Covered Options

sanjugalande · #21 21st December 2007, 04:24 PM

Quote:

Originally Posted by srikanth_kandalam

Regarding IV and Deltas of IFCI- I am using Options Oracle 1.2 - Seems reasonably good to me

For 70 Calls IV is 64.51
For 75 Calls IV is 65.34
For 80 Calls IV is 65.86

This has to be compared to the Historical Volatility to make sure we understand if these options are "cheap" or "expensive". I typically prefer a 50 day average. You can download data from NSE into a spreadsheet and have the answer in about 20 minutes.

Regarding greeks of the above calls ( september)

Strike Delta Gamma Vega Theta
70 0.381 0.035 0.065 -0.089
75 0.241 0.028 0.053 -0.073
80 0.141 0.02 0.038 -0.053

Also take a look at OCt calls

Oct 70 Calls is a IV of 40.04
Oct 75 is at IV of 60.12
Oct 80 us at IV of 107.44 ( price is Rs6 - check this it may not be current) - delta are 0.378, 0.32, 0.39 ( I am not sure of the 0.39- it should be lower) for Oct 70, 75, 80 Calls.

The reason I would consider Selling Oct 80 calls- instead of september 70- is their high IV ( please do check from live situation)- You get an extra room and a higher premium- In the same veirn I would not sell OCt 70 calls- because their IV is about 40, while the rest are at about 60 ( you need to check the HV to confirm that they are too low- no point in selling low IV calls - if IV shoots back up, your trade will be jeopardized.)but whatever you do understand and write down your thoughts- that discipline is important- and make sure you monitor your delta position.

dear friend i also downloaded oracale2.0
can u guide me how to use it effictvively. i have some basic knowledge of options and willing to learn more technical like beta, hv etc.
and option stra.(spread,butterfly etc.)
seniors plzz suggest me some files or books

marcus · #22 21st December 2007, 04:58 PM

Quote:

Originally Posted by shprakash

Can any one know relation between open interest and volume in the options.And how they are related to each other..i guess if someone can predict the option price if they find the relation between them...

I want to know the Indian broker were i can short the options....

there is no direct relation between open interest and total traded quantity but if OI increases so does ttq, please bear in mind open interest is cumulative while ttq is on a per day basis, you could have the OI remain the same as yesterday but the ttq could be zero, OI is used in some technical indicators.

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