Hello ,
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 this.
Any reference with VIX. Implied vs Historical ?
2. Time to expiration in days.
Say on Monday 12:00 noon , should I put 3 or 3.2 for Thursday 3:30 PM expiry
What about previous Friday ? 5 or 6 or 7.
3. Risk free rate. What about this ?
Presently putting 7%. Where can I check this.
Secondly ,
1. Role of Price :
Does the option price play any role in being delta neutral.
I shouldn't be averaging , based on price at different strikes right ?
IE : 2 qty at 75 is equal to 1 qty at 50 and 1 qty at 100.
Can I turn blind on the price ?
2. Role of distance from Strike
Being equal distance from Strike also doesnt mean being delta neutral right ?
say 200 points away for CE and PE - would not be delta neutral right ?
From observation : at equal distance from the strikes the Call is priced more.
Shouldn't it be the PUT more expensice than Call.
Can I rely completely on the delta values from the Black Scholes Calculator.
End purpose : is Strangle based on Qty and Strikes to be as delta neutral as possible.
Please guide.
Thank you.
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 this.
Any reference with VIX. Implied vs Historical ?
2. Time to expiration in days.
Say on Monday 12:00 noon , should I put 3 or 3.2 for Thursday 3:30 PM expiry
What about previous Friday ? 5 or 6 or 7.
3. Risk free rate. What about this ?
Presently putting 7%. Where can I check this.
Secondly ,
1. Role of Price :
Does the option price play any role in being delta neutral.
I shouldn't be averaging , based on price at different strikes right ?
IE : 2 qty at 75 is equal to 1 qty at 50 and 1 qty at 100.
Can I turn blind on the price ?
2. Role of distance from Strike
Being equal distance from Strike also doesnt mean being delta neutral right ?
say 200 points away for CE and PE - would not be delta neutral right ?
From observation : at equal distance from the strikes the Call is priced more.
Shouldn't it be the PUT more expensice than Call.
Can I rely completely on the delta values from the Black Scholes Calculator.
End purpose : is Strangle based on Qty and Strikes to be as delta neutral as possible.
Please guide.
Thank you.
