Naked Strangles in weekly Bank Nifty

[newuser_RK]

Da, his strategy should work in that period (Aug-16 to Jan-17 at all time IV high), but in my earlier post in your thread, BN annualised volatility has dropped from those 22% to lowest ever levels recently.
Strangle are worst hurt when initiated at such medium to low levels, most of the time they close at break-even and not big profits.
I suggest thread starter to consider current IV levels.

PS: selling BN strangle/straddle at 12-14% ATM IV imho is suicide...

Where can I get historical iv data?
For nifty options VIX is a good proxy but what about bank nifty?

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[travi]

Where can I get historical iv data?
For nifty options VIX is a good proxy but what about bank nifty?
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You can't get historical IV in its plain form.
You need to reverse calculate IV from the price for that weekly and chart it. (Black-scholes formula)

 

[doonyadav]

what does imho means?

 

[newuser_RK]

what does imho means?

In my humble opinion

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[newuser_RK]

As of now we are around 30 bnf points in profit. Final update post market

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[travi]

You can't get historical IV in its plain form.
You need to reverse calculate IV from the price for that weekly and chart it. (Black-scholes formula)

This is for historical, but once you start paper-trading, learning etc
you need to tabulate this on your own.

As far as your strategy goes, just back testing may not help bcos the future is uncertain.
So you may collect small change in some weeks/months and then give it away in one massive gap.

You can share some historical data about Gaps that appear on Mondays, or WRB at opening.

Since weekends are long R:R may become unfavourable.

 

[newuser_RK]

This is for historical, but once you start paper-trading, learning etc
you need to tabulate this on your own.

As far as your strategy goes, just back testing may not help bcos the future is uncertain.
So you may collect small change in some weeks/months and then give it away in one massive gap.

You can share some historical data about Gaps that appear on Mondays, or WRB at opening.

Since weekends are long R:R may become unfavourable.

That's true Gaps are the biggest enemy of this method. I will check the data for which Mondays are gap up

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[newuser_RK]

Now making 40bnf points, paper trade. Wise to book out....

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[newuser_RK]

At EOD we are making 55 points while in calendar spread we are making 10 points

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[newuser_RK]

This week also 40 points gain at least.
I would like to add that one may also buy an insurance by buying a deep otm put option to avoid a black swan event
So on Friday for a 21100 straddle one could have bought 20500 put which lost only 1 point yesterday

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