India Volatility Index - VIX

[kkseal]

One more VIX hypothesis (correct me if wrong)

VIX rising (& above a certain threshold) => Puts likely to be more expensive, Calls likely to be fairly priced to underpriced => Options strategy involving selling Puts &/or buying Calls likely to give best returns.

Converse for VIX falling (& below a certain threshold).

However defining the 'threshold' might be a problem as of now due to paucity of data.

Regards,
Kalyan.

 

[jackji01]

Thanks kkseal
For your idea in regards to IVX and Put/Call strategy.
That I found from comparing nifty charts with IVX plys complete reverse ways. if the IVX raises above 35 nifty tends to fall and as Ivx fall bellow 25 NIfty goes up. Just see on 15th vix raised to 42.2 when nifty fall towerds 4708, on the same day vix fall towards 23.92 while nifty raises to 4917.
No doubt from the reverse movements of VIX and Nifty Index strategy for Buy/Sell of Put/ Call option can be taken.
Broad Strategy should be as follow in my opnion :
As VIX drops down => Nifty Index goes up => Buy/Hold Put (as the Puts are now valued lower).
Reverse the strategy as the as VIX will go up.
But always keep in mind the expiry period of the contract.
I just new Registered today. Thanks to all.
jackji01

 

[kkseal]

Yeah, broadly speaking the inverse relation is the key. Strategies can be multifarious - from the extremely simple to the highly complex, short-term to longer term.

Regards,
Kalyan.

 

[beginner_av]

Hi
Will you pls clarify why it has become junk.Also pls enligten us on any other indicators which could be used in place of VIX
with best wishes
rpc

Yes Sir, I would be glad to answer. Compare CBOE VIX calculation, and NIFTY VIX calculation. Spot the difference. If you cant, draw a frequency diagram of the no of contracts for middle month and far month for CBOE options, and then do the same for NIFTY options. Also do the same for OTM P&Cs. Then if you notice something, you'll realize that copying VIX calculation w/o the available mkt scenario from where it has been copied can be disastrous. Now check the first few days of VIX vs NIFTY movement. See if you can figure out anything else.

I can see many people being (most of them w/o any knowledge and loving spoon feeding, and only commenting) offended, that is the de facto response of this forum these days, but great SS, you did not have to react like that! That was just a FFT (food for thought, nothing complex like fast fourier) for you. Now you can carry on.

KK you are also right somewhat in your response. But where the calculation is improper, why bother with data?

All the best.

 

[rpc]

hi beginner_av
thks for the comments.
with best wishes
rpc

 

[renu daga]

can this indicatoe be posted along with nifty chart in ms,,,,with proper signals,,,,???
or can u justify teh buy / sell along with charts....
i think if that si done it shall eb more clear,,

renu

 

[uasish]

Request to Traderji -

Will you please close this thread as the very subject has become junk and why not ? - it saves a lot of bandwidth for you and makes a way for a more insightful posts on system developement, quants, statistics etc which only a handful of people understand.

Thank you,

ss

Sunil,

It is true that Abhijeet's comment is Hurting .Every body of us who are in this Forum for some time & have (+)ve contribution to this forum like YOU would obviously feel offended but if we can just for a moment (on my personal request) ignore the comment's face value & try to concentrate on the CONTENT part of his analogy may be we would be able to discuss logically,the comments; i am 100 % sure was never directed towards you but to the subject.

Asish

 

[beginner_av]

Sunil,

It is true that Abhijeet's comment is Hurting .Every body of us who are in this Forum for some time & have (+)ve contribution to this forum like YOU would obviously feel offended but if we can just for a moment (on my personal request) ignore the comment's face value & try to concentrate on the CONTENT part of his analogy may be we would be able to discuss logically,the comments; i am 100 % sure was never directed towards you but to the subject.

Asish

dada it was directed at the way these people in India have hastily copied the VIX calculation w/o doing a check with the data availability and the appropriateness of the same in Indian market. It is an indicator after all, and well there will be lot of snake oil sellers (not SS of course, but those so called gurus or analysts) who will come out with so many methods, procedures, systems based on it and rake in money from unsuspecting users.

 

[uasish]

Abhijeet,

We all (including you)have faith on Sunil's prudence to judge,let him guide us,your logic is put forward effectively.No need of Harping on the same.Sunil has guided us in the past.

Asish

 

[beginner_av]

dada it was directed at the way these people in India have hastily copied the VIX calculation w/o doing a check with the data availability and the appropriateness of the same in Indian market. It is an indicator after all, and well there will be lot of snake oil sellers (not SS of course, but those so called gurus or analysts) who will come out with so many methods, procedures, systems based on it and rake in money from unsuspecting users.

before anyone gets offended further let me clarify, these people in India refers to the ones who created the VIX for India, not any traderji member.