I am trying to be as delta neutral as possible , for weekly bank nifty options.
Least affected by movement either side.
Using the black scholes calculator requires three inputs :
1. Annual Volatality for Weekly Bank Nifty Options.
What should this value be , and where can I check...
Spot Nifty @ 6050 (aprox)
Buy (Long) 2000 CE SP 6100 Feb Series @ 97.50
Buy (Long) 2000 PE SP 6100 Feb Series @ 94.50
Following a very simple strategy, on every change of 30-50 points in Nifty will sell some Calls or Puts.
Next action @ 6080-6100 or @ 6000-6020