Options - Price and premiums

L

lemondew

Well-Known Member
#33
#33
If you see 16-6 values the straddles with lowest prices last 3 have been profitable: wipro, tcs, infy while those of SBIN, BOB and RELcapital has lost.

SBIN, bob and relcapital commanded highest premium but has lost money.

High IVs doesnt mean most movement It certainly means we will be paying high premiums for those options.
 
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L

lemondew

Well-Known Member
#34
#34
Another good trade which gave over 5% today based on these facts. If you see Nifty remained in the same range in last 1 week but its value remained the same the efect of theta was neutralised by increase in vega. So today there is only 1 day left before vega crash. so not much theta loss and going by trend vega would increase.

So i did a strangle today morning on nifty 8400 - 7900 It gave a 7 % return on one day. I closed the position. No plans to keep it tomorrow as vega would crash. Tho there is not much movement made my money

Such days can be tracked if you are in touch with the premiums on day to day basis
 
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P

poniol

Member
#35
#35
Tomorrow around 11 or 11:30 it will be interesting to watch the IVs!
They will crash around 30% at least for OTMs. Today Nifty seen to be crazy with 28-30% IVs for puts and 20-22% for calls. Those with straddles may suffer tomorrow, IF Nifty does not move more than 30-40 points from todays closing!
 
L

lemondew

Well-Known Member
#36
#36
Just watch. As per my image straddle was at 212. Today nifty closed 67 points higher 8200 straddle is still worth only 216. With the major IV fall expected even a 65 points move and you see how it fairs.

poniol said:
Tomorrow around 11 or 11:30 it will be interesting to watch the IVs!
They will crash around 30% at least for OTMs. Today Nifty seen to be crazy with 28-30% IVs for puts and 20-22% for calls. Those with straddles may suffer tomorrow, IF Nifty does not move more than 30-40 points from todays closing!
Click to expand...
 
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P

poniol

Member
#37
#37
lemondew said:
Just watch. As per my image straddle was at 212. Today nifty closed 67 points higher 8200 straddle is still worth only 216. With the major IV fall expected even a 65 points move and you see how it fairs.
Click to expand...
Straddles may not be suffered much. I was telling about OTMs. I misspelled it as 'Straddle'...it should be 'Strangle'...
However, irrespective of the combinations; if Nifty already has discounted the event and no much movement happens tomorrow, surely straddle will come below 200.
Let's see tomorrow!
 
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