Option experiments...

[aimer]

Hello Dan,
I am back after doing some homework on greeks as suggested by u...
Got to know how blind i was in trading options without knowing those greeks....Still not perfect but trying it out on daily basis to polish it further...

Using NSE pathsala dummy account to carry out trades and try some basic strategies...

But I am unable to calculate the greeks for scrips.....for nifty i use option oracle but it does not allow any scrips.

I tried in making an excel using Black Scholes calculation but getting error...I had copied the formula as explained by Black scholes pricing model...what do I do? Is there any such software...i googled but didnot find any such software or excel which calculates these greeks....

How to get this calculations correct...plz help...
Thanks in advance.

Edit:I tried to use the following link, but the price obtained is not correct...or may be I am using the values incorrectly...confused in using the volatility part for scrips. I generally download it from NSE site(FOVOLT file)...http://w w w.option-price.com/index.php

 

[Somatung]

Hi Aimer

Hope you are well and had a good time so far.

About your excel file: I do not know how to program or write or what ever is needed to do such an excel file. Dear Healtraj is more experienced with programing such excel files. I have seen you in his thread, so you may get in touch with him according this problem.

Question: You use http://www.option-price.com/index.php and you say it not gives the right numbers. Why?

If you can, make some screen shots from what you tried and post it here. Point out what you think are wrong numbers and we can clear it here. The link you posted depends all on what you put in on numbers in each field and the outcome is according to this.

Dan

 

[aimer]

Thanks Dan
Will get in some pics on the error that I get and also show the values that I use...

 

[aimer]

Hi Aimer

If you can, make some screen shots from what you tried and post it here. Point out what you think are wrong numbers and we can clear it here. The link you posted depends all on what you put in on numbers in each field and the outcome is according to this.

Dan

Hello Dan,
Posting three pics related to tatasteel
I have considered April expiry with strike as 370 and underlying price as 371.5
taken volatility from FOVOLT file downloaded from NSE but the values of call and put price differs...plz check and correct me where I am going wrong...

 

[Somatung]

@Aimer

Each option strike price has his own IMV. So you must calculate according to this number and then it looks like this:

Here your shown matrix:

https://i.imgur.com/yURvCRo.jpg

Now check the IV or how we say IMV. Now you take this given number for the call side and here we go:

and here for the put side:

Doe's this clear the questions? If not, post your next one and tomorrow I will be back.

Take care / Dan

 

[aimer]

@Aimer

Doe's this clear the questions? If not, post your next one and tomorrow I will be back.

Take care / Dan

Thanks a tonn Dan,
got it clear now, actually I didnot use the IMV from the option data.The calculator calculated both call and put price and was confused in using call IMV or put IMV...did not know that we have to find call and put price separately...

Now will start using this from tomorrow and will come up with some live trades and discuss those with u...

Thanks once again...:clapping:

 

[Somatung]

Thanks a tonn Dan,
got it clear now, actually I didnot use the IMV from the option data.The calculator calculated both call and put price and was confused in using call IMV or put IMV...did not know that we have to find call and put price separately...

Now will start using this from tomorrow and will come up with some live trades and discuss those with u...

Thanks once again...:clapping:

Your are welcome and have a nice night. Dan

 

[aimer]

Hello Dan,
Hope u are doing fine...

I have made few positions(demo account) and would like u to correct me and provide your valuable comments...

Had initiated a short straddle in TATASTEEL on 27th April.
Reasons being volatality on the maximum side and also observing some resistance at 380 levels in the chart...even the max open interest in CE was placed at 380.
Thought Process wanted to gain from the higher volatality and also holding the position for the series would help theta on my side...

Trade
TATASTEEL15MAY380CE 27/04/2015 10.00 500 SELL
TATASTEEL15MAY380PE 27/04/2015 21.00 500 SELL

Net premium gained was 31(excluding brokerage)

Now in todays scenario tatasteel has moved up and has broken 380 lvls(LTP 379.85) volatility being 37.16...
The following will be the conditions if it expires @ the following rates...
380-----31
390-----21
400-----11
410-----01

If I add one leg on the upper side by buying 390 call @ 18, now the scenario changes as follows...
380expiry----13
390-----------3
400-----------3
410-----------3

Now adding one leg reduces the profit but its limited.
So, would it be better to add one leg at this juncture or let the straddle work as theta would also work...also if the scrip moves abv 410 which is not likely we can square off both calls and puts(scratch trade)...

Dan, would like ur inputs on the abv thought...am I moving in the correct direction?
Thanks in advance...

 

[Somatung]

@Aimer

Will take my time tomorrow for your question.

Until then / Dan

 

[Somatung]

As promised: Will be back today.

Now let me start with this questions:

What would be your favorite move in your mind on what you posted and why?

Any other idea/s in your back head which you just want to be confirmed or wanted to have an expanded mind about it or what ever else I do not see?

As more as I know as more precisely I can answer your question in a simple way.

Dan