How to calculate/estimate expiry (of NIFTY) each month?

madamelite · #1 27th March 2008, 10:11 PM

I wonder what tools / indicators can help in estimating the expiry of each month in options side (NIFTY)?

uasish · #2 27th March 2008, 11:40 PM

madamlite,

Welcome to the Forum,regarding your query ,i cant remember just now but there is some material at Options section,plz search it.

Asish

madamelite · #3 28th March 2008, 06:40 PM

thanks Asish

will try right away

and will get back to you

take care

aca_trader · #4 28th March 2008, 08:02 PM

Quote:

Originally Posted by madamelite

I wonder what tools / indicators can help in estimating the expiry of each month in options side (NIFTY)?

There is no such tool to predict where NIFTY will expire at the end of a given contract month. Most of the time, people try to estimate it using OI figures. The expectation is that expiry will happen above the PUT strike with highest OI and below the Call strike with highest OI. However, these levels can not and should not be used as guiding principle due to their dynamic reason. For example, in the last three days to expiry the strikes with highest OI were:-

4500/4600 PE & 4700 CE
4800 PE & 5000 CE
4800 PE & 4800 CE.

So only the last day one could be sure that expiry would be near around 4800.

Regards,
--Ashish

kkseal · #5 28th March 2008, 08:35 PM

Quote:

Originally Posted by aca_trader

There is no such tool to predict where NIFTY will expire at the end of a given contract month. Most of the time, people try to estimate it using OI figures. The expectation is that expiry will happen above the PUT strike with highest OI and below the Call strike with highest OI. However, these levels can not and should not be used as guiding principle due to their dynamic reason. For example, in the last three days to expiry the strikes with highest OI were:-

4500/4600 PE & 4700 CE
4800 PE & 5000 CE
4800 PE & 4800 CE.

So only the last day one could be sure that expiry would be near around 4800.

Regards,
--Ashish

Ashish, can IV be a better guide - like which one has the highest IV or the highest (say 10d) IV rise ?

Regards,
Kalyan.

aca_trader · #6 28th March 2008, 08:49 PM

Quote:

Originally Posted by kkseal

Ashish, can IV be a better guide - like which one has the highest IV or the highest (say 10d) IV rise ?

Regards,
Kalyan.

Well! That is a good idea for data mining; such ideas do not come into this dumb head.

On stock, I have observed that if IV of far strike options rises suddenly, the stock price goes to those level. Must be working on NIFTY as well but then the question is whether that works with expiry levels or not.

Let's work over it.

Regards,
--Ashish

kkseal · #7 28th March 2008, 09:09 PM

One more thing Ashish, there are some s/w (like Option Oracle) or some spreadsheet applications where you can calculate the IV, but any way to STORE it on a daily basis (preferrably in a charting s/w like Ami) along with the contract info? If we have a series (array) of this IV data then a lot of things can be done - like say calculating a 10day ROC or even creating an indicator out of it (or/& with the HV-IV pair). Do you know of any way?

Regards,
Kalyan.

uasish · #8 28th March 2008, 10:34 PM

Ahh !! now i am getting an inkling,when 2 wise man discuss it is always better to listen silently.As a dumb fool until now i tried to scale Himalaya from Indian side only & thought that is the only side ,but it can be scaled from Russian or Chinese side also.

madamelite · #9 30th March 2008, 01:11 PM

Hello

Thanks to all the experts for their contributions

well i am no trader, but my man is into it

so am here to learn bit by bit

so that i can understand his language

and give him surprises by speaking the same

just like he got today when i talked about IV ( though i still dont understand the term but diff sites gave me enough language to keep the conversation on for 93 seconds .

thanks to this forum as well
where i read the stuff and impress my man, let the illusssion be there taht he has got smart wife

regards to ALL

kkseal · #10 30th March 2008, 01:39 PM

Ok Mam here's something more you can use ...

Tell him that you've been musing on this IV thing & arrived at a hypothesis that perhaps Delta balancing with Options can also be done by using Long & Short positions that have the same IV rank in an Option chain. And perhaps ranks based on variance of HV-IV ratio, with the HV skewed more to the recent series, could even be better.

(That's quite a mouthful of jargon - so make sure you memorize it & practice the delivery - with appropriate voice modulation, pauses etc. - well)

All the best

(and do post the result of your effort

)

Regards,
Kalyan.