Calculadora grega.
21.1 - Antecedentes.
Até agora, neste módulo, discutimos todos os importantes gregos de opções e suas aplicações. Agora é hora de entender como calcular esses gregos usando o Black & amp; Calculadora de preços de opções de Scholes (BS). A calculadora de preços das opções da BS é baseada no modelo de preços das opções Black e Scholes, que foi publicado pela primeira vez pela Fisher Black e Myron Scholes (daí o nome Black & Scholes) em 1973, porém Robert C Merton desenvolveu o modelo e trouxe um total compreensão matemática à fórmula de preços.
Este modelo de precificação particular é altamente reverenciado no mercado financeiro, tanto que ambos Robert C Merton e Myron Scholes receberam o Noble Prize de 1997 para Ciências Econômicas. O modelo de preços de opções B & amp; S envolve conceitos matemáticos, como equações diferenciais parciais, distribuição normal, processos estocásticos etc. O objetivo deste módulo não é levá-lo através da matemática no modelo B e S; Na verdade, você poderia olhar para este vídeo da Academia Khan para o mesmo -
Meu objetivo é levá-lo através da aplicação prática do Black & amp; Fórmula de preços das opções de Scholes.
21.2 - Visão geral do modelo.
Pense na calculadora BS como uma caixa preta, que absorve um monte de entradas e dá um monte de saídas. Os insumos necessários são principalmente dados de mercado do contrato de opções e as saídas são os Griegos de Opção.
A estrutura para o modelo de precificação funciona assim:
Nós inserimos o modelo com preço spot, preço de faturamento, taxa de juros, volatilidade implícita, dividendos e número de dias para caducidade. O modelo de precificação altera o cálculo matemático exigido e dá um monte de saídas. O resultado inclui todos os gregos opcionais e os preço teórico da chamada e opção de venda da greve selecionada.
A ilustração abaixo fornece o esquema de uma calculadora de opções típica:
No lado de entrada:
Preço spot - Este é o preço à vista no qual o subjacente está sendo negociado. Note que podemos até substituir o preço à vista pelo preço do futuro. Usamos o preço de futuros quando o contrato de opção é baseado em futuros como subjacente. Normalmente, a mercadoria e, em alguns casos, as opções de moeda são baseadas em futuros. Para os contatos de opções de equivalência, use sempre o preço à vista.
Taxa de juros - Esta é uma taxa livre de risco prevalecente na economia. Use a taxa de cobrança do Tesouro do RBI 91 dias para este fim. Você pode obter a taxa do site do RBI, a RBI disponibilizou a sua página de destino, conforme destacado abaixo.
Em setembro de 2018, a taxa vigente é de 7,4769% ao ano.
Dividendo - Este é o dividendo por ação esperado no estoque, desde que o estoque seja ex-dividendo dentro do prazo de validade. Por exemplo, suponha que hoje é 11 de setembro e você deseja calcular os Gere dos Opcionais para o contrato de opção do ICICI Bank. Assuma que o ICICI Bank esteja indo ex dividendo no dia 18 de setembro com um dividendo de Rs.4. O prazo para a série de setembro é 24 de setembro de 2018, portanto o dividendo seria de Rs.4. nesse caso.
Número de dias para caducidade - Este é o número de dias corridos para caducidade.
Volatilidade - É aqui que você precisa inserir a volatilidade implícita da opção. Você sempre pode olhar para a cadeia de opções fornecida pela NSE para extrair os dados de volatilidade implícita. Por exemplo, aqui está o tiro instantâneo do 280 CE do ICICI Bank, e como podemos ver, o IV para este contrato é de 43,55%.
Vamos usar essas informações para calcular a opção Gregos para ICICI 280 CE.
Preço spot = 272,7 Taxa de juros = 7,4769% Dividendo = 0 Número de dias para expiração = 1 (hoje é 23 de setembro e caduque em 24 de setembro) Volatilidade = 43,55%
Uma vez que temos essa informação, precisamos alimentar isso em um padrão Black & amp; Calculadora de opções de Scholes. Nós temos essa calculadora em nosso site - https: // zerodha / tools / black-scholes, você pode usar o mesmo para calcular os gregos.
Depois de inserir os dados relevantes na calculadora e clicar em 'calcular', a calculadora exibe os Griegos de Opção -
No lado da saída, observe o seguinte:
O prémio de 280 CE e 280 PE é calculado. Este é o preço da opção teórica de acordo com a calculadora das opções B e S. Idealmente, isso deve coincidir com o preço da opção atual no mercado Abaixo dos valores premium, todos os Griegos de opções estão listados.
Estou assumindo que agora você está bastante familiarizado com o que cada um dos gregos transmitem, e a aplicação do mesmo.
Uma última nota sobre as calculadoras de opções - a calculadora da opção é usada principalmente para calcular os Griegos de Opção e o preço da opção teórica. Às vezes, ocorre pequena diferença devido a variações nos pressupostos de entrada. Por esse motivo, é bom ter espaço para os inevitáveis erros de modelagem. No entanto, em geral, a calculadora da opção é bastante precisa.
21.3 - Coloque a Paridade de Chamada.
Enquanto estamos discutindo o tema sobre o preço da opção, talvez seja sensato discutir 'Parâmetro de chamada de chamada' (PCP). PCP é uma equação matemática simples que afirma -
Valor de venda + Preço do valor = Valor atual da greve (investido até o vencimento) + Valor da chamada.
A equação acima é verdadeira assumindo -
Tanto o Put como o Call são opções de ATM. As opções são europeias. Ambos expiram ao mesmo tempo. As opções são mantidas até expirar.
Para pessoas que não estão familiarizadas com o conceito de Valor presente, eu sugeriria que você leia esse # 8211; zerodha / varsity / chapter / dcf-primer / (seção 14.3).
Supondo que você esteja familiarizado com o conceito de valor presente, podemos reformular a equação acima como -
Onde, Ke (-rt) representa o valor atual da greve, sendo K a greve propriamente dita. Em termos matemáticos, o ataque K está sendo descontado continuamente com a taxa de "r" ao longo do tempo "
Além disso, perceba se você mantém o valor presente da greve e mantém o mesmo até o vencimento, você obterá o valor da greve em si, portanto, o anterior pode ser atualizado como -
Opção de venda + Preço do local = Opções de greve + Chamada.
Então, por que a igualdade deve ser garantida? Para ajudá-lo a entender melhor, pense em dois comerciantes, Trader A e Trader B.
O comerciante A possui a opção de caixa eletrônico e 1 ação do estoque subjacente (lado esquerdo da equação PCP). O comerciante B possui uma opção de chamada e um valor em dinheiro equivalente à greve (lado direito da equação PCP)
Sendo este o caso, de acordo com o PCP, a quantidade de dinheiro que ambos os comerciantes fazem (assumindo que eles ocupam até o termo) deve ser o mesmo. Deixe-nos colocar alguns números para avaliar a equação -
Trader A detém = 1200 PE + 1 parte da Infy em 1200.
Trader B detém = 1200 CE + Dinheiro equivalente a greve, ou seja, 1200.
Suponha que, no vencimento, a Infosys expire às 1100, o que você acha que acontece?
A opção de colocação do Trader A torna-se rentável e ele faz Rs.100 no entanto ele perde 100 no estoque que ele detém, daí o seu salário líquido é de 100 + 1100 = 1200.
A opção Call Call do comerciante torna-se inútil, portanto, o valor da opção vai para 0, no entanto, ele tem dinheiro equivalente a 1200, portanto, seu valor de conta é 0 + 1200 = 1200.
Vamos dar outro exemplo, assumir Infy atinge 1350 quando expirar, vamos ver o que acontece com as contas dos comerciantes.
Trader A = Put vai para zero, estoque vai para 1350 / -
Trader B = Valor de chamada vai para 150 + 1200 em dinheiro = 1350 / -
Tão claro, independentemente de onde o estoque expirar, as equações são verdadeiras, o que significa que o comerciante A e o comerciante B acabam fazendo a mesma quantia de dinheiro.
Tudo bem, mas como você usaria o PCP para desenvolver uma estratégia de negociação? Bem, para isso, você terá que aguardar o próximo módulo que é dedicado a "Estratégias de opção" J. Antes de iniciar o próximo módulo sobre Estratégias de opção, temos mais 2 capítulos para entrar neste módulo.
Key takeaways deste capítulo.
A calculadora de opções é baseada no Black & amp; Modelo Scholes The Black & amp; O modelo de Scholes é usado para estimar o preço teórico da opção juntamente com a grelha da opção. A taxa de juros na calculadora B & amp; S refere-se à taxa livre de risco disponível no site RBI. A volatilidade implícita pode ser obtida da cadeia de opções do site da NSE A porcentagem de chamada de colocação afirma que a recompensa de uma opção de venda mais o ponto equivale à opção de recompensa da opção de compra mais a greve.
169 comentários.
Quando podemos esperar o módulo de estratégias de opções.
Muito em breve, outros 2 capítulos no módulo atual e passamos para Estratégias de Opções.
Senhor, o que acontece com a posição de futuro no dia-a-dia no caso de estoque dividido como adianta, idfc hoje.
Eu percebo que o delta de 280 PE é -0.873. Mas, apenas o ITM profundo tem deltas tão altos, certo?
Onde você conseguiu esse valor da Ajay ?. Delta deve ser inferior a -0,5.
Acho que recebi minha resposta. Por sinal, ansiosamente à espera do próximo capítulo. 🙂
O próximo capítulo (22) será carregado na próxima semana Ajay.
senhor, por que devemos usar dias de calendário no cálculo do valor da opção teórica, quando os dias de negociação excluíram o que é usado, ilumine-me.
Bem, o número de dias é tratado em algo chamado como a convenção de contagem de dias & # 8217; & # 8230; NSE adota uma convenção de contagem de dias chamada como & # 8216; real por real & # 8217; de acordo com o qual você precisa levar 365 dias.
Oi Na calculadora da opção black scholes, a entrada para IV é uma, mas os preços teóricos para o put e o call são calculados com base nessa IV INPUT Considerando que, na realidade, o IV coloca e exige a mesma greve diferem, então usando o que IV pode ser Melhor? Podemos usar o VIX% em vez disso?
Vix é uma boa aproximação para Nifty. Para o estoque específico IV, verifique a corrente de opção do estoque para IV.
De acordo com o vídeo da Academia Khan, a Volatilidade Implícita (IV) não é uma entrada para a fórmula Black-Scholes (BS). A entrada para a fórmula BS é o desvio padrão de retornos de log. Na verdade, o IV é calculado pela aplicação da fórmula BS ao contrário, veja o link para o vídeo da academia khan que explica como IV é calculado:
Eu acredito que a fórmula BS se alimentada com desvio padrão de retornos de logar seria fornecer (prever) preço de opção que pode diferir ligeiramente do preço real que é liquidado no mercado.
Sunil, sim, eu estou ciente disso. Na verdade, verifique esta zerodha / z-connect / query / stock-and-fo-queries / option-grego / how-to-use-the-option-calculator. Pelo que eu notei, as pessoas tendem a se confundir com o modelo BS de engenharia reversa para calcular IV & # 8217; s, então decidimos não fazê-lo com a nossa versão da calculadora BS. Estamos tentando manter isso muito simples e intuitivo.
Aprendemos até agora que quando você compra opções de ATM, o delta está na região de 0,5-0,6 e, à medida que o comércio avança a favor, o delta aumenta e, portanto, para cada 1 / - mover no estoque / índice, ficamos mais altos (& gt ; 0.6) mova-se na opção & # 8230; & # 8230; & # 8230; & # 8230; Quero entender o lado oposto & # 8230; ..
Quando eu compro opções de ATM e as posições vão contra mim no mesmo dia, eu suponho que o delta irá diminuir e eu vou perder menos de 0,5 ou 0,6 pts em relação a um movimento de 1 pt contra mim e # 8230; .. Deixe-me explicar com um exemplo & # 8230; Suponha que eu vá por muito tempo em 7900 CE quando ifty interrompe 7940 e então eu decido manter uma perda de parada de 40 pt. Espero perder cerca de 20 pts (dar e tirar alguns pontos) em opções se o meu SL for trigerred. No entanto, minha observação é que muitas vezes eu perco cerca de 40 pts em opções também. Para que posso atribuir essa perda? Na maioria das vezes, SL é desencadeada no mesmo dia, então o impacto no valor do tempo é mínimo # 8230; .. Eu acho que a vega desempenha um papel, mas em todos os momentos. O que eu poderia estar faltando?
Prashanth & # 8211; Quando os movimentos subjacentes em um ponto, o prémio deverá se mover para a extensão do delta. Então, se o delta for 0.6, então, para cada movimento de um ponto no subjacente, o prémio deverá avançar em 0,6 pontos.
Eu estou elaborando seu caso aqui & # 8211; Você compra 7900CE (ATM), o prémio é 180 / -, a Delta é 0,5. Spot move para 7940, aumento de 40 pontos ... assim, o novo prémio será o antigo premium mais o movimento do delta times no subjacente. Por isso, o novo prémio é 180 + (0,5 * 40) = 200. No entanto, agora esse ponto está em 7940 (ligeiramente ITM), o delta é 0,6 (valor aproximado). Enquanto você tem um SL de 40 pontos no subjacente, o prémio reagirá um pouco diferente. Então, se o mercado cair por 40 a partir de 7940, então você perderá 40 * 0.6 = 24 pontos. Então, isso levaria o novo prémio para 200 & # 8211; 24 = 176 pontos.
Além disso, como você mencionou, a Vega tem um enorme impacto sobre as opções de prémios.
Próximo capítulo, por favor ...
Atualmente, você está demorando muito tempo (15 dias), reduz o tempo pelo menos até 1 semana.
Keshav & # 8211; Você não quer que eu escreva lixo certo? Então, dê-me o tempo, eu me certificarei de que o conteúdo valha a pena sua paciência 🙂
Eu acho que alguns pequenos erros de digitação em 2 lugares um na entrada da opção icici, por exemplo, & amp; Prashanth nairs Q & amp; A.
Taxa de taxa de cálculo da opção icici digitada como 4769% inteaad de 7.4769% •
Em relação ao cálculo superior 180 + (0,5 * 40) = 220, isso não é 220, mas 200 e o cálculo é certo 220 - 24 = 196, mas, como por exemplo, devemos subtrair de 200-20 = 180.
Ah, obrigado por apontar isso, vou olhar para ele.
Karthik, bons esforços, obrigado, espero que esteja bem ciente do calculador grego, dentro.
ODIN Diet, quando você seleciona estoque paricular ou acerta e clique em CTRL + pg up, uma janela aparece com BS calculatore, que tem todas as informações de entrada como padrão, você apenas clicar em calcular e obterá todo o resultado, espero que você também possa fazer isso .
Karthik, você é uma pessoa muito inovadora e está tentando dar o melhor e mais recente sistema de negociação ao seu cliente e, portanto, solicitar o acesso a esse sistema, estou certo de que você irá apreciar.
Quando você publicará a "Estratégia de opção" # 8221; no Varsity? Alguma linha de tempo específica?
Começando a trabalhar no próximo módulo em breve.
Muito boa explicação de uma maneira simples. No MBA, estudei Derivados durante minha educação superior, mas tudo foi teórico e também difícil de implementar no mundo real. Esta explicação foi realmente uma ajuda. Mas tenho dúvidas.
https: // zerodha / tools / black-scholes nesta página que você está dizendo para calcular a volatilidade histórica para calcular o preço da opção, onde, como nesta página da web zerodha / varsity / chapter / greek-calculator / você está dizendo para calcular o preço da opção usando volatilidade implícita. Você poderia explicar?
Estou feliz por ter gostado da explicação 🙂
A volatilidade histórica é uma simples & # 8220; Quick & # 038; Sujo & # 8221; aproximação.
Para opções Nifty, o que pode ser o dividendo.
de acordo com seu link nifty & # 8216; s dividendos de hoje é 1.51 certo?
Para o cálculo do Nifty Premium Nas opções BS, na opção Spot (subjacente) se o valor do índice ifty ou o valor futuro do mês atual deve ser inserido?
O theta derivado no clulador de BS denota a decadência do prémio por dia. É assim. O artigo do time não menciona isso.
Sim, theta é a decadência no valor premium atribuível à passagem do tempo, desde que tudo seja igual. Deixe-me verificar isso novamente no Varsity. Obrigado.
Qual módulo abordou Rho?
Não coberto Rho, como Rho indica a mudança no formato premium para alterar a taxa de juros. A taxa de juros não muda frequentemente, e, portanto, decidiu ignorar este grego.
Posso obter a fórmula de opção Balck schole na folha de cálculo excel, de modo que seja conveniente para o trabalho em casa.
Verifique este & # 8211; stern. nyu. edu/
Eu sou satish srinivasan e eu estou negociando na conta da minha irmã. Até a data, eu não consegui negociar e eu não pedi a ajuda de ninguém e não conheço quem é a pessoa técnica que está apoiando comerciantes em zerodha meus desejos pessoais para ele. Espero que se você me emprestar, será muito útil. Espero que uma conversa com um homem sábio em torno de uma mesa seja tão boa como ler muitos livros.
Se você está lendo isso, acho que estou perto de você. Se eu puder chegar tão longe, acho que posso avançar um pouco. Eu vou ficar de olho em você. Espero que esta carta o encontre.
Satish & # 8211; não tenho certeza com quem você precisa falar. Teremos o maior prazer em responder às consultas postadas aqui, por isso não hesite em fazer perguntas aqui.
Rho é a taxa de mudança de prémio em relação à variação na taxa de juros.
Senhor, acabei de calcular a opção Os gregos de usd inr e a opção de chamada atual premium são 0.2700, mas na opção de calculadora, a opção de exibição premium é 0.1600, está ok ou há algum erro? e também na opção de colocar theta não têm uma teta, por favor, explique.
Bem, a calculadora de opções fornece o preço da opção teórica de um ativo com base nos fatores que se desenrolam no mercado. Não é necessário que ele corresponda ao preço atual do mercado.
Não tenho certeza sobre Theta, verificarei e voltará. Obrigado.
Na caixa de volatilidade, na verdade, a volatilidade deve entrar, marcar a opção iv ou colocar a opção iv? Por favor explique.
Na verdade, você pode usar os valores ViX (para Nifty) para ambas as Chamadas & # 038; Coloca.
No que diz respeito ao uso de valores vix para chamada e colocação, gostaria de buscar o seu esclarecimento para que eu possa usar a mesma volatilidade vix, ou seja, suponha que hoje está mostrando 17.35 nesse momento particular de entrar em uma estratégia para ambas as chamadas e colocar o mesmo vix. Agradecimentos e cumprimentos. r v n sastry.
Sim, você pode usar os mesmos valores ViX para obter valores aproximados em grego.
O que as opções sorriem.
Consulte a seção 20.1.
1. No site do RBI 91 dias, a conta T está em branco, o que isso implica?
2. Onde encontrar wipro vai dar em feb mês ou não, para entrar dividendos em B & amp; S calsulator?
Você precisa inserir um valor & # 8211; a taxa de juros da conta T. Isso está disponível no site do RBI.
A informação de dividendos está disponível quando e disponível.
O valor do valor de T está vazio no site do rbi eu cerclei isso.
Ah, nesse caso, você pode tomar as taxas de contas de 180 dias.
strike-360, caducidade do contrato - 25 fev.
Prêmio real obtido no site nse ou 360CE-7.70.
Anexei o instantâneo dos valores obtidos pela calculadora B & amp; S.
Agora, suponha que os movimentos de pontos em +25 pontos e o novo ponto seja 365.
então os cálculos abaixo -
novo premium - 7,70 + 25 * (.357) = 16,63.
novo delta - .357 + 25 * (. 0089) = .579.
A minha pergunta é que o delta está mudando constantemente com a mudança no subjacente (estoque), então, a partir de que ponto, o prémio deve ser calculado com o novo delta e não o antigo? Significa se calcula o prémio com delta .357 será diferente o valor do prémio, e se eu parar no meio e calcular o prémio após o aumento de 10 pontos (de stock), o novo valor delta virá e o prémio correspondente a este será diferente.
Este é um problema complicado, Rohan. Na realidade, o Delta é uma variável em constante evolução e não pára de mudar até a expiração. Para todos os fins práticos, é melhor se você definir o seu prazo e avaliar os deltas nesse período.
Se eu inserir valores na calculadora B & amp; S fornece valores de delta, gama, etc. para opções de chamada e colocação para determinado ponto (1200) e greve (1220).
Mas se a opção IV of call e put for diferente do que deve ser inserido na calculadora? Tenho cercado diferentes IV & # 8217; s para a mesma greve.
Eu suponho que você está falando sobre a calculadora B & # 038; S em Zerodha. Nós colocamos uma versão muito básica da calculadora. Você precisa estar ciente de qual opção você está calculando e inserir a IV relevante.
Entre todos os dados para obter a opção grego para USDINR 68.75 CE. 25 FEVEREIRO DE EXPIRAÇÃO. E EU TIVE A SAÍDA, MAS EU ACREDITO NÃO É DADOS CORRECES PORQUE MOSTRANDO GAMMA DE: 1.6398 POR FAVOR ENCONTRAR O PONTUTA E POR FAVOR EXPLIQUE.
Obrigado por publicar isso, Gamma de uma opção ATM invariavelmente dispara enquanto nos aproximamos do prazo de validade. No entanto, acho que esse valor de gama é extremamente alto. Deixe-me cavar mais fundo e voltar para você assim que puder. Obrigado.
Obrigado pela resposta rápida, & # 8230; e estou aguardando mais informações & # 8230;
Hoje (25.02.2018), eu vejo a cadeia de opções bacana, mas não consigo ver nenhuma greve IV, Na coluna IV mostrando em branco, encontre a captura de tela e explique.
Não tenho certeza por que, você terá que falar com a NSE para isso.
Como encontrar os valores dos parâmetros Intrest e volatilidade em termos dialógicos, existe uma maneira de obtê-los / encontrar, a resposta será muito apreciada.
As taxas de juros não mudam diariamente, então não deve preocupar-se com você. Para informações de volatilidade específicas do estoque, não tenho certeza de onde iremos encontrá-lo, talvez você tenha que calculá-lo sozinho. Da minha experiência, conhecer a figura de volatilidade áspera é bom o suficiente, a menos que você esteja lidando com algumas transações sensíveis à volatilidade. Para Nifty, eu sugiro que você verifique o ViX, isso lhe dará uma aproximação.
Oi, usando a calculadora de blocos e escolhas para o vile nifty que eu forneci como entrada para a volatilidade%, mas se eu fizer a mesma coisa dando vix como entrada para a volatilidade% no caso de valores teóricos convenientes do banco são muito diferentes do preço real, aqui o que deveria Damos como entrada para a volatilidade em caso de banco nifty. Thanks antecipadamente.
1. Como as opções de efeito de taxa de juros RBI? Você pode compartilhar alguns detalhes sobre isso?
2.Como encontrar o dividendo para estoque, em vez do índice, como você postou na resposta anterior.
O efeito das taxas de juros é capturado por um grego chamado Rho, eu ignorei discutir isso, pois as taxas de juros não mudam com freqüência. Na taxa geral de juros e as opções premium têm uma relação inversa.
Você terá que acompanhar eventos corporativos por informações sobre dividendos, bônus, divisões etc.
Você pode consultar qualquer site onde eu possa acompanhar eventos corporativos por dividendos, bônus, divisões, etc. de cada estoque na NSE / BSE? Eu procurei em muitos, mas não obtive nenhum resultado apropriado.
obrigado. Procurei no controle de dinheiro, mas não consegui naquele momento.
Na cadeia de opções NSE, a taxa de juros considerada é 10% (Nota na parte inferior).
Por que é diferente do RBI [91 day T Bill] Taxa de juros?
Não é apropriado considerar a taxa de juros mencionada na NSE, porque essa é a base que pagamos como prémio, em última instância, durante o comércio?
Também precisamos calcular separadamente a Volatilidade Diária, embora seja mencionada na Página de Citações NSE? Podemos ter o mesmo valor ao calcular o prémio (para Opções) ou stop-loss (para Futuros) & # 8211; Eu entendo que saber como calcular é melhor entender o conceito como abordado no Capítulo 7.
Ah! Nunca notei o bit da taxa de juros na cadeia de opções. Obrigado por apontar isso. Não tenho certeza por que a NSE assume 10%, não faz sentido para mim. Além disso, não há danos que levem os valores da NSE & # 8230, embora seja bom saber como cortar o número!
Bem, Obrigado por esses maravilhosos módulos e explicações detalhadas!
Eu tentei calcular o prémio e os gregos com base na descrição no módulo, usando Zerodha Black & amp; Calculadora de opções Scholes, mas não estava combinando a cadeia de opções NSE. Quando colocamos os valores da taxa de juros e da volatilidade conforme o site da NSE, os números correspondem principalmente.
Sim, nós tomamos as taxas de juros de acordo com as taxas da conta de imposto.
Quando colocamos todos os dados em Black & amp; Calculadora de Scholes obtemos o prêmio atual do estoque / índice. Mas como calcular os prêmios futuros. Por exemplo; shorting Nifty 8800 CE a 62 / -. Se Nifty subir para 9000, qual será o prémio. Como calcular.
Você pode fazer isso usando o Delta, isso lhe dará um valor aproximado.
Enquanto viaja no site da NSE para ler a volatilidade da Bata, nada é mencionado na coluna. Nesse caso, o que o fig. precisa ser colocado na fórmula Black Scholes.
Sim, se você está se referindo à volatilidade implícita. Se você está falando sobre a volatilidade histórica, eu sugiro que você use o & # 8216; = STDEV & # 8217; função em excel.
Karthik, primeiro agradeço pela excelente explicação. e eu tenho uma pequena dúvida, no vídeo acima há apenas a opção de opção de chamada B & amp; S, ENTÃO, qual é a fórmula para a opção B & amp; S put?
O cálculo para a opção Put é bastante similar ao Rakesh.
Karthik, estou muito confuso sobre IV e vega.
Na verdade, minha dúvida é que, na fórmula B & amp; S, devo inserir IV que é mostrado na cadeia de opções (É ISSO A VOLTAÇÃO IMPLÍCITA NÃO VEGA)?
Como é que IV calculado para greves diferentes? é o mesmo que o cálculo do SD?
Por favor, acesse a dúvida.
Oi Karthik, podemos calcular o IV de uma greve específica usando o LTP & # 8217; s (prémios) de 1 ano passado daquela greve e podemos descobrir SD ou IV dessa greve particular? (Sim ou não). Corrija-me se eu estiver errado.
IV é mais como a volatilidade neste momento & # 8230; é um tipo de olhar para a frente. No momento em que olhamos a volatilidade, estamos nos referindo ao & # 8216; realizado / histórico & # 8217; volatilidade.
Oi Karthik, Existe algum link na Zerodha onde podemos encontrar estratégias de opções com base em nossa visão no mercado, intervalo P / L aceitável, etc., como é fornecido no seguinte link:
Eu acho que é bom, pode ser uma pequena improvisação possível, considerando os gregos também.
Nada a partir de agora Santosh & # 8230; mas não fique surpreso se tivermos algo assim logo 🙂
Obrigado Karthik, tenho certeza que vocês, com certeza, encontrarão algo melhor do que isso. Muito bem sucedida. 🙂
Grande explicação. Muito obrigado.
Eu tenho consultas a seguir.
1) de onde eu obtenho o valor do ViX.
2) Quando eu calculo o preço da opção usando BS Calculator com opção IV of Call com taxa de juros de 10% e opção de opção IV com taxa de juros de 10% (diferentes IV para Call e Put from NSE option Chain com taxa de juros de 10%), os valores gregos de A calculadora BS coincide com a cadeia opcional NSE. Mas quando você coloca taxa de juros Tbill de 91 dias, os valores não correspondem. Por que fazer isso?
1) Os valores Índia ViX estão disponíveis na NSE, por favor, veja o seu site.
2) Isso é porque a NSE considera valores de taxa de juros de 10%.
Eu passei por este módulo # 8230; você fez um trabalho maravilhoso & # 8230; & # 8230;
Como eu sou newbee para as opções & # 8230;.Pls me corrigir se eu estiver errado. Depois de ler todos os capítulos, o que conclui é que as negociações de opções exigem toda a consideração da Grécia, bem como a visão no mercado mais amplo (se negociando no Nifty ) / assemelhamento subjacente. não é isso?
Cada capítulo é específico para greeek individual e muito claro. Quando se trata de negociação, eu não poderia implementar.
Você pode listar as regras mecânicas durante as opções de negociação. Ex: Se eu quiser negociar apenas no índice Nifty, então, como começar a construir o plano comercial.
Olá, senhor, depois de ler todo o capítulo relacionado da opção, é realmente maravilhoso. Obrigado muito pelo seu esforço.
Dúvida: depois de fazer análises técnicas, coloco a perda de parada de acordo com o preço do meu preço. Eu calculo o preço do stoploss e vejo o valor delta # 8230 e, de acordo com isso, estou tentando usá-lo, mas não consegui fazer sucesso porque eu sou não é capaz de estimar corretamente a combinação de todo o grego de uma só vez. Existe alguma calculadora para posição intradiária ou posição para resolver o meu problema ... Experimentei calculadora preta e scholes e não conseguiria entender como calcular o alvo / falha usando o valor grego Por favor, guie-me senhor & # 8230; Obrigado antecipadamente.
Avinash & # 8211; Se você deseja identificar o preço da SL, eu sugiro que você fique apenas em análise técnica. Até agora, minha experiência, além da vega, nenhum outro grego ajuda você a identificar preços de sl / entry.
Tenho uma pergunta sobre o período ou a duração da Volatilidade Implícita. Quando calculamos a volatilidade histórica, calculamos isso por um período específico como o "# 8211; diária ou anual ou 30 dias etc.
A volatilidade implícita refere-se a qualquer período de frente específico? Por exemplo, se a volatilidade implícita da opção de compra bancária 24 de novembro de 2018 é de 24%, significa que o mercado espera uma volatilidade de 24% no valor do índice para o próximo ano ou somente até a data de expiração da opção?
Sim. Se o IV for 24%, então é a expectativa de volatilidade do mercado (neste momento) para os próximos 1 ano.
Eu estava tentando usar a calculadora da opção e tropecei com essa coisa estranha no site da NSE, enquanto eu olhava diferentes greves para Jan 2017. Esta série 8250 PE para Jan mostra uma mudança líquida de +118 pontos e 7750 PE mostra +44 pontos, mas para quase todas as outras greves a mudança líquida foi negativa. você pode me ajudar a entender?
Esta deve ser a cadeia de opções 🙂
As greves diferentes se comportam de forma diferente para o mesmo movimento no subjacente. A cadeia de opções resume essas mudanças juntamente com outras mudanças. A cadeia de opções de compreensão requer que você tenha alguma experiência em opções. Eu sugiro que você comece a partir do capítulo 1.
Graças a Karthik, seus ensinamentos mudaram nossa abordagem para os comércios com convicção.
30-Jan, ideia celular, chamada 95CE SPOT FOI A 78, IV: 45, delta 0.05, gama: 0.012 (conforme a opção zerodha calc) agora o local se moveu em 20 pontos para 98, o delta deve ser de 0,6 a 1. mas o calc manual do novo delta mostra 0,29 ou 0,3. (0,05 + 0,012 * 20) Por que isso? Estou esquecendo de algo.
Sim, uma vez que o local é em 98, 95CE é ITM e o delta provavelmente será 0,7 ou superior. Não tenho certeza por que a calculadora não está refletindo esse valor. Você pode verificar novamente?
A volatilidade diária calc como por excel é diferente do número mostrado em nse, a diferença observada foi de 14 a 15 bips, observa-se diferença similar para a volatilidade anualizada. É ESTE NORMAL.
Sim, acho que é por causa da seleção da data.
Olá kartik como calmar a volatilidade implícita no excel.
Não tenho certeza, você terá que adotar um dos modelos que o ajudarão a calcular o mesmo.
Eu tenho um problema ao entender a calculadora B & amp; S.
Eu tentei com 50 figuras como essa.
Strike 9350, ponto 9198, premium é 32, Expiry 27/4/17.
E de acordo com a fórmula premium surge em 22,76 para chamadas e 147,78 para Puts.
Senhor, eu quero perguntar-lhe que é esse valor futuro para valores justos premium ou atuais que deve ser.
Se esse valor futuro, então, para qual data.
Tenha um bom dia.
É o valor justo do prêmio para dar greve e valor no local.
Qual é a fórmula para calcular a chamada e colocar as opções Gamma, Theta & amp; Vega usando excel.
Não consegui entrar na fórmula, pois pode mergulhar profundamente em quants. Mas apenas para lhe dar uma direção & # 8211; a fórmula é uma diferenciação de 2ª ordem de Black & # 038; Fórmula de Scholes.
Mas está dando diferentes valores premium.
Aqui estão as capturas de tela. Por favor, dê uma olhada.
Está dando alguns valores diferentes. Por favor, deixe-me saber o erro que estou fazendo.
Não sei por que a diferença, mas eu gostaria de acreditar que nossa calculadora é precisa.
significa que os valores de entrada estão corretos?
também eu queria saber que a IV será de acordo com a chamada e colocada? certo?
IV deve ser o mesmo para chamadas e colocar para a greve dada. No entanto, você pode notar alguma diferença aqui.
O que são todas as maneiras de encontrar (o PCR está crescendo e declinando constantemente)?
Você terá que aderir às técnicas de PCR regulares. Foi tentado e testado, não pode ficar muito errado 🙂
Ainda estou no processo de aprendizagem. Você pode me dizer quantos dias antes da data de Ex-Dividendos eu preciso comprar o estoque e manter para que eu possa aproveitar o dividendo. Isso é possível ou então eu preciso mantê-lo por 1 ano completo para que eu obtenha o dividendo. Estou confuso. Também vejo que há muita compra e venda acontecendo quando a data do Ex-Dividendos está próxima e naquele dia. Você pode agradar por favor.
Com certeza, você verificará o link. Obrigado 🙂
Como posso calcular o preço das opções para o preço de exercício de 350 na imagem da cadeia de opções da ICICIBANK acima, uma vez que a IV não é fornecida?
O call e colocar delta calculado para ICICIBank ATM 280 greves na imagem é 0,127 e -0,873, respectivamente. Aren # 8217; t esses valores para Deep OTM CE e Deep ITM PE.
Também percebo que: Delta (CE) + Delta (PE) = 1 neste caso. Isso é matematicamente válido toda vez?
PS: Obrigado pelos módulos. Isso realmente ajudou-me e outros a obter uma compreensão muito mais profunda dos mercados financeiros.
Sim, em virtude do delta é o OTM e o ITM profundos.
Sim, para greve ATM.
Felicidades! Aprendizagem feliz 🙂
Isso significa que uma opção pode ser classificada para ter uma moeda diferente do que é real com base nos gregos. And at same time, it can be classified as different moneyness by different greeks at the same moment in time (because the interactions is hanging everything dynamically every second)?
If yes, then what should we consider for a strategy (I haven’t read the option strategies module yet, maybe that will shed some light on this). For a delta neutral strategy, I guess we would consider just the deltas. But this is a wide variation if an ATM option is classified as Deep ITM/OTM. And it may soon change its delta. But say I want to build a strategy myself, what should matter most for a classification?
Sujeet, the moneyness comes for the difference between the strike and spot. The greeks do not really have a play on moneyness. However, the changes in the greeks itself can alter the moneyness 🙂
I’d suggest you take a look at the strategies module 🙂
WHICH SHOULD BE TAKEN AS SPOT VALUE in calculator for bank nifty. Underlying or future value?
It seems there is a difference between the values(from option calculator and actual market value?)…why sir?
The difference is expected. This can be attributable to the market inefficiencies. If you feel the difference is too high then you could sell the option, otherwise, buy….in both case hoping it would align to fair value.
Ei! About the dividend, if it’s within the period, then we write the value (in percentage terms I believe?), if not, we leave it as zero?
from where can i get dividend rate in case of nifty in order to get nifty future value for the current expiry.
Today 24.11.17 Nifty Spot closed @ 10390.
Nifty Dec 10400 Call @ 175 and Nifty Dec 10400 Put @ 123.
As per Black & Scholes Option Pricing Formula with volatility 13.5 call should be @ 163 & put should be @ 173.
Both call & put are ATM.
1. Why so much difference in premium?
2. What would be the expected move for nifty in coming days in such situation?
3. How would you trade in this type of situation?
4. Is it wise to buy a ATM put as the premium is low?
1) Two things – (a) If markets price the options wrong, then the difference could occur. But I suspect this is the case. (B) Your assumption on Volatility could be wrong.
3) Assuming my volatility input is correct and the markets are pricing the options wrongly, I’d buy both the options as they are cheaper compared to their respective fair price.
4) Yes, for reason stated above.
Thanks for your quick reply.
volatility 13.5 is as shown in the NSE India Vix Website.
call option is trading according to B&S Formula but why not put too.
as for my 2nd question i am sure there must have been similar instances in history and you must be knowing the aftermath of such situations.
If your pricing is correct, then you can make profitable trades as the market price will eventually catch up with the fair price. Anyway, I’m not sure if Nifty ATM puts can trade with such a large discount to fair price.
Thank for your quick reply karthik.
I am also little surprised to see such huge difference between 10400 ATM CALL & Put.
What could be the reason.
Will the put price rise later on.
Check today, I’m assuming the prices have corrected.
Can you explain a bit further on your 3rd point.
Please don’t mind, me asking silly questions.
Just clarifying myself.
You will have to tell me which 3rd point 🙂
First of all thank you karthik sir. I learned alot with Zerodha varsity. I tried to calculate Option premium by using zerodha B&S option premium pricing formula for Nifty as on 08.12.2017 closing time. the details are as below.
Nifty Spot: 10265.65.
Strike price: 10500.
Expiry: 28.12.2017 15:30Hrs.
Volatility: 13.67% (India VIX)
Interest: 6.15% (91 day T-bill rate from RBI website)
The output from B&S calculator is as follows.
CALL OPTION PREMIUM - 49.41.
The actual LTP premium price is 37.20.
Nifty Spot: 10265.65.
Strike price: 10500.
Expiry: 28.12.2017 15:30Hrs.
Volatility: 10.57% (IV from NSE website)
Interest: 6.15% (91 day T-bill rate from RBI website)
The output from B&S calculator is as follows.
CALL OPTION PREMIUM - 27.61.
The actual LTP premium price is 37.20.
it seems to be there is vast difference between actual premium and the theoretical premium calculated. Kindly explain me where did i got wrong and correct me.
The dividend for Nifty 50 is 1.11 from NSE website. B&S fromula in Zerodha website not taking decimals. i tried with 1, 2, 3 so on. whatever the value of dividend the premium is not changing.
CALL OPTION PREMIUM for 10400 Strike is – 49.41 but The actual LTP premium price is 37.20.
Well, in that case, I think there is mispricing. Market partici[ants will correct this sooner or later.
I have calculated call option premium for Nifty 10600 strike.
Case1: with implied volatility 11.61 ( from option chain)
the calculated premium is 21.97 where as actual LTP premium is 27.60.
Case2:with annualised volatility 12.62 ( from futures contract )
the calculated premium is 27.57 where as actual LTP premium is 27.60. this is matching perfectly.
i have calculated premium for reliance 960 strike using volatility from option chain and futures contract. in this case the IV selected from option chain is giving better result.
my understanding is that volatility of future contract for nifty is giving better result whereas for stock IV of option chain is giving better result.
Kindly clarify which volatility have to be chosen.
You need to considered the implied volatility of the option for calculating the option’s premium. However, you’ve made an interesting point of futures volatility. Let me check if this can be taken as a substitute.
I have made position for Nifty 10600CE on 14.12.2017 (Nifty Spot is 10252) during closing hours of market at a premium of 25.62 in anticipation of market opens gap-up on the back of positive gujrat exit polls which will be announced later in the evening. Later in the day all the Exit polls predicted BJP majority.
Market Today as expected opened gap-up 94 points but not made any follow through. The premium for my position opened at 35.6 and dropped to 27 after 30 minutes of market opening, but the underlying Nifty fell only 20 points.
My question is why premium fell suddenly when underlying not fell substantially.
This is because the volatility dropped the next day and with that the premiums also did.
It could be really better if we can view the Greeks in the ‘Positions Table’ in Kite. Hope you will work on this.
Noted. Will pass the feedback, Rajesh.
1.B&S options calculator is used to know the Greeks values for that strike as per the spot how the premium calculated based on the volatility?
Correct me if I am wrong.
2.If the first point is correct.
Now I want to modify the volatility increase/decrease, I can get the theoretical option price as per the B&S options calculator.
Is B&S options calculator used for test cases?
3.Ideally this B&S options calculator value should match with the current option price in the market.
How can figure out if options are over or under-valued and if volatility itself is under or over-estimated.
1) Not too clear with this – can you please rephrase it?
2) Yes, you can use B&S to calculate premium prices by altering the implied volatility. So essentially you can test for different scenarios.
3) Not necessarily, the market can misprice the option leading to the difference in price.
Thank you for clarifying.
Whenever I use option calculator this gives me the theoretical value of option premium and then I compare this value to the actual value of premiums most of the time I found that the option calculator is providing a value for premium which is less than the actual market price of the premium it means that premiums are expensive to trade from the buyer’s perspective right sir.
So I should not buy the options. Because they are expensive.
Ankit, the value obtained from the calculator is a theoretical value, whereas the value seen in the market is reflective of the sentiment prevailing in the market. If the difference is beyond an acceptable value then it does not make sense to buy…rather you can opt to sell them and collect the premium.
Yes exactly this is the dilemma that what should be the acceptable difference of theoretical value of premium and actual value of premium for buying purpose.
Actually sir I have an open position in currency.
Where I bought February expiry 63.75PE @0.3675 ITM and position is working for me but after buying this I realise that I paid much more than should I need to pay to buy this option.
When I divided this premium into intrinsic value and time value I found that the intrinsic value something near 0.2625.
I want to tell you that I got this intrinsic value from the following strike rate - RBI reference rate yesterday which was set by RBI @approx 64.54 like and after buying this the premium value actually dropped to that 0.2625 and came back after touching that level with my experience I observed that time value in ITM option THE TIME VALUE SHOULD NOT BE LIKE ABOVE.
So to avoid this silly mistakes in future I have some question.
1. is I bought an expensive option.
2. How to calculate intrinsic value means what should be the formula.
Is it strike - RBI reference rate OR strike – future rate or something else.
By the way I was slightly bullish on Rupee but not sure about the future direction actually in coming future so I played safe and bout IDM option I expected some 40 to 50% value gain in 4 to 5 days.
Thanks for help sir.
Ankit, if the RBI Reference rate is 64.54, then the intrinsic value of 63.75PE is 0. So the entire premium of 0.3675 is attributable to the time value. Such high time value is justified since you’ve bought the Feb contract, which will expire only next month. Intrinsic value is a non-negative number or 0. It is Strike – RBI Ref, but if it is - ve number, then the IV is considered 0, hence the rest becomes attributable to the time value.
Thanks but I am sorry RBI reference rate was 63.54 not 64.54.
I mistakenly wrote that 64.54.
But now I got the point clearly that.
INTRINSIC VALUE(PE)= STRIKE PRICE – RBI REFERENCE RATE.
Thank you so much sir.
Yes, that makes sense now. Good luck with the trade and remember, the intrinsic value of an option is always a non-negative number or 0.
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The Option Greeks (Delta) Part 1.
9.1 & # 8211; Visão geral.
Yesterday I watched the latest bollywood flick ‘Piku’. Muito bom devo dizer. After watching the movie I was casually pondering over what really made me like Piku – was it the overall storyline, or Amitabh Bachchan’s brilliant acting, or Deepika Padukone’s charming screen presence, or Shoojit Sircar’s brilliant direction? Well, I suppose it was a mix of all these factors that made the movie enjoyable.
This also made me realize, there is a remarkable similarity between a bollywood movie and an options trade. Similar to a bollywood movie, for an options trade to be successful in the market there are several forces which need to work in the option trader’s favor. These forces are collectively called ‘The Option Greeks’. These forces influence an option contract in real time, affecting the premium to either increase or decrease on a minute by minute basis. To make matters complicated, these forces not only influence the premiums directly but also influence each another.
To put this in perspective think about these two bollywood actors – Aamir Khan and Salman Khan. Movie buffs would recognize them as two independent acting forces (similar to option Greeks) of Bollywood. They can independently influence the outcome of the movie they act in (think of the movie as an options premium). However if you put both these guys in a single flick, chances are that they will try to pull one another down while at the same time push themselves up and at the same time try to make the movie a success. Do you see the juggling around here? This may not be a perfect analogy, but I hope it gives you a sense of what I’m trying to convey.
Options Premiums, options Greeks, and the natural demand supply situation of the markets influence each other. Though all these factors work as independent agents, yet they are all intervened with one another. The final outcome of this mixture can be assessed in the option’s premium. For an options trader, assessing the variation in premium is most important. He needs to develop a sense for how these factors play out before setting up an option trade.
So without much ado, let me introduce the Greeks to you –
Delta – Measures the rate of change of options premium based on the directional movement of the underlying Gamma – Rate of change of delta itself Vega – Rate of change of premium based on change in volatility Theta – Measures the impact on premium based on time left for expiry.
We will discuss these Greeks over the next few chapters. The focus of this chapter is to understand the Delta.
9.2 – Delta of an Option.
Notice the following two snapshots here – they belong to Nifty’s 8250 CE option. The first snapshot was taken at 09:18 AM when Nifty spot was at 8292.
Now notice the change in premium – at 09:18 AM when Nifty was at 8292 the call option was trading at 144, however at 10:00 AM Nifty moved to 8315 and the same call option was trading at 150.
In fact here is another snapshot at 10:55 AM – Nifty declined to 8288 and so did the option premium (declined to 133).
From the above observations one thing stands out very clear – as and when the value of the spot changes, so does the option premium. More precisely as we already know – the call option premium increases with the increase in the spot value and vice versa.
Keeping this in perspective, imagine this – you have predicted that Nifty will reach 8355 by 3:00 PM today. From the snapshots above we know that the premium will certainly change – but by how much? What is the likely value of the 8250 CE premium if Nifty reaches 8355?
Well, this is exactly where the ‘Delta of an Option’ comes handy. The Delta measures how an options value changes with respect to the change in the underlying. In simpler terms, the Delta of an option helps us answer questions of this sort – “By how many points will the option premium change for every 1 point change in the underlying?”
Therefore the Option Greek’s ‘Delta’ captures the effect of the directional movement of the market on the Option’s premium.
The delta is a number which varies –
Between 0 and 1 for a call option, some traders prefer to use the 0 to 100 scale. So the delta value of 0.55 on 0 to 1 scale is equivalent to 55 on the 0 to 100 scale. Between -1 and 0 (-100 to 0) for a put option. So the delta value of -0.4 on the -1 to 0 scale is equivalent to -40 on the -100 to 0 scale We will soon understand why the put option’s delta has a negative value associated with it.
At this stage I want to give you an orientation of how this chapter will shape up, please do keep this at the back of your mind as I believe it will help you join the dots better –
We will understand how we can use the Delta value for Call Options A quick note on how the Delta values are arrived at Understand how we can use the Delta value for Put Options Delta Characteristics – Delta vs. Spot, Delta Acceleration (continued in next chapter) Option positions in terms of Delta (continued in next chapter)
So let’s hit the road!
9.3 – Delta for a Call Option.
We know the delta is a number that ranges between 0 and 1. Assume a call option has a delta of 0.3 or 30 – what does this mean?
Well, as we know the delta measures the rate of change of premium for every unit change in the underlying. So a delta of 0.3 indicates that for every 1 point change in the underlying, the premium is likely change by 0.3 units, or for every 100 point change in the underlying the premium is likely to change by 30 points.
The following example should help you understand this better –
Nifty @ 10:55 AM is at 8288.
Option Strike = 8250 Call Option.
Delta of the option = + 0.55.
Nifty @ 3:15 PM is expected to reach 8310.
What is the likely option premium value at 3:15 PM?
Well, this is fairly easy to calculate. We know the Delta of the option is 0.55, which means for every 1 point change in the underlying the premium is expected to change by 0.55 points.
We are expecting the underlying to change by 22 points (8310 – 8288), hence the premium is supposed to increase by.
Therefore the new option premium is expected to trade around 145.1 (133+12.1)
Which is the sum of old premium + expected change in premium.
Let us pick another case – what if one anticipates a drop in Nifty? What will happen to the premium? Let us figure that out –
Nifty @ 10:55 AM is at 8288.
Option Strike = 8250 Call Option.
Delta of the option = 0.55.
Nifty @ 3:15 PM is expected to reach 8200.
What is the likely premium value at 3:15 PM?
We are expecting Nifty to decline by – 88 points (8200 – 8288), hence the change in premium will be –
Therefore the premium is expected to trade around.
= 84.6 (new premium value)
As you can see from the above two examples, the delta helps us evaluate the premium value based on the directional move in the underlying. This is extremely useful information to have while trading options. For example assume you expect a massive 100 point up move on Nifty, and based on this expectation you decide to buy an option. There are two Call options and you need to decide which one to buy.
Call Option 1 has a delta of 0.05.
Call Option 2 has a delta of 0.2.
Now the question is, which option will you buy?
Let us do some math to answer this –
Change in underlying = 100 points.
Call option 1 Delta = 0.05.
Change in premium for call option 1 = 100 * 0.05.
Call option 2 Delta = 0.2.
Change in premium for call option 2 = 100 * 0.2.
As you can see the same 100 point move in the underlying has different effects on different options. In this case clearly the trader would be better off buying Call Option 2. This should give you a hint – the delta helps you select the right option strike to trade. But of course there are more dimensions to this, which we will explore soon.
At this stage let me post a very important question – Why is the delta value for a call option bound by 0 and 1? Why can’t the call option’s delta go beyond 0 and 1?
To help understand this, let us look at 2 scenarios wherein I will purposely keep the delta value above 1 and below 0.
Scenario 1: Delta greater than 1 for a call option.
Nifty @ 10:55 AM at 8268.
Option Strike = 8250 Call Option.
Delta of the option = 1.5 (purposely keeping it above 1)
Nifty @ 3:15 PM is expected to reach 8310.
What is the likely premium value at 3:15 PM?
Change in Nifty = 42 points.
Therefore the change in premium (considering the delta is 1.5)
Do you notice that? The answer suggests that for a 42 point change in the underlying, the value of premium is increasing by 63 points! In other words, the option is gaining more value than the underlying itself. Remember the option is a derivative contract, it derives its value from its respective underlying, hence it can never move faster than the underlying.
If the delta is 1 (which is the maximum delta value) it signifies that the option is moving in line with the underlying which is acceptable, but a value higher than 1 does not make sense. For this reason the delta of an option is fixed to a maximum value of 1 or 100.
Let us extend the same logic to figure out why the delta of a call option is lower bound to 0.
Scenario 2: Delta lesser than 0 for a call option.
Nifty @ 10:55 AM at 8288.
Option Strike = 8300 Call Option.
Delta of the option = – 0.2 (have purposely changed the value to below 0, hence negative delta)
Nifty @ 3:15 PM is expected to reach 8200.
What is the likely premium value at 3:15 PM?
Change in Nifty = 88 points (8288 -8200)
Therefore the change in premium (considering the delta is -0.2)
For a moment we will assume this is true, therefore new premium will be.
As you can see in this case, when the delta of a call option goes below 0, there is a possibility for the premium to go below 0, which is impossible. At this point do recollect the premium irrespective of a call or put can never be negative. Hence for this reason, the delta of a call option is lower bound to zero.
9.4 – Who decides the value of the Delta?
The value of the delta is one of the many outputs from the Black & Scholes option pricing formula. As I have mentioned earlier in this module, the B&S formula takes in a bunch of inputs and gives out a few key outputs. The output includes the option’s delta value and other Greeks. After discussing all the Greeks, we will also go through the B&S formula to strengthen our understanding on options. However for now, you need to be aware that the delta and other Greeks are market driven values and are computed by the B&S formula.
However here is a table which will help you identify the approximate delta value for a given option –
Of course you can always find out the exact delta of an option by using a B&S option pricing calculator.
9.5 – Delta for a Put Option.
Do recollect the Delta of a Put Option ranges from -1 to 0. The negative sign is just to illustrate the fact that when the underlying gains in value, the value of premium goes down. Keeping this in mind, consider the following details –
Note – 8268 is a slightly ITM option, hence the delta is around -0.55 (as indicated from the table above).
The objective is to evaluate the new premium value considering the delta value to be -0.55 . Do pay attention to the calculations made below.
Case 1: Nifty is expected to move to 8310.
Expected change = 8310 – 8268.
Current Premium = 128.
New Premium = 128 -23.1.
Here I’m subtracting the value of delta since I know that the value of a Put option declines when the underlying value increases.
Case 2: Nifty is expected to move to 8230.
Expected change = 8268 – 8230.
Current Premium = 128.
New Premium = 128 + 20.9.
Here I’m adding the value of delta since I know that the value of a Put option gains when the underlying value decreases.
I hope with the above two Illustrations you are now clear on how to use the Put Option’s delta value to evaluate the new premium value. Also, I will take the liberty to skip explaining why the Put Option’s delta is bound between -1 and 0.
In fact I would encourage the readers to apply the same logic we used while understanding why the call option’s delta is bound between 0 and 1, to understand why Put option’s delta is bound between -1 and 0.
In the next chapter we will dig deeper into Delta and understand some of its characteristics.
Key takeaways deste capítulo.
Option Greeks are forces that influence the premium of an option Delta is an Option Greek that captures the effect of the direction of the market Call option delta varies between 0 and 1, some traders prefer to use 0 to 100. Put option delta varies between -1 and 0 (-100 to 0) The negative delta value for a Put Option indicates that the option premium and underlying value moves in the opposite direction ATM options have a delta of 0.5 ITM option have a delta of close to 1 OTM options have a delta of close to 0.
173 comments.
Very very thanks for new chapter. Contents are very good and clear but incomplete knowledge create confusion. So, I am waiting with Patience for your completing this module.
Thanks for you patience, we are working on the new chapter…will put up up as soon as we can.
Thank you very much for explaining the difficult subject in easy way. It’s really appreciable & thank you once again for taking so much pain to explain rather complicated things.
Mantem. Awaiting eagerly for next chapters.
waiting for next chapter …..
hey first of all thanks for explaining the delta in such a simple way.
when will be the chapter on option strategies will come?
The module on Option stratergies will take some time…we will start work on that once the ongoing module on Options Theory is through.
If i sell first a stock at 25 and then buy at 20 before expiry , then my profit is 5 plus premium received. Am i right?
Let me rephrase this – If you sell an option (not stock) at a premium of 25 and buy the option back at 20, then the profit you make is Rs.5/- times the lot size”.
why not premium received?
Can you please elaborate your query, I’m unable to understand the context. Obrigado.
You may have already realized answer to your question. If not, you received Rs25/- premium for selling the call option, which is already considered in the calculation, right ?
profit=(25-20)*lot size —- assuming you bought same number of contracts (lots), which you should be doing.
Your contents are very lucid that a layman in the Dalal Street can know more about the options trading.
This chapter particularly.
//the option is gaining more value than the underlying itself. Remember the option is a derivative contract, it derives its value from its respective underlying, hence it can never move faster than the underlying. If the delta is 1 (which is the maximum delta value) it signifies that the option is moving in line with the underlying which is acceptable, but a value higher than 1 does not make sense. For this reason the delta of an option is fixed to a maximum value of 1 or 100.//
its a fantastic explanation about the delta value. Thanks for the contents. Need More classes like this.
Thanks for the kind words and encouragement 🙂
We are working towards putting up the chapters soon. Should be out soon.
sir,(personnel)with all my experience&sufferings i strongly beleive technicals, charts, indicators, etc wont work in options trading, it purely depends on greeks&mass psycycology&what u advised in t. analysis ie best suited for equities&fut moreover i didnt got any justification correct me if iam wrong&i wantededucational moves in TRADING.
You are absolutely right – when it comes to option trading you should be using Option Greeks and other parameters to trade and not really Technical Analysis.
sir, thanks again(pnl) iam running a small business(mall) problem is iam unable to adjust money for trading, whatever comes by sales, borrowings will not be sufficieent for retail busin, iam unable to trade frely&give time to loss&repair in that pressure i end up loosing even i know many thiings which i learnt at somecost&3yrs now i dont want to waste my experience&knowledge&loose my passion which may turn to fortune in future if iam right so whats way, advise.
Take it easy is the advice 🙂 Here is what I would suggest –
1) Concentrate on your core business and try to improvise on the same.
2) Do not trade the markets if you feel you are getting too stressed and therefore making losses.
3) Slowly unlearn everything about the markets you know so far and then try to relearn in a structured way.
4) Start with small amounts of investments (no trading)
5) Invest small amounts and watch it grow.
6) Once you are comfortable with that, try investing significant amounts with an intention of creating wealth.
7) And if you have gained enough confidence by then maybe you can dabble with small amounts of restricted trading.
If you follow this, I have a feeling you will be in a much better position in the future.
sir, thanks, i dont think investing works in these econimic conditions as middleclass i cant about my core business my wife will always looks iam only a supporter with all this network i want something on my own, thatswhy iam passioate for this business for timebeing iam planning to trde 8 lots nifty options&1 fut stock as ur t. analysis teached sorry iam working smartly to overcome&win.
Good luck Narsimha. I hope you have all the success in the market.
sir, thanks will aiways follow, keep on learning&eventually turn to earning am i right.
That’s the spirited attitude 🙂
sir, when can we expect TRADING STATEGIES, LIKE BACKTESTING, WRITING OWN STATEGU&OTHER COMPLICATED SGIES, OFCOURSE THERE IS LOT INFORMATION IN NET ABOUT THESE BUT NOBODY WRITES LIKE U, WAITING.
We will come up with a module called “Trading Strategies” which will include all this – meanwhile check this https://zerodha/expert-advisors/
sir, in morning trade first 2 min, why cant we trade (open=low)for long (open=high)for short, ithink it is marubuzo can we trade for v short time within 10min.
Sir, as you mentioned in this conversation:
“We will come up with a module called “Trading Strategies” which will include all this – meanwhile check this https://zerodha/expert-advisors/”
When that module will be published?
Sometime soon, Arijit. Hard to put a timeline to this.
I am an intra day trader. So, I never wait expiry to collect premium. So my question is — suppose nifty CE with strike price of 8200 and premium of 120 and delta or 5.5. If I were execute an long or short order and price moves some favour in my direction then my profit is equal on long or short position and risk should also be same on long and short orders depending upon the points I trail on stop loss on either side. The only difference is that I have to deposit margin money on short orders. Am I correct. Please clarify.
When you say delta is 5.5 I hope you are talking about the 0 to 100 scale.
P&L on options is non linear. So when you buy a call option the profit you enjoy is very different from the profits you would enjoy when you are short. Likewise for risk.
Yes, when you short the margins are blocked from you trading account.
Where can we know the Greeks value for Nifty options?
How does the value of Delta change with time decay?
Where we can get the delta values?
You can get the delta value from the Options calculator. Will discuss Delta against time shortly.
One thing I am not able to understand since long is, how derivative follows underlying stock/index price and that too in very much sync? As per my understanding option price is decided by last trade price transaction(LTP) of that option. Then following somehting should not be practically possible. Lets say for example, If nifty is going down and suddenly some people try to buy options in extremely large quantity then that option price should increase but it does not happen. I have observed there is no relation of volume in price of options. if option price is calculated based on delta, theta, vega, time decay etc then who decides it? is someone punches that into system or exchange computers calculate based on these greeks formula and display as LTP? or is it just simple last trade price?
A derivative by definition is a contract that derives its value based on an underlying. Hence technically speaking derivatives cannot influence the spot. Option price is not decided by LTP, in fact LTP is decided by Option Pricing which in turn is depended on the Option Greeks. Volume is a function of pure demand and supply…so that is a different perspective all together.
I had the same question. Just to clarify myself, I have two more questions.
1. So, can we say that volumes in the options does not influence option prices?.
2. It should be the exchange that enforces the prices and not the participants in the options market right?
Obrigado pelo seu tempo.
1) No, not really. There are more influencing factors than Volume.
2) No, options is tradable, hence the market decides the rate. The Exchange does not have a role to play in option pricing.
Nifty @ 10:55 AM is at 8268.
Option Strike = 8250 Call Option.
Delta of the option = 0.55.
In above example how you take or calculate premium value 133 and delta option value 0.55.
This was just an illustration – also do notice I have mentioned spot @ 8268 and strike @ 8250, hence this is an ITM option … therefore the Delta should be more than 0.5 – hence the assumption that the delta is 0.55.
And sir what about premium.
How you take or calculate it.
Option premium is market driven (although based on the B&S formula).
Where can one get delta value of nifty options on a real time basis ?
Awesome…. Thank you so much for your untiring effort sir…
Pleasure is ours 🙂
When will you post the next part. We are waiting…
Part 2 is posted – working on Part 3 (chapter 11).
sir, for eod trades there is good website called TOP STOCK RESEACH IF U R FREE CHECK&ADVISE.
Avoid all such things my friend 🙂
sir, how many moniters we need for intraday, bcoz we cant see many charts atatime& capitalise on fast movings.
1 monitor is more than sufficient for trading!
It’s a really nice write up. I have some queries.
Say NIFTY is trading at 8300 and there are still 10 days to expiry. Assume NIFTY 8400CE is trading at 30. Suddenly NIFTY spikes by 50 points and 8400CE suddenly becomes 50 +. Why the demand-supply equation doesn’t govern the option price? Is it like sellers drop suddenly or buyers increase instantly? Even if the option greeks control premium pricing, shouldn’t buy/sell numbers decide the price ? Sometimes the nifty spot price moves by 10 points (+ve), nearest CE moves by 2 rs sometimes and sometimes 5 rs. So what should be the definitive way to calculate ?
You answered it yourself – this about it bit by bit –
1) What is demand supply situation in the market?
Ans & # 8211; It is the pressure to buy or sell a particular asset.
2) What happens when the pressure builds?
Ans & # 8211; Depending on the strength of the pressure (either there is more selling pressure of more buying pressure) the market moves in a certain direction.
3) What happens to options when the market moves?
Ans & # 8211; The premium changes.
4) By how much does the premium change?
Ans & # 8211; That depends on the delta!
So as you see – Delta is captures the effect of directional movement, which by itself is a function of demand and supply of the market.
Thanks a lot for the reply Karthik. So, can we directly bet on the delta then via some instrument which is like “derivative of a derivative” ?
Yes of course, you can trade the Delta. We will be discussing much more about these topics soon.
I have understood call & put options, but i m confused regarding trading with put on the trading terminal.
Lets say i buy nifty put 8150 @ 100.After 3 days the nifty spot is at 8000 and premium @ 110…so how do i profit from above trade…if i sell put 8150..i would make a loss of 110-100=10*25=250…am i right sir?
Let me just rephrase what you’ve said –
Tipo de opção & # 8211; Nifty Put.
Premium Paid – 100.
Trade type – Long Put (buy put option)
Nifty Spot – 8000.
Profit = 110 -100 = Rs.10/=
Total Profit = 10 * 25 = Rs.250/-
So you make a profit on this trade and not a loss 🙂
Sir, my question is related to the above example only. When we bought a put at 8150 and now the spot price is 8000 then isn’t the profit 8150-8000= 150.
& amp; 150-100(premium paid)= 50*25=1250.
Because in previous examples, u calculated profit with the difference in the value of underlying asset instead of the value of premium.
Saurabh – yes, the profit will be at least to the extent of the intrinsic value..which in this case happens to be 8150 minus 8000 = 150. However I dint want to say this as I was worried about creating confusion. Hence used the same numbers Pankit quoted 🙂
Now I am confused..shouldn’t SAURABH GARG calculation only be used when exercising the option and not when “trading” premium i. e. not waiting for expiry?
Yes, the Option P&L before the expiry will be lot different when compared to the P&L on expiry. The calculation here is for expiry.
Dear Karthik Rangappa,
You deserve praise and thanks for taking all the troubles to.
write it all quite clearly and making it all easily.
You do not have to publish the rest of this post: I just.
thought I will bring 2 minor items (nit-picking, really!) to.
Section 9.2 : “Delta of an Option” : 2nd sentence:
“The first snapshot was taken at 09:18 AM when Nifty spot.
was trading at 8278 (not captured in the snapshot). & # 8221;
1. The parenthetical remark “not captured in the snapshot” é.
not quite correct:
In fact, Nifty is right there: see the line immediately below.
Underlying Value : 8292.65.
2. Nifty is an Index: it is not a traded asset.
So, the second part of the the sentence.
“when Nifty spot was trading at 8278 ….”
can be stated more simply as :
(if one wants to be very pedantic and precise!)
If you agree on this change, you will have to make similar.
changes at quite a few other places as well.
A good teacher sometimes deliberately makes mistakes in the class to.
find out if the audience is alert or sleeping! Perhaps you too.
inserted such mistakes to test if your audience is alert!
Obrigado pela atenção.
Uau! Thank you so much for pointing out these errors. I have made the necessary changes. The errors are not intentional and attributable to oversight. I would be very grateful if you can help in pointing out these errors. Please feel free to email these errors to me at karthik. r at zerodha dot com.
We are expecting the underlying to change by 42 points (8310 – 8288), hence the premium is supposed to increase by.
Sir above 42 should be 22.
Thanks for pointing that, have made the changes.
Delta of the option = 1.55 (purposely keeping it above 1)
Sir this should be 1.5 (Please see 1.5*42=63)
Will look into this. Obrigado.
Change in Nifty = 68 points (8288 -8200)
Instead of 68 points it should be 88.
Changes done. Obrigado.
I know that if i am making loss as a buyer of an option i can simply allow my option to expire. and if i am making loss i will have to forgo the margin. But what if.
A. As buyer of a call or put option i am making profit on the expiry but i don’t exercise the option. will i get the profit or not.
B. If i sold a call or put option and i am making profit on the expiry day but do not square off my position on the expiry.
Agradecimentos e cumprimentos.
When you buy an option you pay the full premium required and not really margins. You pay margins when you short option.
1) When you buy options and hold it till expiry then on the expiry day whatever profits you are entitled will be credited to your trading account.
2) When you short options and hold it till expiry then on the expiry day whatever profits you are entitled will be credited to your trading account. However STT on short option positions is quite high, so its advisable to close the trade yourself and not hold till expiry.
Many articles including wikipedia.
(https://en. wikipedia/wiki/Black%E2%80%93Scholes_model) describe five Greeks, the last being RHO which is not described here. Why is it so ?
Rho is mainly with respect to Rate of change of underlying with changes in the interest rate. For all practical purpose the change in interest rate is minimal, and that makes Rho not a very active Greek…so I’m still contemplating to include this or not 🙂
is there is any option to calculate current delta of an option ?
right now pi providing these type calculation?
Not as of now Sarath.
is it come in soon right?
As mentioned in the above comments, while trading options it is advised to use Greeks and other parameters not really TA. My doubt is that after TA only we can predict the direction and position according to the view. Option Greek will increase the success probability but TA will be the base.. Correct me if am wrong.
Perfeito. Use TA to get a directional view…use that along with greeks to calibrate your trade.
Can you highlight the other parameters to be considered apart from Greeks while trading options?
Knowing Greeks really well takes you a long way when it comes to options trading.
Please give me link on NSE for these greeks. regards.
Not sure if NSE has a Greek calculator.
where to get values of Option Greeks before trading in options.
We will soon have a greeks calculator.
Do you have a strategy for getting monthly income through Nifty options, keeping in mind the market tank on 24Aug2018, are there any option strategy that will protect ones capital.
No strategy related to markets can guarantee capital.
You can try the strategy discussed in chapter 18.
I have a doubt. For example, if i sell a lot at X premium price and waited till the expire day. I think the value of premium will approaches 0 (or say some lesser value) at the time if i bought a lot. Then i may get profit of X/lot. Is it possible??
Yes, but to make sure X goes to 0, the security has to be below the strike in case of Call options and above the strike in case of PUT options.
In Buy side, If premium on particular day(lets say before 10 days or near to expire) is more than settlement i. e exercise amount then is it better to take the premium or is there any incentives if I let my ITM to expire and then exercise .
There is no guarantee that the option will remain ITM upon expiry. If you are a short term trader, better to book profits when you see it on the table!
dear mr. karthik ,
after a very very very long-time , something / someone has sparked the learning charge in me.
i entered the learning modules out of necessity with a mindset of boredom , but now i am simply hooked and continuing for fun .
options clearly are “magical” and many things can be done using them .
i have developed a belief that options can be used for a secure no-risk, low-risk trading/investing .
IS IT POSSIBLE TO USE OPTIONS TO HEDGE OUR FUTURES TRADE ?
for example i am long on USD OCT 15 AT 66 .0000 . if price goes down i make a loss .
but what if i also go LONGPUT same script at 66.0000 ?
as per my thinking . the loss i make in futures, is covered by profits in options and vice-versa .
i would like to know your comments .
long on USD OCT 15 FUT at 66.0000.
and LONG PUT same script at 67.0000.
what happens on expiry, in between ?
I’m glad to know that Varsity has ignited your learning enthusiasm. Yes you are right about Options, lots of possibilities with these instruments.
Yes you can hedge your future positions with Options. Both the examples you quoted are classic long future + long put hedging strategy….and both of them are very similar. Buying 66 PE or 67 PE does not make much difference.
Thank you so much for the lessons and really so easy to learn .
I have one doubt .
9.3 Delta for call option.
spot price = 8288.
strike price = 8250.
expected to reach 8200.
decline (8200-8288) = -88.
spot price = 8288.
strike price = 8300.
expected to reach 8200.
decline (8288 – 8200) = 88.
In first case decline is in negative value(8200 – 8288) and in second case decline is in positive value(8288 – 8200) , but both have same scenario . please explain why there is no negative delta value in call option with some other example. Obrigado.
Thats because the delta is lower bound to 0…it cannot go lesser than 0. If it was lesser than 0, it means the option is moving faster than the underlying, which is counter intuitive.
I have some doubt , call trading in different value where as put trading in same value , why there is variation in call premium , can you explain this and how to calculate the value ?
Raju – The B&S calculator gives the theoretical value. Could be different from market values.
Obrigado pela sua resposta.
hello mr kartik … i want to do option trading, please guide me with how much (minimum) amount, i can start with? 2) does option price (example yesterday dr ready 4300 put price was around 53+ and today was around 600+ …) does it move like stock price goes up n down? i mean want to know from a. b.c of live option trading..pls guide..thanks.
Deepak this whole module is dedicated towards helping people understand options trading. Suggest you go through this chapter by chapter.
To trade options minimum amount would be something like 5000/- I suppose (nifty options).
is there zany formula to calculate delta values?? or its consistent?
Nifty @ 10:55 AM is at 8288.
Option Strike = 8250 Call Option.
Delta of the option = + 0.55.
do this delta holds good in below case.
Option Strike = 7900 Call Option.
option spot = 7954.
whats delta value in above case and how do we derive it?
once again thanx for your patience for replying all quires.
Delta of the option is dependent of the moneyness of the option – the thumb rule is.
Option is ATM , Delta is.
Option is ITM , Delta is.
between 0.5 to 1.
Option is OTM , Delta is.
between 0.1 to 0.5.
Fantastic easy to understand and involving explanation. I have many times tried to study and understand Option Geeks from many sites but the explanation is so boring that I leave it mid way and close the site.
The difference between other site topics and your is that to understand the other sites the reader has to be an expert but by reading your site explanation the reader becomes an expert.
Avinash – I’m so glad to know this.
Please do stay tunned for more content here 🙂
Just not clear why we should buy option2 and not option 1? In option2 I will have to pay a higher premium and hence breakeven will be farther than in option 1 case?
Higher the delta, higher the probability of the option expiring in the money!
IV = SPOT - STRICK( FOR CALL OPTION) , SPOT MEANS SPOT PRICE OR FUTURE PRICE ?
Spot refers to spot values, not futures.
so in option underlying is spot right?
Karthik bro.. plzz.. update commodity and currency module.. i want to learn how to trade in currency market..and also want to improve my knowledge on commodity market..i think many here many traders who are trading in commodity markets.. want to improve there skills..
Will do, two more chapters in this module and will move one to Commodities and Currency.
understanding option with time principle is making me more tuff to solve the ENIGMA ,, i have an ready excel file with correct quote executed on the Trading Terminal , would lead to give a big junk of open interest to access .. i know there is a big potential behind the fortune gate …… i would strongly request you to give your few minutes of time on skype ,, i feel the place you and me stand here is we are just from skin of a teath .. i would like to share my knowledge with you on TIME ANALYSIS by W D Gann … ( square of 9 method) is generally understood as …
would be eagerly waiting for your reply .
Interesting, hopefully someday!
How to get the delta of an option ? Is it provided somewhere ?
Hello Karthik Sir,
This module is absolutely perfect for anyone who wants to trade options. But one thing I’m confused about Delta risk is, how it (delta) will behave when price moves other way around.
For Example, in above screen shots.
At 9:18 AM, NIFTY 8250 Call price was 144, when NIFTY spot was at 8292.
At 10:00 AM, NIFTY 8250 Call price moves up to 149, when NIFTY spot was at 8315 (an increase of 4 points in call premium, I think at that moment delta would be around 0.15 to 0.20)
My confusion lies in the other side of the trade i. e. what if I have shorted the put option, how much Put Option premium has been reduced between 9:18 to 10:00 ? or what will happen to Delta of put option (will it increase or decrease) i. e.
If at 9:18 AM, Put 8250 delta would be around -0.45, when NIFTY spot was at 8292 (this put would be slightly OTM)
At 10:00 AM, Put 8250 delta would be what -0.4, -0.3, -0.2 ?, when NIFTY spot moves to 8315 (now PUT will moves slightly more OTM). My confusion lies in how much value Put option will loose ? In short I’m asking the rate of change in delta when prices moves other way around. I hope I’m not confusion you.
I’m asking this question because when I look at the spread between Bid-Ask prices of options it gives me a sense that option are illiquid and it is better sell first and buy it later, and I don’t have to bother about STT when exchange auto-settle the ITM contracts.
Well, the Put option delta works the same way as the delta of a call, but in the reverse way. So if spot moves up, the call option delta increases and the put option delta decreases. Of course the delta for each strike varies based on the moneyness of the option. I’d suggest you read up further to know more on moneyness. By the way, 80%+ of all the F&O trading happens on options (Nifty especially), so there is ample liquidity in this particular market.
Ok NIFTY it is, I built my misconception on option by looking at RCOM current month option chain.
As to the question I asked, my confusion lies in the Writing Calls / Puts.
So going by the example you have mention in this chapter. How much is the change in delta when NIFTY spot moves down from 8315 to 8288. I’m simply asking how much change in delta a call option writer should expect when he/she short the call, since profit is directly related to fall in spot price.
Well, change in Delta is captured by Gamma, which is explained in the next chapter with an example 🙂
The content is very crisp and clear with very good examples and thank you for this work. I have one question over the Delta example you gave in the chapter. For the underlying movement of 100 delta of 0.05 and 0.2 will have increased premiums of 5 and 20.So I as as a Option call buyer will need to pay less premium in case of choosing the 0.05 delta right, but you have mentioned the 0.2 delta is better. Am I missing something. Please clarify..
The selection of Option should not really be dependent on the delta. Hence, I would not choose an option with 0.2 over 0.05 just because i perceive 0.2 as a better delta.
Ur. Modules are too good. I think. The so called trainers should go through this module first before charging money Hats off to u sir.
Thanks for the kind words, I’m glad you liked the content here 🙂
Great lessons. I’ve question though, I’m not clear on delta of CE cannot be negative. Does that mean, the option premium will never decrease, even if the underlying decreases?.
Yes, in fact this is exactly how a CE functions. When markets increase, the premium of CE decreases.
where can i find real time option greek on zerodha kite, pi.
Not as of now, Ankit.
Please correct the slightly ITM value from 0.6 to 1 to 0.6 to 0.8 in the delta table. At topic 9.4.
Thanks, will fix that soon.
how we hedge with f&o with delta.
Will be covering this topic soon 🙂
FUTURE AND OPTION CAN BE EXERCISED ONLY ON EXPIRY DATE ?? OR WE CAN EXERCISED THEM AT ANY TIME WITHIN EXPIRY.
Exercise is only on expiry day, however, you can square off the contract anytime you wish.
Amazing stuff written by youand big help in understanding options.
1 thing I was not sure about, In the table above where delta value is given for ATM, ITM and OTM.
In The value of ITM, should it be between 0.6 and 0.8 or 0.6 and 1 because for otm it is written the other way around.
Thanks for the kind words, Sarthak.
Well, if the option is anywhere between ITM to deep ITM, then it can range anywhere between 0.6 to 1. The acceleration of delta slows down when the option traverses from deep ITM to further deep ITM. This is why you will notice a flattish curve towards the tail. The same is applicable to deep OTM to further deep OTM.
I want to know about changes in premium.
For example yesterday’s banknifty close was 21640.
Premium for call for strike price 21600 was 100.
and for put it was 60.
Now today banknifty has moved by.
45 points either downward or upward now what.
Would be changes in premium.
I mean will be increment in premium equal to decrement.
in another premium.
You need to read up the chapter on Delta and Gamma to get a clear understanding of this. We have it covered in this and the subsequent chapters.
Sir I have read all modules 2-3times.
Today whatever I have knowledge about stock market, just because of you.
I am so grateful to you and to your team.
If we talk about banknifty what I have observed that if tomorrow’s opening is less than 50-60 points in either direction then premium of today’s ATM changes in one way and if opens by more than 50-60 points then in different way.
Why this happens.
Thanks for the kind words, Rohit.
That is because the premiums are dependent on the spot prices.
sir .. today i buy nifty 9300 PE at 87.30 rs at the time of buying Put option spot was trading at 9305 ,,after 1 hr spot was trading at 9294 and put option is trading at 87.35 ….why this happen…. ideally it should be (9305-9244)*.50+87.30 =92.80 rs …am i right or wrong …or these option greeks are not work in case of intraday ….plz ans …
Remember, the volatility is also dropping here. Volatility has an impact on option premiums.
I am slowly taking into option trading even though I have burnt my fingers before. (Experience wasthe best teacher for me into business)
Now I am trying a strategy though with smaller lots. So far my results are mixed.
My post here is:
Nifty Jun 9800 CE on 11th May 2017 was 18.80 (Nifty spot value was around 9450at that time). Of course Nifty was on unexpected upswing for the previous day due to IMD monsoon data tricking in)
Nifty Jun 9800 CE on 15 May 2017 was 15.45 even though Nifty spot levels are around the same.
India Nifty VIX value was -0.11 and 0.44 respectively on 11th and 15th May respectively. (This means volatility has increased)
Then why the option price divergence between 11th and 15th May 2017? Unable to fathom. Is anything I am missing? Your help is appreciated.
Attributable to time decay to some extent, but the bigger reason could be the trader’s lack of confidence that Nifty will go beyond 9800.
Obrigado pela sua resposta.
Not only option greeks option buyers/sellers should also take overall expectation of the market it seems. Indicators are not absolute, I understand.
Is it so? In this case, gamma (time variance) could not have depleted so strongly as the contract is of far month. delta is good, vega is OK.
Yes, along with the greeks you also need to consider the overall market sentiment. This makes a difference.
May I know what factors vega depend?
With respect to your explanation of impact of Delta on premium. in the example where the Delta of first option is 0.05 and Delta of second option is 0.2. Didn’t understand the reason why would a trader be benefited by paying higher premium of 20. Please help explain.
Remember, the delta also showcases the probability of an option closing ITM. For example, if the delta is 0.7, it also means there is a 70% chance of the option closing ITM. So when a trader pays for a higher premium strike, he is looking for a brighter chances of closing ITM.
I ‘ve a doubt about “Initial value of delta”.
I’m nowhere nearing to understand B&S model. What I’ve assumed is when spot price meets strike price the delta of that particular strike is 0.5 and say in call option the far most traded OTM stike price’s delta can be considered as zero. Similarly the far most traded ITM strike price’s delta can be considered as 1 and then on basis of relativity like percentile calculation all other strike price’s delta are calculated.
Is my assumption is correct? Pl shed some light over it.
Desde já, obrigado,
Your understanding of delta values seems to be correct. However, the deltas itself change due to market forces which is captured by the B&S model. You can keep it simple by assuming that the deltas of each strike is more or less an outcome of what the B&S model throws up.
If I buy a call option, at first I thought that I will have to wait till the expiry of the contract to actually gain profits or book ‘losses=premium’
Now with the new information of dealing with the premiums itself to gain profits I have a confusion.
Lets say I am dealing with NIFTY options for Strike Price 9700 and Spot price 9500 with 30 days to expire. The premium was 160 when I bought the shares and the lot size was 75. After 2 days the premiums rose to 180 with the spot price at 9600 and I sell the contract. Will I gain (180-160)*75 \? or will I book losses of 160*75 as I did not want the contract and sold it before expiry?
You will make a profit of (180-160)*75 = 1500.
That means I am selling my contract to someone else for the current premium price, if I sell the the contract before expiry. But if I chose not to sell it and wait till the expiry then my profits/losses will be based on the theory which you said in the first few chapters of the options module.
Yes, if you wait for expiry, then you will get the settlement price on expiry.
Obrigado. Love your work!!
Thanks for the kind words 🙂
i) ITM - ATM => 1 To .50.
iii) ATM-OTM => .50 To 0.
Will this be opposite for put option?
Yes, just the algebraic sign changes.
i have a account with zerodha in the name of my momm. You people are really doing good job of giving guidance and deep & explanation with simply way and good example. i really like zerodha varsity. God bless u people.
Thank you so much for the kind words, Niraj. Happy learning!
Where can i find the delta value on kite or nse website.
You can approximate the delta values yourself – check the delta table given the chapter. For the exact values, check this – https://zerodha/tools/black-scholes/
Why is CALL option premium directly proportional to spot price and PUT option premium inversely proportional to spot price?
Thats the way its structured 🙂
i have two question about maruti.
1.spot price-9647(down from 9705)
but CE of 9500 was increased by 8000 percent.
as the stock price came down than why call option of 9500 increased by these much amount.
2.if i bought call option of M&M with 770 at 11 rs and stock is trading at 757rs.
as i am bullish on stock and stock goes up and near to 765 the premium is also increase according to delta. but as per our calculation i made profit after 770+11 premium. but as stock goes up and as premium than if i sell my call option on higher premium than it would be profitable deal or not?
1) This can be attributed to the increase in volatility.
2) Remember, an option contract is also influenced by gamma, vega, and theta besides Delta. Hence you need to have a holistic view.
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Varsity by Zerodha & copy; 2018 & ndash; 2018. Todos os direitos reservados.
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Teoria das opções para negociação profissional.
1. Conceitos básicos de opções de chamadas.
1.1- Breaking the Ice Como com qualquer um dos módulos anteriores no Varsity, voltaremos a fazer a mesma suposição antiga de que você é novo nas opções e, portanto, não conhece nada sobre as opções. Por esta razão ..
2. Basic Option Jargons.
2.1- Decodificação dos jargões básicos No capítulo anterior, entendemos a estrutura básica da opção de chamada. A idéia do capítulo anterior foi capturar alguns conceitos essenciais de 'Opção de chamada'.
3. Comprar uma opção de chamada.
3.1 - Opção de compra de compra Nos capítulos anteriores, analisamos a estrutura básica de uma opção de chamada e entendemos o contexto amplo em que faz sentido comprar uma opção de compra. In this chapter, ..
4. Vender / Escrever uma Opção de Chamada.
4.1 - Dois lados da mesma moeda Você se lembra do filme "Deewaar" de superbolsão Bollywood de 1975, que alcançou um status de culto para o famoso e famoso diálogo 'Mere paas maa hai' ☺? The mo ..
5. A compra de opções de compra.
5.1 - Obtendo a orientação correta, espero que agora você tenha terminado com os aspectos práticos de uma opção de chamada tanto da perspectiva dos compradores como dos vendedores. Se você está realmente familiarizado com a chamada opti ..
6. The Put Option selling.
6.1 - Construindo o caso Anteriormente entendemos que, um vendedor de opções e o comprador são como dois lados da mesma moeda. Eles têm uma visão diametralmente oposta nos mercados. Passando por isso, se o P ..
7. Resumindo Call & # 038; Opções de colocação.
7.1 - Lembre-se desses gráficos Ao longo dos últimos capítulos, examinamos dois tipos básicos de opções, ou seja, a "Opção de Chamada" e a "Opção de Compra". Further we looked at four different variants o ..
8. Dinheiro de um Contrato de Opção.
8.1 - Valor intrínseco O dinheiro de um contrato de opção é um método de classificação em que cada opção (greve) é classificada como ou # 8211; No dinheiro (ITM), no dinheiro (ATM), ou fora de ..
9. The Option Greeks (Delta) Parte 1.
9.1 & # 8211; Visão geral Ontem eu assisti o último filme de bollywood 'Piku'. Muito bom devo dizer. After watching the movie I was casually pondering over what really made me like Piku – estava ..
10. Delta (Parte 2)
10.1 - Pensamento de modelos O capítulo anterior deu uma olhada na primeira opção grego - o Delta. Besides discussing the delta, there was another hidden agenda in the previous chapter – ..
11. Delta (Parte 3)
11.1 – Add up the Deltas Here is an interesting characteristic of the Delta – The Deltas can be added up! Deixe-me explicar - vamos voltar para o contrato Futures por um momento. Nós sabemos para cada ...
12. Gamma (Parte 1)
12.1 - O outro lado da montanha Quantos de vocês se lembram do cálculo do ensino médio? Does the word differentiation and integration ring a bell? A palavra "Derivativos" significava outra coisa ...
13. Gamma (Parte 2)
13.1 - A curvatura Agora sabemos que o Delta de uma opção é uma variável, pois muda constantemente seu valor em relação à mudança no subjacente. Deixe-me relatar o gráfico do del ..
14.1 – Time is money Remember the adage “Time is money”, it seems like this adage about time is highly relevant when it comes to options trading. Esqueça toda a conversa grega por agora, iremos b ..
15. Volatility Basics.
15.1 - Antecedentes Tendo entendido Delta, Gamma e Theta, estamos agora em conjunto para explorar um dos mais interessantes gregos de opções - The Vega. Vega, como a maioria de vocês pode ter adivinhado é a ra ..
16. Cálculo da volatilidade (histórico)
16.1 – Calculating Volatility on Excel In the previous chapter, we introduced the concept of standard deviation and how it can be used to evaluate ‘Risk or Volatility’ of a stock. Antes de nos mover ...
17. Volatility & Normal Distribution.
17.1 - Antecedentes No capítulo anterior, tínhamos essa discussão sobre o intervalo dentro do qual a Nifty provavelmente trocaria, dado que conhecemos sua volatilidade anualizada. We arrived at an upper and lower e ..
18. Volatility Applications.
18.1 – Striking it right The last couple of chapters have given a basic understanding on volatility, standard deviation, normal distribution etc. We will now use this information for few practical t ..
19.1 - Tipos de volatilidade Os últimos capítulos constituíram o primeiro plano para nos ajudar a entender a volatilidade melhor. Agora sabemos o que significa, como calcular o mesmo e usar a volatilidade em ..
20. Interações gregas.
20.1 - Volatilidade Sorriso Examinamos brevemente as interações gregas no capítulo anterior e como eles se manifestam nas opções premium. This is an area we need to explore in more ..
21. Calculadora grega.
21.1 - Antecedentes Até agora, neste módulo, discutimos todos os importantes gregos de opções e suas aplicações. Agora é hora de entender como calcular esses gregos usando o Black & amp; Sch ..
22. Re-introdução Call & # 038; Opções de colocação.
22.1 - Por que agora? Suponho que o título deste capítulo possa confundir você. Depois de passar rigorosamente pelo conceito de opções nos últimos 21 capítulos, por que agora vamos voltar para "Call & amp; Put Options ..
23. Case studies – Enrolando tudo!
23.1 - Estudos de caso Estamos agora no final deste módulo e espero que o módulo lhe tenha dado uma idéia justa sobre as opções de compreensão. Eu mencionei isso anteriormente no módulo, neste ponto eu f ..
Varsity by Zerodha & copy; 2018 & ndash; 2018. Todos os direitos reservados.
A reprodução dos materiais do Varsity, texto e imagens, não é permitida. Para consultas na mídia, entre em contato com [email & # 160; protected]
Re-introducing Call & Opções de colocação.
22.1 - Por que agora?
Suponho que o título deste capítulo possa confundir você. Depois de passar rigorosamente pelo conceito de opções nos últimos 21 capítulos, por que agora vamos voltar para "Call & amp; Put Options” again? In fact we started the module by discussing the Call & Put options, so why all over again?
Well, this is because I personally believe that there are two learning levels in options – before discovering option Greeks and after discovering the option Greeks. Now that we have spent time learning Option Greeks, perhaps it is time to take a fresh look at the basics of the call and put options, keeping the option Greeks in perspective.
Let’s have a quick high-level recap –
You buy a Call option when you expect the underlying price to increase (you are out rightly bullish) You sell a Call option when you expect the underlying price not to increase (you expect the market to either stay flat or go down but certainly not up) You buy a Put option when you expect the underlying price to decrease (you are out rightly bearish) You sell a Put option when you expect the underlying price not to decrease (you expect the market to stay flat or go up but certainly not down)
Of course the initial few chapters gave us an understanding on the call and put option basics, but the agenda now is to understand the basics of call and put options keeping both volatility and time in perspective. So let’s get started.
22.2 – Effect of Volatility.
We know that one needs to buy a Call Option when he/she expects the underlying asset to move higher. Fair enough, for a moment let us assume that Nifty is expected to go up by a certain percent, given this would you buy a Call option if –
The volatility is expected to go down while Nifty is expected to go up? What would you do if the time to expiry is just 2 days away? What would you do if the time to expiry is more than 15 days away? Which strike would you choose to trade in the above two cases – OTM, ATM, or ITM and why would you choose the same?
These questions clearly demonstrate the fact that buying a call option (or put option) is not really a straightforward task. There is a certain degree of ground work required before you buy an option. The ground work mainly revolves around assessment of volatility, time to expiry, and of course the directional movement of the market itself.
I will not talk about the assessment of market direction here; this is something you will have to figure out yourself based on theories such as technical analysis, quantitative analysis, or any other technique that you deem suitable.
For instance you could use technical analysis to identify that Nifty is likely to move up by 2-3% over the next few days. Having established this, what would you do? Would you buy an ATM option or ITM option? Given the fact that Nifty will move up by 2-3% over the next 2 days, which strike gives you maximum bang for the buck? This is the angle I would like to discuss in this chapter.
Let’s start by looking at the following graph, if you recollect we discussed this in the chapter on Vega –
The graph above depicts how a call option premium behaves with respect to increase in volatility across different ‘time to expiry’ time frames. For example the blue line shows how the call option premium behaves when there are 30 days to expiry, green for 15 days to expiry, and red for 5 days to expiry.
With help of the graph above, we can arrive at a few practical conclusions which we can incorporate while buying/selling call options.
Regardless of time to expiry, the premium always increases with increase in volatility and the premium decreases with decrease in volatility For volatility to work in favor of a long call option one should time buying a call option when volatility is expected to increase and avoid buying call option when volatility is expected to decrease For volatility to work in favor of a short call option, one should time selling a call option when volatility is expected to fall and avoid selling a call option when the volatility is expected to increase.
Here is the graph of the put option premium versus volatility –
This graph is very similar to the graph of call premium versus volatility – therefore the same set of conclusions hold true for put options as well.
These conclusions make one thing clear – buy options when you expect volatility to increase and short options when you expect the volatility to decrease. Now the next obvious question is – which strike to choose when you decide to buy or sell options? This is where the assessment of time to expiry comes into play.
22.3 – Effect of Time.
Let us just assume that the volatility is expected to increase along with increase in the underlying prices. Clearly buying a call option makes sense. However the more important aspect is to identify the right strike to buy. Infact when you wish to buy an option it is important to analyze how far away we are with respect to market expiry. Selection of strike depends on the time to expiry.
Do note – understanding the chart below may seem a bit confusing in the beginning, but it is not. So don’t get disheartened if you don’t get it the first time you read, just give it another shot
Before we proceed we need to get a grip on the timelines first. A typical F&O series has about 30 days before expiry (barring February series). To help you understand better, I have divided the series into 2 halves – the first half refers to the first 15 days of the series and the 2 nd half refers to the last 15 days of the F&O series. Please do keep this in perspective while reading through below.
Have a look at the image below; it contains 4 bar charts representing the profitability of different strikes. The chart assumes –
The stock is at 5000 in the spot market, hence strike 5000 is ATM The trade is executed at some point in the 1 st half of the series i. e between the start of the F&O series and 15 th of the month We expect the stock to move 4% i. e from 5000 to 5200.
Given the above, the chart tries to investigate which strike would be the most profitable given the target of 4% is achieved within –
5 days of trade initiation 15 days of trade initiation 25 days of trade initiation On expiry day.
So let us start from the first chart on the left top. This chart shows the profitability of different call option strikes given that the trade is executed in the first half of the F&O series. The target is expected to be achieved within 5 days of trade execution.
Here is a classic example – today is 7 th Oct, Infosys results are on 12 th Oct, and you are bullish on the results. You want to buy a call option with an intention of squaring it off 5 days from now, which strike would you choose?
From the chart it is clear – when there is ample time to expiry (remember we are at some point in the 1 st half of the series), and the stock moves in the expected direction, then all strikes tend to make money. However, the strikes that make maximum money are (far) OTM options. As we can notice from the chart, maximum money is made by 5400 and 5500 strike.
Conclusion – When we are in the 1 st half of the expiry series, and you expect the target to be achieved quickly (say over few days) buy OTM options. In fact I would suggest you buy 2 or 3 strikes away from ATM and not beyond that.
Look at the 2 nd chart (top right) – here the assumption is that the trade is executed in the 1 st half the series, the stock is expected to move by 4%, but the target is expected to be achieved in 15 days. Except for the time frame (target to be achieved) everything else remains the same. Notice how the profitability changes, clearly buying far OTM option does not makes sense. In fact you may even lose money when you buy these OTM options (look at the profitability of 5500 strike).
Conclusion – When we in the 1 st half of the expiry series, and you expect the target to be achieved over 15 days, it makes sense to buy ATM or slightly OTM options. I would not recommend buying options that are more than 1 strike away from ATM. One should certainly avoid buying far OTM options.
In the 3 rd chart (bottom left) the trade is executed in the 1 st half the series and target expectation (4% move) remains the same but the target time frame is different. Here the target is expected to be achieved 25 days from the time of trade execution. Clearly as we can see OTM options are not worth buying. In most of the cases one ends up losing money with OTM options. Instead what makes sense is buying ITM options.
Also, at this stage I have to mention this – people end up buying OTM options simply because the premiums are lower. Do not fall for this, the low premium of OTM options creates an illusion that you won’t lose much, but in reality there is a very high probability for you to lose all the money, albeit small amounts. This is especially true in cases where the market moves but not at the right speed. For example the market may move 4% but if this move is spread across 15 days, then it does not make sense holding far OTM options. However, far OTM options make money when the movement in the market is swift – for example a 4% move within 1 or say 2 days. This is when far OTM options moves smartly.
Conclusion – When we are at the start of the expiry series, and you expect the target to be achieved over 25 days, it makes sense to buy ITM options. One should certainly avoid buying ATM or OTM options.
The last chart (bottom right) is quite similar to the 3 rd chart, except that you expect the target to be achieved on the day of the expiry (over very close to expiry). The conclusion is simple – under such a scenario all option strikes, except ITM lose money. Traders should avoid buying ATM or OTM options.
Let us look at another set of charts – the idea here is to figure out which strikes to choose given that the trade is executed in the 2 nd half of the series i. e at any point from 15 th of the month till the expiry. Do bear in mind the effect of time decay accelerates in this period; hence as we are moving closer to expiry the dynamic of options change.
The 4 charts below help us identify the right strike for different time frames during which the target is achieved. Of course we do this while keeping theta in perspective.
Chart 1 (top left) evaluates the profitability of different strikes wherein the trade is executed in the 2 nd half of the series and the target is achieved the same day of trade initiation. News driven option trade such as buying an option owing to a corporate announcement is a classic example. Buying an index option based on the monetary policy decision by RBI is another example. Clearly as we can see from the chart all strikes tend to make money when the target is achieved the same day, however the maximum impact would be on (far) OTM options.
Do recall the discussion we had earlier – when market moves swiftly (like 4% in 1 day), the best strikes to trade are always far OTM.
Conclusion – When you expect the target to be achieved the same day (irrespective of time to expiry) buy far OTM options. I would suggest you buy 2 or 3 strikes away from ATM options and not beyond that. There is no point buying ITM or ATM options.
Chart 2 (top right) evaluates the profitability of different strikes wherein the trade is executed in the 2 nd half of the series and the target is achieved within 5 days of trade initiation. Notice how the profitability of far OTM options diminishes. In the above case (chart 1) the target is expected to be achieved in 1 day therefore buying (far) OTM options made sense, but here the target is achieved in 5 days, and because the trade is kept open for 5 days especially during the 2 nd half of the series, the impact of theta is higher. Hence it just does not make sense risking with far OTM options. The safest bet under such a scenario is strikes which are slightly OTM.
Conclusão & # 8211; When you are in the 2 nd half of the series, and you expect the target to be achieved around 5 days from the time of trade execution buy strikes that are slightly OTM. I would suggest you buy 1 strike away from ATM options and not beyond that.
Chart 3 (bottom right) and Chart 4 (bottom left) – both these charts are similar expect in chart 3 the target is achieved 10 days from the trade initiation and in chart 4, the target is expected to be achieved on the day of the expiry. I suppose the difference in terms of number of days won’t be much, hence I would treat them to be quite similar. From both these charts we can reach 1 conclusion – far OTM options tend to lose money when the target is expected to be achieved close to expiry. In fact when the target is achieved closer to the expiry, the heavier the far OTM options bleed. The only strikes that make money are ATM or slightly ITM option.
While the discussions we have had so far are with respect to buying a call option, similar observations can be made for PUT options as well. Here are two charts that help us understand which strikes to buy under various situations –
These charts help us understand which strikes to trade when the trade is initiated in the first half of the series, and the target is achieved under different time frames.
While these charts help us understand which strikes to trade when is the trade is executed in the 2 nd half of the series and the target is achieved under different time frames.
If you go through the charts carefully you will realize that the conclusions for the Call options holds true for the Put options as well. Given this we can generalize the best practices for buying options –
So the next time you intend to buy a naked Call or Put option, make sure you map the period (either 1 st half or 2 nd half of the series) and the time frame during which the target is expected to be achieved. Once you do this, with the help of the table above you will know which strikes to trade and more importantly you will know which strikes to avoid buying.
With this, we are now at the verge of completion of this module. In the next chapter I would like to discuss some of the simple trades that I initiated over the last few days and also share my trade rationale behind each trade. Hopefully the case studies that I will present in the next chapter will give you a perspective on the general thought process behind simple option trades.
Key takeaways deste capítulo.
Volatility plays a crucial role in your decision to buy options In general buy options when you expect the volatility to go higher Sell options when you expect the volatility to decrease Besides volatility the time to expiry and the time frame during which the target is expected to be achieved also matters.
150 comments.
Very good information sir.. thanks a lot and I am very curious to know ur trades..
You will get to know in the next chapter 🙂
Impressionante. Had a few queries regarding the suitable strikes for various trades, while going through the previous chapters. This chapter cleared almost all of my queries. Obrigado. 😀
Hey Karthik! Awesome man. After research on different brokers, I joined Zerodha a month back. Either I wasn’t introduced to Varsity or I overlooked it. You guys are rocking. I was searching everywhere on internet about trading info and strategies and accidentally came across Varsity and that ended my search. Nowhere I could find all the information so compiled, thorough and simplified.
Your hard work is very much appreciated. Keep the good work going.
Waiting eagerly for next module.
Viren, thanks so much for the kind words 🙂
Please do stay tuned for more on Varsity!
Very important info or I will say it is extract of the full module in a very practical way. Thanks a lot for that. Actually about a year back I was trying to understand the same thing by looking at historical data on NSE site and copying them to excel and doing some calculation. But was very tedious and I left in between without any success. It is nice that you gave in a perfect form.
* option shorting has been covered in earlier chapters but can it more explained the way log options are explained?
* What is high or low for volatility based on which we can judge chances of volatility movement. I mean to say if volatility is already high then its chances of going up may not be high even some trigger in near future. Market must have already considered the volatility factor.
* Is it possible that spot prices may go up but the the volatility will come down? Then what to do in options?
I think you had promised to give one case starting from the TA and /or FA to option and showing option trade taking place. Will it come in the next chapter.
Waiting eagerly for next chapter and next module.
1) Is there anything specify you are looking at when shorting options? I suppose most of it has been explained.
2) For nifty Vix ard 17-18% is considered normal. You can keep this as reference value.
3) The next chapter has few case studies.
I thought option shorting also may be explained with graphs as is done for options long trade, showing pay off.
All 4 – Call long, Call short, Put long, and Put short has been explained.
sir, from next month futures margins r dramatocally increased, will it lead to increased option trading (bcoz retail traders cant afford that much marginsin fut so they may shift)i may be one among, clarify.
Not sure Narsimha – we need to wait and watch.
Another Brilliant chapter….Thanks a ton!……Maybe at this point, it may also be worthwhile to revisit Open interest in context of options. i. e how to interpret the current trading range using open interest information? It is widely believed (although maybe not necessarily true) that option writers control the option markets and therefore their action can give some indication of the likely short term market direction. Therefore the ability to interpret OI and its changing dynamics in the context of options may be useful?
In fact the whole theory of “options pain” stems from Options + OI concept. Will be discussing this in the next module.
I would earnestly request you to kindly clarify the following as per my understanding from Key takeaways of this chapter that :
(1) Buy options when I expect that the volatality will increase which in otherwords market will go down due to selling pressure . For suppose , if I buy call and put options both at same strike, call will go down and put will increase. And also.
(2) Sell options when I expect volatality will decrease which in other words market will go up. If I sell call and put options both when I expect volatality will decrease, both call and put option values will increase after decrease of volatality. I will be very much thankful if you can kindly advise whether my is right or wrong and if my understanding is wrong, please enlighten about my observation. I sincerely hope you will guide me with suitable reply Sir. Awaiting eagerly for your advice in the matter. Thanking you very much. With Best Regards, God Bless you Sir, R. V.N. Sastry.
1) Increased volatility does not mean market will go down.
2)Likewise decrease in volatility does not really mean that the market will increase.
Hi Zerodha, This is very help full information, thanks for sharing. I wanted to know about approx. what % people (out of total traded people ) actually make money in F&O trading? as i check on web i see very scattered info but more or less retailers most of the times (>70%) lose money badly. As an institution which does business on FO trading you should be having appropriate info.
Desde já, obrigado.
Ramu – all I can say is that Zerodha clients are few notches better than others 🙂
Dear karthik, if my question is irrelevant plz avoid, otherwise kindly reply, look below this is a screen shot of nifty today 9.53am, i have a doubt nifty futures October contract opening rate 8400,high rate8723.85,how this trade is possible at opening itself? except that rates 99.9% trade is in betwn 8350-8250 levels, earlier also this kind of odd trades seen in nifty..kindly clear my doubt.
Quote As on Oct 26, 2018 09:53:04 IST.
CNX Nifty – NIFTY.
Ah, it must be one of those freak trades. Dont worry much about it.
Again appreciation for your decent work , waiting for Currency and Commodity lessons.
Getting there soon 🙂
Next Chapter please.
What about squaring off the trade on the same day during the 1st half of the series? Which Strike should be selected?
2 strikes away from ATM should be good.
As per today’s data, Nifty 8400 CE is trading at 31.25 and 8400PE is trading at 353.15..
My view is that Nifty spot will not cross 8400 till Nov expiry..
So, what should i do.. Sell 8400 CE and collect the premiums or Buy 8400 PE and hold till expiry..
I am confused.. Can u explain why and what i should do..
Selling a Put option is scary…I would suggest you sell CE instead. Alternatively you could just follow the strategy here zerodha/varsity/chapter/volatility-applications/
Thnks for lessons. I have read your module 4 & 5.
I am new to trde.
Want to know how can i identify the target and % target(here 4% up).
One of the best ways to identify target/SL is by analyzing the S&R regions. This chapter should help – zerodha/varsity/chapter/support-resistance/
Thanks for sharing this wonderful tips.
However I have a question on settlement of options on expiry day. For example, assume I purchase Nifty 8000 [email protected] 15 – total qty 1000 on day before expiry. Nifty crashes on expiry day and ends at 7910. What will happen if I don’t sell the 8000 puts that I hold? Will it be auto squared off by zerodha? If not, what damages will I have to face as penality - excess chsrges/taxes?
In this case you will be in profit of 8000 – 7910 – 15 = 75. Since you have not closed the position yourself, the exchange will do the settlement on your behalf. After deducting the taxes your profit money will be credited to you account. Also, if you are in such as situation its always advisable to close the position yourself instead of letting the exchange do this…to avoid the STT burden. More on this here – zerodha/z-connect/queries/stock-and-fo-queries/stt-options-nse-bse-mcx-sx.
Thanks for detailed chapters. I have read your module 4 & 5.
Request you please make it available in pdf format module 5.
It is now available in the PDF format. Please do check.
what is naked option ? Por favor explique.
When you buy/sell options without any hedge its called as a naked transaction. For example if I buy a cal option – its called a naked long on call option.
However something like a Bull Put Spread – zerodha/varsity/chapter/bull-put-spread/ is not a naked transaction as the trade has two legs.
Loved the subject Re introduction to CALL – PUT options and the decision making process regarding which strikes to buy based on the time frame. I would want a similar perspective on selecting which options to write based on the above guidlines. If you feel it is too much to give the detailing as above then please give us a few guidelines n how to proceed on the same which will help us make the calculations. I am sure it wll be of great help to all members here. Obrigado.
Loved the subject Re introduction to CALL – PUT options and the decision making process regarding which strikes to buy based on the time frame. I would want a similar perspective on selecting which options to write based on the above guidlines. If you feel it is too much to give the detailing as above then please give us a few guidelines n how to proceed on the same which will help us make the calculations. I am sure it wll be of great help to all members here. Obrigado.
Well whatever is not worth buying maybe worth writing 🙂
Gives a perspective on option writing.
Sir, You must have explained but I want to know again that how to put target and stop loss on a naked call or put option. We know only spot price movement and its probable range. Shall the target and Sl be define on spot price or option’s premium?
Its best of the SL is based on the spot price.
I think I have started to get a “feel” about what options are all about. Feels good knowing these stuff. Thank god I found out about Zerodha & Varsity 🙂
I have few queries about volatility and as I understand its like:
1) I know if there are any events then volatility shoots up.
2) I know if there is nothing special(no events) its going to stay at reference level (i. e. like you said VIX of 18).
3) Question: when exactly does VIX go down? why does volatility go down? I have few guesses like dull market due to holidays etc but I need your expert answer 🙂
Thanks Karthik bro!
1) Before any important event, Volatility increases.
2) Events are not the only thing that drives volatility…increased trading activity can also drive the volatility.
3) Typically VIX goes down when fear goes down i. e the market should go up.
when volatility increase option premium also increase ..so in case of nifty volatility means implied volatility or India vix,…?
when vix going down and iv of call option increase which means there is a chance of increasing option premium… Certo?
and last qusition in option greek calculator which iv we enter the volatility box call option or put option’s IV.
For Nifty you can take Vix as reference for IV. So when IV goes down, then probably its more favorable to buy options provided you also have a directional view.
IV is invariable same for both CE & PE.
what about usd inr , what is the volatility that for bs calcs?
Historical volatility can be used here.
Hello karthik ji.
wonderful article, i have a question that is from todays data, arvind ltd highest OI at 330 today on call side, but as per chart it indicate that price has given a breakout and it can go back further, hows interpret it than.
Seems like the market is bullish on the stock!
Thanks for the wonderful article.
Since you have divided the time in 15 days interval but what about when we want to buy expiry which is two months away. Will the same charts/conclusions work ?
Yeah, 2 months away is still as good as ‘start of the series’ so you could stick to those guidelines.
Could you hint, how Hedging can be done with the help of Options?
Is it good enough to say BUY Put Options of NIFTY for hedging – but how to determine how many contracts and what should the strike price?
Assume you have 2 lots of Future long, the delta equivalent for these two lots would be +2. To hedge this position you will need to buy puts which add up to -2. This would mean you buy 4 ATM puts.
Obrigado. Should we square-off the position at any change in the moneyness or just let it expire on the day eventually?
Well, you square off when you are profitable 🙂
Taking Theta into consideration, If I sell MIS option and would like to collect premium then would it be better to sell ATM or OTM?
OTM. Also, to capture the effect of Theta, you need to holding the sold option position over multiple days.
1.) Nifty Underlying is 8629.15. If i were to take CE call buy at strike 8500, at a premium of 139.50. So at close of expiry i. e. 25-Aug, The underlying should be above 8639.50 to consider a profit. Say on end of expiry the underlying was 8650, then is it 10.50 * no. of lot, considered the profit?
2.) if i were to write a sell call option for 8800 strike at prem 5.30 and say at expiry the spot is at 8650, then i get to keep the premium of 5.30 or if multiple lots have been bought then it is 5.30*no. de lotes. Is that right.
Desde já, obrigado.
1) Nifty should be 8500 + 140 = 8640 for you to breakeven…and you make a profit over and above that. Yes, it would be 10.5*lot size.
2) Yes you will retain the premium as long as Nifty is at or below 8800.
Thanks for the above clarification, Sir say if I want to opt for any one of the above option for current expiry, can I do that even on last day of expiry i. e. 25-aug. & amp; is 3:30 pm the cut off.
On expiry day the current month contract expires…and therefore you cannot transact in that contract. However, you can buy/sell other contracts.
Pls tell what you mean by we cannot transact on the contract on expiry day. Can we not sell when premium goes up?
On expiry day, the contract ceases to exist. However you can transact till it expires.
Excellent site to gain knowledge. Kudos to Zerodha team.
I’d like you to validate my observation which is on Day 1 of Sep month series the Nifty spot closed at 8572,sep futures at 8628 and sep 8500CE at 8702 (delta would be at 0.85).Was it a good idea to buy futures and short 8500CE ? this way we could pocket premium of 8702-8628=74 points as 8500CE and futures both will converge to end at same level?
When will this strategy fail ?
Happy to know that Kamal!
September 8500 CE cannot be at 8702, I guess you are missing something, was it 87.02?
Sorry Karthik, It’s 202 and not 8702 ..
Guessed as much 🙂
Thanks a lot for the detailed explanation; If I want to judge whether Implied volatility is moving high or low for an individual stock (in order to take a decision whether to short or long an option), how can I get the data of historical Implied Volatility ; I understand we can easily calculate historical volatility, but how to know historical IV movement ? I tried the below link, but it does not capture Implied Volatility.
This one is a bit tricky. The dirty way to do this is by comparing today’s IV with the historical volatility and make an assessment.
Thank you Karthik.
Hi Karthik, I am new here. I know of options spreads/vol trading, but I haven’t really taken the plunge and done any real trading on a personal account. What’s the best way to get started?
The best way would be to run the strategy would be to actually deploy it in real markets and start taking small bets 🙂
How to know beforehand that volatility of a particular option is going to increase ?
Is there any particular mechanism to predict this.
should we just keep watching the option chain of the underlying to see if its volatility is increasing?
You can forecast volatility by employing volatility forecasting models like GARCH. This is a quant heavy topic and requires you to have some background in stats.
Is there a chapter what specifically explains at which strike price an option should be bought at ?
This chapter itself helps you identify the strikes 🙂
Call option of Asian paints of strike price 960 is at 1.25₹, if tomorrow Asian paints again fall much so then will this call option turns to be zero value? And if day after tomorrow Asian paints goes up then will my call option continues to rise or my contract will be end as soon as the call option value turned zero?
Yes, thats how a call option functions. However, the option price will not go to zero as it has time value.
There’s a table in the end of this module, which highlights the “Best strike to trade” based on target expectation timeline and position initiation timeline. Is it applicable for all 4: Long call, short call, long put, short put.
There’s a table in the end of this module, which highlights the “Best strike to trade” based on target expectation timeline and position initiation timeline. HOW DOES THIS HELPS IN STRIKE SELECTION IN SELLING CALL/PUT. Sugere-se.
Best strikes to trade – by trade I mean to say both buy and sell.
Greetings. In Chapter 22, monthly series is divided in to 2 halves and results of the trading is explained with the help of 8+8 bar charts. Is Volatility Cone is the basis for these bar charts ? or any other thing. Request your clarification on this.
No, these charts are developed using R, basically an algorithm which suggests which is the best strike to trade for a given timeframe.
Thnks for reply.
When back calculating IV, taking nse option prices, using BS Model and Binomial Model, IV values are differing significantly. Binomial Model, resulting lesser IV. Any explanation? Which Model is correct wrt profitability ?
I know both binominal and B&S models lead to similar premium values. However, I’ve never tested for historical IV’s. So I guess I wont be able to comment to this.
While trading options is it important to look just at the volume figures for liquidity purpose or should we look into the Open interest figures as well? If yes for both, then could you tell how much is the ideal level for a contract to be liquid (volume and OI separately)? Also, I see that some call option contracts rise tremendously in value even if the underlying has fallen in value..for example on 24 march, TV18BRDCST CE of 27th apr 17 expiry, and strike of 52.5 rose by 3300% from the previous day close.. this has happened even if the underlying fell by 0.57% from previous close. Is there any way to spot such contracts and cash the gains by selling the contract soon ? 🙂
While both are important, I particularly look at volumes. Always compare today’s volume with respect to average volumes for a particular timeframe. For example, I’d look at today’s volume with respect to last 10 day average. Ditto for OI. Its hard to spot such trades, but with good amount of skill and luck, you certainly can 🙂
When I see the open interest and volume data for equity options, most of the times the open interest is extremely high when compared to volume throughout the trading month. So since volume is the number of contracts traded and open interest is the number of positions that are still open, if say for example I see the NIFTY 8000 call of 25 jan 17 expiry, till the expiry date the volume was around 8403 and open interest was 95925.
1) Does this mean that after market close 87522 contracts (95925-8403) were exercised?. This seems to be the same case where most of the options are exercised for other underlyings as well. Note that this is an ITM option.
2) Doesn this indirectly mean that a lot of people are ending up losing money because there is a greater STT that is levied on exercising options? And why are people exercising instead of squaring off?
3) what will happen if I try to square off an ITM option on the day of expiry but I don’t find any buyer for my option?
1) Not exercised, but closed. Remember exercise happens only on expiry day.
2) No – hard to judge the profitability based on the movement on OI/volume data.
3) If there is no counter party, then you cannot square off. But upon expiry, the exchange will settle it on your behalf, although you will end up paying a huge STT for ITM option. Verifique este & # 8211; zerodha/z-connect/queries/stock-and-fo-queries/stt-options-nse-bse-mcx-sx.
Hello karthik sir,
I have a question i am tracking May, 2017 currency option(USDINR) for sometime.
today(21 april) underlying in red but ATM and slightly Atm & OTM puts mean close to underlying price also declining not much but little bit why this happining as per my calculation volatility is normal not decreasing , and there is lot more time to expiry then no problem with theta.
Then why this happening.
I guess this is due to all options contains excess value to protect Seller s and as this option going to be current months the price reaching towards normal or fair range.
Am i right sir pls…..correct me if neccsesory….
Maybe due to liquidity issues. Keep track of the traded prices, sometimes when liquidity is low, the option premiums misbehaves 🙂
SInce STT on exercised options is quite high and eat up profits made in ITM options, then how can traders square off contracts whose daily volume are also low? for example if you look for SBI CE strike 275 with expiry 27 apr 2017, from 27 mar till 27 april in the following link https://nseindia/products/content/derivatives/equities/historical_fo. htm the daily contracts traded for this option of SBI till the day of expiry is quite low. In this case will you suggest that the trader buys only one or two contracts so that he can sell it easily before expiry and he can avoid the trap of any options not getting squared off due to insufficient buyers? Second question is, you can see in the data that the open interest figures are quite high even till the date of expiry. so does this mean that lacs of contracts got exercised on their own on expiry day and the option holders ended up paying the high stt?
Yes, in fact ample liquidity is one of the key criteria for selecting stocks for intraday purpose. Its tough to find liquidity beyond 4-5 big names (ICIC, RIL, Infy TCS etc). Yes, many contracts gets exercised upon expiry. For people who dont know, they end up paying high STT.
How can I find liquid stock option contracts (with specific strikes) and be sure that I will be able to find a buyer easily if I want to sell my contract before expiry? Also, if a contract for a specific strike has had over 1000 daily volume in past month then does it indicate that in the future months also it is more likely to have good volume? in general how do I know that a particular strike of a stock option is going to attract good volumes?
You just need to scan the market to figure out where the liquidity lies. Usually, it is concentrated in few names such as – Nifty, Bank Nifty, ICICI, Infy, SBI, HDFC, RIL, TCS etc.
No, today’s volume does not guarantee future volume.
How do you arrive at the 8 graphs in section 22.3 of module 5-2. These are used in module 6 also. Are these based on historical data and remain unchanged or one has to plot them for every strategy. Plz ignore if the question is too dumb.
These are used extensively through out the module. They are created busing a software called, R. It essentially captures the general behavior in which the option strikes behave wrt to time to expiry.
Can you please guide me how to trade in option from Zerodha pi/kite.
Start with this very module, Uday 🙂
Option chain contains current month, Mid month & Far month. For example My doubt is if current month not available volume, open interest or Bis ask spread is more so I wouldn’t take any option position. Then I drill it down find a mid month or far month options satisfied with Volume, Bid and ask spread. So if I want to select the option (ITM, ATM & OTM) how to consider or think 1st half of the series or the 2nd half of the series to initiate the trade.
In the present Indian context, you will not find this situation. Liquidity is available in the current month as opposed to mid or far month.
Do you have modules on option strategies??
The above charts really get to the core of why successfully trading options remains a challenge to many retail investors as myself. That said, a chart of Theta vs Strike Price will also help in understanding the core concept, IMO. I ended up searching for the chart when I realized that time value of ITM options is less than that of ATM options, which I found quite confusing.
I’d read on the internet that Deep ITM naked options are a relatively safe bet but the above charts along with Theta-vs-Strike-price is really driving the point home for me.
Thank you once again for this excellent material.
Happy learning, Rahul 🙂
Why is 5th module not available for download??
Excelente material. If possible, please post table of Position Initiation Target Expectation Best Strike To Trade for banknifty weekly options.
Is it a correct strategy to buying two strike price Call / Put when banknifty did not have trend of more than 200 points and forecasting it would rise / fall ? Please do let me your views. Is there any formulae to predict the premium based on predicted index if I know all the geeks and implied volatility. Thanks and Regards, Arijit.
Ah yes, that table has been pending for a while now 🙂
Any strategy requires backtesting, Arijit. Cannot make a blind statement 🙂
Thanks for your prompt reply and the suggestion for backtesting. Will confirm my theory with sample from 01/01/17 should suffice.
Do you know or where can I find Black Scholes formular to predict the premium based on predicted index if I know all the geeks and implied volatility?
Thanks and Regards,
I’d suggest you take more data points, at least for the last 2 years. Verifique este & # 8211; https://zerodha/tools/black-scholes/
Thanks for the sample size …works in progress…
I require formula not calculator as I know how to calculate the geeks from options chains table but I want to calculate the future premium for a strike price for predicted future index and current geeks…
Thanks and Regards,
Ah, expected premium? This has to be again based on how the expected change in greeks, not sure if something of this sort is available online.
I want to write the calculator based on the formula calculating the premium for a strike price for a range of forecast index price, based on calculated geeks from option chain table.
Please help, if possible.
Thanks and Regards,
I’m not sure about this, Arijit. Can you elaborate a bit more? Obrigado.
You are a True Teacher. Who Knows what the students expect …
We wanted this kind of Summary and reinforcement of complex Options in one single chapter!
Happy learning, Ravi!
Great learning from you. I just wanted to know how will you choose strikes in case I want to short options. This is because I have a portfolio and would like to hedge it and collect premiums. Do we still select strikes in the same manner as we do while buying options? Also, is it a good idea to short both call and put options to hedge each other out?
What standard checklist, pattern and indicators do you strongly use on a daily basis for intra day or 2-3 days type of trades while trading the “Nifty 50 Index Option”?
Whatever I’ve mentioned in this chapter. I avoid buying options close to expiries and buying when volatility is high.
This chapter is highly confusing!
If your target is achieved in 5 days do u square off at that point or continue till expiry? You target at the profit in premium or profit at the end in the strike price?
If the target is achieved, then you got to get out the trade. Why wait till expiry?
Ei! Since volatility increases when an important announcement is coming up, and increase in volatility is directly proportional to increase in premium, so irrespective of the result of the company, it would always make sense to buy a call option around 1-3 days before? If true, then what would be the appropriate strike price for this?
Volatility tends to increase, does not always increase! However, if it does, I would be comfortable buying slightly OTM, assuming there is at least 5- 8 trading sessions before expiry.
If we know the target is expected on expiry day, it is suggested to buy ITM strike option during the first half of series.
1. which ITM strike option to buy? Slightly ITM or ITM?
2. If we buy ITM option and there is no price movement in the underlying, would the premium erode due to Theta value and lose money? what happens to premium in this case?
1) Slightly ITM or ATM.
2) Yes, premium would erode.
Your pedagogy is excellent and reflects what you have gone through to arrive at level of excellence !
You get compute geeks from option table.
There should be formula with which one calculate the premium (by Black Scholes) for forecast index.
Hope the above is clear.
Thanks and Regards,
Ah, I get it. This may not very intuitive since both the premium and the index movement (delta) are co-dependent. So you will end up in some sort of a circular loop when trying to do this. Anyway, let me give it more thought. Obrigado.
It’s very good. the contents are so elaborative, I am good to read this. I shall apply it to real trades.
Good luck and happy learning, Rajiv!
how it is affecte to P&L ;
1) X share trading at 100(spot price). i know share will be up 20 points(i. e.120) within 25 days. i bought CE option with slightly ITM (first half of expiry). but market react early and target achieved within 5 days. how affected to p&L as well as any other point that should be keep in mind ?
2) which Moneyness for call option i have to choose when i only know X share have upward moves from current level ? May be 1st or 2nd half of the series.
3) what is the thought behind buying/selling of next months expiry ? or better to not jump at initial level.
1) In this case, the options premium will go much higher than the value predicted by delta. This is because of ample time value.
2) If you have sufficient time, then opt for slightly OTM option, else opt for ATM option.
3) Liquidity could be an issue with next month options, I’d suggest you stick to the current month options.
After going through this chapter on ” Reintroducing Call & Put option, Kindly clear my following doubts.
a) How is a Call option is different from a Put option for a same strike rate? for example How the ATM of today ( 16-01-2018 ) 10700 CE is different from the 10700 PE ?
b) How ITM shift from left to right after ATM ie the light yellow back ground.
If the answer is of long stretch kindly give me a link to this answer.
I have read this module no 5 two times . I could not get the answer for my above question.
Please allow me to give an example of some what same to compare.
Take chart of a Railway Time Table (RTT. in short) . This is a common chart familiar to almost maximum number of people.
Let us compare both charts. The Railway Time Table (RTT. in short) and the Nifty Option Chain (NOC. in short)
1 The central Strike Price column in the Nifty Option Chain (NOC) can be compared to the Train No and train name column of the Railway Time Table (RTT).
2. The left side of the strike price column in NOC is Call option and its details . same way.
left side of RTT is UP direction of the trains and details of stations on the route and arrival & departure time of those stations.
3 The right side of the strike price column in NOC is Put option and its details . same way right.
side of RTT is DOWN direction of the trains and details of stations on the route and arrival & departure time of those station.
Kindly compare like this and make it very simple to understand.
Considering the effort & time the full team of people have invested to prepare such a beautiful and versatile book, these type of comparison charts will go a long way. SORRY for taking your valuable time.
1) The basic difference is in terms of the directional opinion – you make money on call when the stock price goes up and you make money on a PUT when the stock price goes down.
2) This depends on the option type (calls and Puts). I’d suggest you read the chapter on Moneyness of option to understand this better.
The RTT example is nice, unfortunately, I’ve not traveled much, hence not too familiar with the railway chart. But appreciate your inputs. Obrigado.
margin money is like a loan or a debt. não é isso? so am i liable to pay the extra money that i borrowed as margin money for intraday trade that enhanced my profit??
Sort of yes, but this is a standard feature offered by most brokers and no one really charges for it.
i am actually new to trading and when i received a mail from NSE at the day’s end of stocks bought and sold and it showed that i actually traded in lakhs when i just had 5000 in my account, that really got me scared.
Yes, that would be the total value of the transaction. Thanks to leverage 🙂
The way you bifurcated one month option contract into 15 day i. e. the effect of time on premium .
Can you tell me the effect of time in premium in case on Bank nifty as the option contract are for one week (as per my knowledge. I am new to all this stuff correct me if I am wrong).
That would be too short-term a trade to classify options. I’d suggest you stick to ATM for all trade types.
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Varsity by Zerodha & copy; 2018 & ndash; 2018. Todos os direitos reservados.
A reprodução dos materiais do Varsity, texto e imagens, não é permitida. Para consultas na mídia, entre em contato com [email & # 160; protected]
Estratégias de opção.
1. Orientação.
1.1 - Definir o contexto Antes de iniciar este módulo na Estratégia de Opção, gostaria de compartilhar com você um artigo de Behavioral Finance que li há alguns anos atrás. The article was titled “Why winnin ..
2. Bull Call Spread.
2.1 – Background The spread strategies are some of the simplest option strategies that a trader can implement. Spreads are multi leg strategies involving 2 or more options. When I say multi leg stra ..
3. Bull Put Spread.
3.1 – Why Bull Put Spread? Similar to the Bull Call Spread, the Bull Put Spread is a two leg option strategy invoked when the view on the market is ‘moderately bullish’. The Bull Put Spread is s ..
4. Call Ratio Back Spread.
4.1 – Background The Call Ratio Back Spread is an interesting options strategy. I call this interesting keeping in mind the simplicity of implementation and the kind of pay off it offers the trader. ...
5. Bear Call Ladder.
5.1 – Background The ‘Bear’ in the “Bear Call Ladder” should not deceive you to believe that this is a bearish strategy. The Bear Call Ladder is an improvisation over the Call ratio back spr ..
6. Synthetic Long & Arbitragem.
6.1 – Background Imagine a situation where you would be required to simultaneously establish a long and short position on Nifty Futures, expiring in the same series. Como você faria isso e muito mais ...
7. Bear Put Spread.
7.1 - Spreads versus posições nus Nos últimos cinco capítulos, discutimos várias estratégias bullish de várias pernas. Essas estratégias variaram para se adequar a uma variedade de perspectivas de mercado e # 8211; a partir de ..
8. Existir a propagação de chamadas.
8.1 - Escolhendo Chamadas Sobre Pistas Semelhante ao Bear Put Spread, o Bear Call Spread é uma estratégia de duas pernas invocada quando a visão no mercado é "moderadamente baixista". The Bear Call Spread ..
9. Put Ratio Back spread.
9.1 – Background We discussed the “Call Ratio Back spread” strategy extensively in chapter 4 of this module. The Put ratio back spread is similar except that the trader invokes this when he is b ..
10. The Long Straddle.
10.1 – The directional dilemma How many times have you been in a situation wherein you take a trade after much conviction, either long or short and right after you initiate the trade the market move ..
11. The Short Straddle.
11.1 – Context In the previous chapter we understood that for the long straddle to be profitable, we need a set of things to work in our favor, reposting the same for your quick reference – The vo ..
12. O Longo & # 038; Short Strangle.
12.1 - Antecedentes Se você entendeu o straddle, então, entender o 'Strangle' é bastante direto. For all practical purposes, the thought process behind the straddle and strangl ..
13. Max Pain & PCR Ratio.
13.1 - Minha experiência com a Teoria da dor de opções Na lista interminável de teorias de mercado controversas, a teoria da "dor de opção" certamente encontra um ponto. Opção de dor, ou às vezes referido ...
Varsity by Zerodha & copy; 2018 & ndash; 2018. Todos os direitos reservados.
A reprodução dos materiais do Varsity, texto e imagens, não é permitida. Para consultas na mídia, entre em contato com [email & # 160; protected]
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