Range as per OAT is 3100-3800 and right now Trading near the MAX Pain of 3500.

The Historic FOVOLT is at 23% and Average IV for Calls and Puts are around 37%, which is roughly double compared the FOVOLT. So the Strategy would be to SELL the pair 3300-3800 Trading now around 82.
My view is that the current IV still High and IV might come down after the Results.

As per Price Action,

In daily charts the bias is on the UP side with the support at 3370, 3454 and Resistance at 3621 and 3705. Pivot at 3540.

The Daily Support and Resistance also supports the Credit Spread of 3300-3800 Pair

 

[healthraj]

Hi Prem,

INFY IV is comparatively low this time.It used to be as high as 70 to 90 before quarterly results.

As observed by you Highest OI is in 3100PE and 3900CE.

My understanding on IV is as below,

Low IV means market would be range bound or up move possible - long strangle would be good?
High IV means lot of uncertainty and high option prices - Short strangle would be good?

What was your analysis in taking short strangle? :thumb:

Thanks.

I think you should compare the IV with the Historic VOLT or the FOVOLT. For INFY the HVOLT is at 23% but the Average IV is at 37%. So it is still High.

 

[healthraj]

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.

Prem,

Hopefully the only major parameter which would change in the calculation of Theoretical value is the Volatility I think.

Note : For the Calculation of Option Price the parameters required are
- Underlying price of the Stock
- Exercise Price (Strike Price)
- Time to Expiry
- Interest (Normally it is around 10% for Indian markets - You can see this the Options Chain data at the bottom)
- Dividend (For NIFTY it is Zero and for Stocks it might vary depending on the Dividend)
- And Finally the Volatility.

So for the Theoretical Price Calculation the only parameter which will influence a different market price is the VOLT.

Hope you are using the FOVOLT for the Theoretical Price calculation.

 

[funkyvaib]

Prem,

Hopefully the only major parameter which would change in the calculation of Theoretical value is the Volatility I think.

Note : For the Calculation of Option Price the parameters required are
- Underlying price of the Stock
- Exercise Price (Strike Price)
- Time to Expiry
- Interest (Normally it is around 10% for Indian markets - You can see this the Options Chain data at the bottom)
- Dividend (For NIFTY it is Zero and for Stocks it might vary depending on the Dividend)
- And Finally the Volatility.

So for the Theoretical Price Calculation the only parameter which will influence a different market price is the VOLT.

Hope you are using the FOVOLT for the Theoretical Price calculation.

Thanks Raj. In Prem's sheet it pulls up data automatically when we open the file. I was wondering how to refresh it than by reopening the file again. Please suggest. Thanks.

 

[premkumartalreja]

Prem,

Hopefully the only major parameter which would change in the calculation of Theoretical value is the Volatility I think.

Note : For the Calculation of Option Price the parameters required are
- Underlying price of the Stock
- Exercise Price (Strike Price)
- Time to Expiry
- Interest (Normally it is around 10% for Indian markets - You can see this the Options Chain data at the bottom)
- Dividend (For NIFTY it is Zero and for Stocks it might vary depending on the Dividend)
- And Finally the Volatility.

So for the Theoretical Price Calculation the only parameter which will influence a different market price is the VOLT.

Hope you are using the FOVOLT for the Theoretical Price calculation.

Raj I am using India VIX in the input for volatility.

 

[singlap]

Friends,

I am doing a Shor Strangle on Infy

Short 3300 Call and Short 3600 Put

1 lot each..

As per OI Data Short 3100 Put and 3900 Call. Its the safest

Are you doing both in the money positions or its a typo ?