Volatility Day Trading

[Nikhil Dogra]

Volatility trading is simply buying and selling the expected future volatility of the instrument. Rather than predicting whether the price of an asset will move up or down, volatility traders are concerned with how much movement, in any direction, will occur. The most common way to trade volatility is via options. The value of an option is affected by several factors, but an essential determinant of its value is the expected future volatility of the underlying instrument. Day Trading Long or Neutral or Short Volatility entails transacting in option strategies like strangle/straddle/credit spreads/debit spreads.

Objectives of this thread are -

• This thread will serve as my trade journal documenting my transactions logic
  
• Showcase how an extremely conservative person can venture into relatively low risk day trading using relatively low resources [Less than INR 100,000]
  
• Implementing well defined risk strategies like strangle/straddle/credit spreads/debit spreads

Toolkit -

• Amibroker
  
• Truedata Real Time Datafeed
• Excel Dynamic Data Exchange (DDE)
• Options Oracle
• NOW Terminal
  
• Discount Broker - Authorized Person Of Finvasia
• Basket Market Order For Multi-Leg Positions , Limit Orders & Stop Loss Limit Orders

Indicators -

• 05M Nifty Future Candlestick Price
  
• 15M Nifty Future Candlestick Price
• 15M India VIX Spot Candlestick Price With Proprietary Super trend Indicator
  
• 200 Candlestick Moving Average Of 15M Timeframe
  
• Average Traded Price (ATP) as disseminated from NOW Terminal Intra day

We will start with technique based volatility day trading on 29th Jan 2018 , we will off course analyze price direction to take cues however our execution will be aimed at capitalizing volatility thus "slowing" down fast paced environment of intra day trading.

 

[Nikhil Dogra]

Straddle/Strangle AFL Code

_SECTION_BEGIN("Strangle and Straddle Spread");
SetChartOptions(0,chartShowArrows|chartShowDates);

_N( Symbol1= ParamStr("Strike1", "NIFTY14MAR6000CE") );

SetForeign( Symbol1 );
C1 = C;
H1 = H;
L1 = L;
O1 = O;
V1 = V;
RestorePriceArrays();


_N( Symbol2= ParamStr("Strike2", "NIFTY14MAR6400CE") );

SetForeign( Symbol2 );
C2 = C;
H2 = H;
L2 = L;
O2 = O;
V2 = V;
RestorePriceArrays();

Color = ParamColor( "Color", colorDefault );
Style = ParamStyle( "Style", styleLine, maskPrice );


PlotOHLC( O1+O2, H1+H2, L1+L2, C1+C2, "(" + Symbol1+" + "+Symbol2 + ") spread", Color, style );

_SECTION_END();

Debit/Credit Spread AFL Code

_SECTION_BEGIN("Bear Call and Bear Put Spread");
SetChartOptions(0,chartShowArrows|chartShowDates);




_N( Symbol1= ParamStr("Strike1", "NIFTY14MAR6000CE") );

SetForeign( Symbol1 );
C1 = C;
H1 = H;
L1 = L;
O1 = O;
V1 = V;
RestorePriceArrays();


_N( Symbol2= ParamStr("Strike2", "NIFTY14MAR6400CE") );

SetForeign( Symbol2 );
C2 = C;
H2 = H;
L2 = L;
O2 = O;
V2 = V;
RestorePriceArrays();

Color = ParamColor( "Color", colorRed );
Style = ParamStyle( "Style", styleLine, maskPrice );


PlotOHLC( abs(O1-O2), abs(H1-H2), abs(L1-L2), abs(C1-C2), "(" + Symbol1+" - "+Symbol2 + ") spread", Color, style );

_SECTION_END();

 

[Nikhil Dogra]

A general strategy guideline -

 

[Nikhil Dogra]

Weekly Analysis [29th Jan 2018 - 2nd Feb 2018]
Above 11114 bullish targets are 11177/11257
Below 10883 bearish targets are 10820/10740
Neutral Range 11114-10883

VIX Analysis -
Bullish on Volatility

Trade Plan For 29th Jan 2018
Pivot is 11064
Above pivot bullish targets 11101/11125/11156
Below pivot bearish targets 11011/10985/10955

 

[Nikhil Dogra]

 

[Nikhil Dogra]

Trading Day Schedule -

• 9:15 AM To 10:00 AM - Jobbing Options
  
• 10:00 AM To 3:00 PM - Algo Trading [Volatility Day Trading]
• 2:45 PM To 3:30 PM - Jobbing Options
  
• 11:00 AM - Mid Morning Update Here At Traderji Forum
• 2:00 PM - Mid Afternoon Update Here At Traderji Forum
• 4:00 PM - End Of The Day Update Here At Traderji Forum
• Final Update On Distribution Of Open Interest Of Marketwide Participants [FII/DII/CLI/PRO] Data As Per Availability
• 9:00 PM - Trade Journal & End Of The Day Analysis

 

[Nikhil Dogra]

Trade Plan For 29th Jan 2018
Pivot is 11064
Above pivot bullish targets 11101/11125/11156
Below pivot bearish targets 11011/10985/10955

View attachment 23873

Mid Morning Update -
Market is trading above pivot with high so far at 11158, 825 shares churned in option jobbing, Algo signal is flat i.e. No position

Mid Afternoon Update -
No "fresh" buy signal so far

Final Update -
No "Long" Signal to capitalize today so no trades made

 

[Nikhil Dogra]

Trade Plan For 30th Jan 2018
11145 is pivot
Above pivot bullish targets are 11185/11214/11250
Below pivot bearish targets are 11080/11051/11014

 

[Nikhil Dogra]

Sorry guys for not updating, i was busy at the Vet for my new adopted puppy Tiger , Indian Pariah-Gaddi Mix from Himachal Pradesh , I will trade from next week it seems.

 

[Nikhil Dogra]

Now my boy is settled somewhat in his new home allowing me to concentrate on trading & i shall resume on Monday Cheers!