Day Trading Stocks & Futures

[soft_trader]

Tomorrow is holiday or trading day?

 

[iwillwin]

Tomorrow is holiday or trading day?

holiday.. enjoy

 

[kharikumaar]

The word yesterday prompted me to post. If you know about it and i didnt get you, then just give it a pass.

Every few months I post that if one wants to trade intra, might as well use Futures over Options.

The constant decay and price mismatch that occurs is not favourable. Huge intra moves dont come around everyday anyway.
So if one bought 10 OTM Lots of options at 0.3 Delta, that is nothing but approx 3 Delta equivalent to 3 Futures lot.

Futures on the other hand will give you nearly 1:1 correlation. Bought Options benefit hugely from big moves that give rise to large change in Delta, but intra how often do you see 0.2 Delta become 0.7 ?
Futures premium change is favourable in the direction of the trend usually.

Now logically you started going ITM? You brain is telling you to actually to Futures bcos the deep ITM or ITM hardly have any Time value esp the weeklies in current week.

The Tax / overheads for intra options trade vs Fut is really negligible imo.
Do give this a thought !

This could be a little longish post but I guess it will be worth it.

Of course if someone can do a back test for a longer period and for both PE and CE , it may throw a clearer picture. of course nifty may be a different ball game altoge
in pursuant to your suggestion I did a small calculation, on the feasibility with calls on the Bank nifty options to future positions for intraday trading. Of course just a rough single day calculation and single a single option pricing is hardly what can be called conclusive but I will list a few points which i observed which will give trading in options a better edge than futures from what I see. The prices and other parameters are not absolute but you should be able to get the gist of what I am saying.

I was looking at the Delta value for the option strike consideration, now getting a 1 delta option would be too far off so I decided to look at a Delta value close to .8, and the take the price difference of 5 lots of bank nifty options VS 4 lots of futures i.e., 125 units of options to 100 units of futures, of course the variation in the futures premium I am not considering for the sake of calculation.

Considering the ATM strike as 28600 , the .8 delta strike I found was around 27800 and the option premium there was 850 rs.
If index moves apprx 500 points in our favour it would mean a profit of rs.500 * 100 = +50000 and vice versa
whereas when you consider the movement of options for the same point difference
a 500 point difference in the option value in our favour was 1325-850 = 475 *125 = 59375 ( since we have to take 5 lots into account)
and a 500 point movement against us gave a premium of 500 - 850 = -350 * 125 = -43750

these are just an approximation and not absolute. Andthey are from option buying only.

Coming to the margin requirment., 5 lots of bank nifty @ 850 would require about 1.1 lakhs even for overnight positions. whereas you can imagine the margin required for the bank nifty future , even if you are taking it with a hedge to benefit from the new sebi law. or with an intraday margin

so my vote for comfort and benefit stays with options , As usual this is what i calculated, i could be wrong , in case i am , i would like to know where.

if would be nice if some can get a back test done on both ce and pe for a longer period.
of course nifty may be a different ball game altogether

 

[shivroy]

niftymetal Bo..

 

[shivroy]

NIFTY AUTO

 

[shivroy]

NIFTY FMCG inverse h&s, waiting for a BO

 

[shivroy]

NIFTY MIDCAP50

 

[shivroy]

aubank

 

[shivroy]

INDHOTEL

 

[abhi.]

This could be a little longish post but I guess it will be worth it.

Of course if someone can do a back test for a longer period and for both PE and CE , it may throw a clearer picture. of course nifty may be a different ball game altoge
in pursuant to your suggestion I did a small calculation, on the feasibility with calls on the Bank nifty options to future positions for intraday trading. Of course just a rough single day calculation and single a single option pricing is hardly what can be called conclusive but I will list a few points which i observed which will give trading in options a better edge than futures from what I see. The prices and other parameters are not absolute but you should be able to get the gist of what I am saying.

I was looking at the Delta value for the option strike consideration, now getting a 1 delta option would be too far off so I decided to look at a Delta value close to .8, and the take the price difference of 5 lots of bank nifty options VS 4 lots of futures i.e., 125 units of options to 100 units of futures, of course the variation in the futures premium I am not considering for the sake of calculation.

Considering the ATM strike as 28600 , the .8 delta strike I found was around 27800 and the option premium there was 850 rs.
If index moves apprx 500 points in our favour it would mean a profit of rs.500 * 100 = +50000 and vice versa
whereas when you consider the movement of options for the same point difference
a 500 point difference in the option value in our favour was 1325-850 = 475 *125 = 59375 ( since we have to take 5 lots into account)
and a 500 point movement against us gave a premium of 500 - 850 = -350 * 125 = -43750

these are just an approximation and not absolute. Andthey are from option buying only.

Coming to the margin requirment., 5 lots of bank nifty @ 850 would require about 1.1 lakhs even for overnight positions. whereas you can imagine the margin required for the bank nifty future , even if you are taking it with a hedge to benefit from the new sebi law. or with an intraday margin

so my vote for comfort and benefit stays with options , As usual this is what i calculated, i could be wrong , in case i am , i would like to know where.

if would be nice if some can get a back test done on both ce and pe for a longer period.
of course nifty may be a different ball game altogether

This is the value of option you are left with not loss amount.. Loss will be -500*125 = 62500 or even more than 500 if decay is more