PUT and CALL options
- Thread starter columbus
- Start date
Re: May.24 MAY-series Day.20 Nifty=5984 (17)
Hi,
please elaborate the statement that puts are stronger, it gives 2 implications.
Atm theta of 6000 CE is -4.72 and 6000 PE is -4.1.
1st implication is that call will break faster as theta is high, so if we carry long in both call and put, value of erosion will be high in call(assuming market remains constant).
2nd implication is directional, which members here are more concerned, I mean to say by above data which I've provided did you mean to say that direction of the market is favouring puts?? and in that sense (be it theoretically puts are stronger.)
Hi timepass,
Have a look at THETA of CALLs and PUTs.Calls are losing faster than Puts ,
meaning PUTS are stronger.This is as per theory. Theory may not work
always in markets.
Calls tend to have less Volatility in this series.By taking same value as PUTs
the actual price is 52Rs (Theta=-7.3).
Have a look at THETA of CALLs and PUTs.Calls are losing faster than Puts ,
meaning PUTS are stronger.This is as per theory. Theory may not work
always in markets.
Calls tend to have less Volatility in this series.By taking same value as PUTs
the actual price is 52Rs (Theta=-7.3).
please elaborate the statement that puts are stronger, it gives 2 implications.
Atm theta of 6000 CE is -4.72 and 6000 PE is -4.1.
1st implication is that call will break faster as theta is high, so if we carry long in both call and put, value of erosion will be high in call(assuming market remains constant).
2nd implication is directional, which members here are more concerned, I mean to say by above data which I've provided did you mean to say that direction of the market is favouring puts?? and in that sense (be it theoretically puts are stronger.)
Can you elaborate a little , why please.
regards.Do you mean to say never create a position or just no buying, since there are many strategies which involves selling/writing.
regards.Do you mean to say never create a position or just no buying, since there are many strategies which involves selling/writing.
You take a trade when the odds are in your favour and having already as first thing time decay against us is not what you want.
You will have plenty of other opportunities during the whole next week to do so.
If you are already in a strategy play and Friday occurs and gives you a go for what ever, this is an other case and here we can take decisions on other facts.
So the rule does not necessary apply to the second scenario, but has to be remembered and followed in most cases on the first one.
As always in trading: Use your common sense as there is no 100% sure shot thing. You only should bring the odds in your favor and being naked long over the weekend for a short time option trade is against your odds, as on Friday time decay for the weekend is already priced in the options.
Take care / DanPickUp
Re: May.24 MAY-series Day.20 Nifty=5984 (17)
One more thing, for calculating options greek you have used different volatility 22% and 18% respectively and time to expiry is also stated as 4 days. IMO time to expiry should be 6 days and volatility is around 19.5 approx. Correct me if I'm worng.
Hi timepass,
Have a look at THETA of CALLs and PUTs.Calls are losing faster than Puts ,
meaning PUTS are stronger.This is as per theory. Theory may not work
always in markets.
Calls tend to have less Volatility in this series.By taking same value as PUTs
the actual price is 52Rs (Theta=-7.3).
Have a look at THETA of CALLs and PUTs.Calls are losing faster than Puts ,
meaning PUTS are stronger.This is as per theory. Theory may not work
always in markets.
Calls tend to have less Volatility in this series.By taking same value as PUTs
the actual price is 52Rs (Theta=-7.3).
About volatility, there are two types of volatility implied volatility and historical volatility. What I gave here 19.5% is implied volatility. On Nse site you can find Nifty Futures quote, there below order book annualized figure of volatility is given which is 20.83% which I think is historical volatility IMO.
To get option greek, I use implied volatility, which my software calculates automatically.
After you punch in all details, like risk free rate which is Interest rate of the rbi on the deposits, i.e 6%.
And each option strike has its own IV, so don't get confused with Underlying IV and each strikes IV.
To get option greek, I use implied volatility, which my software calculates automatically.
After you punch in all details, like risk free rate which is Interest rate of the rbi on the deposits, i.e 6%.
And each option strike has its own IV, so don't get confused with Underlying IV and each strikes IV.
Re: May.24 MAY-series Day.20 Nifty=5984 (17)
Except that the PE is in the money while the CE is not. Therefore the difference is huge.
To see whether one is stronger than the other, lets compare same Stirkes.
At current IV, if spot is punched in as 6000 then:
6000 CE 42.60
6000 PE 42.45
So the bias is not too much. Market is sideways.
At current IV, if spot is punched in as 6000 then:
6000 CE 42.60
6000 PE 42.45
So the bias is not too much. Market is sideways.
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