[Attachment(s) from Vikas Basantani included below]
Hi Murthy, I guess what Rahul is saying is possible. On the put side, IV actually increases as go down the strikes (farther OTM). Please see the screenshot below for SPY options chain - if you note the IV levels for 90 (ATM) and 80 Put (OTM) strikes, you will see what I mean... Hope I am not wrong here:-)
Hi Rahul, based on how I interpret your post, you appear to be trading some form of ratios/backspreads hedged by futures. Can you please provide an example of one of your prior trades from beginning to end (entry, exit, adjustments etc) and I am sure some on this group should be able to help on doing similar stuff on US markets. Depending on how much you are willing to share, it may even be worth trying a paper trade on this forum (if there is sufficient interest). SPY, in my opinion, would be the best equivalent for the desi Nifty:-)
Cheers Vikas
On Thu, Jun 25, 2009 at 6:04 AM, Murthy N <optionsmaya@gmail.com > wrote:
Rahul,Have you found such a skew? On a heavily traded chain (US based), I have not seen volatility of OTM greater than for ATM.Obviously, I cannot say that doesn't happen (because I don't know), however I think it is unlikely or momentary (you can see the quote but can never get a filled order). Curious to know how wrong I am in making this statement.Without researching the details, I get a feeling even if you were to find such anamolies, make $$$ after all the transactions you mention seems difficult (for a retail trader - options, futures, time lag between the two orders, etc).Good luck.Murthy
On Wed, Jun 24, 2009 at 8:46 AM, rahul shah <rahulshahno1@yahoo.com > wrote:
Hello Friends I am a new member of this group. I do option trading on Nifty options listed in National Stock exchange of India. We try to gain out of the skewed nature of the Implied Volatilities ( Skew Trading) . We generally are theta positive, vega short, delta and gamma neutral. This position becomes gamma positive on the upside and gamma negative on the short side. We dynamically neutralize delta and gamma.For e.g.Nifty Spot:- 4500and if 4500 Put quotes at 40% IV and 4300 Put quotes at 43% IV, we go short on 4300 puts and long on 4500 puts . The ratio is not 1-1 , but it is the one which make the position gamma neutral. The resultant position delta is neutralized by Nifty futures.By doing this, we gain either out of theta if market doesnt move much or out of contraction of the skewness between IVs of different strikes.This strategy has worked pretty well for us in the past few years. We intend to apply the same strategy in stocks and indices listed on NYSE. I request you all to share your views on this strategy and whether it can work on US stocks and indices or not.RegardsRahul.
__._,_.___
Attachment(s) from Vikas Basantani
1 of 1 Photo(s)
The goal of TheOptionClub is to provide a forum for members to work together for the purpose of furthering our individual understanding option trading. All messages and postings, and any materials circulated are provided for discussion and educational purposes only. No statement contained in any materials from TheOptionClub should be considered a recommendation to buy or sell a security or to provide investment, legal or tax advice. All investors are encouraged to consult a qualified professional before trading in any security. Stock and option trading involves risk and is not suitable for most people. There is no guarantee that any information provided is accurate and, may in fact, be wrong. It is understood that the participants in TheOptionClub have varying backgrounds and degrees of experience in option trading, and that regardless of experience each member is considered a student. As such, any information distributed through TheOptionClub should be considered with a critical mind and not relied upon as an authoritative source.
To unsubscribe from TheOptionClub, send an email to:
OptionClub-unsubscribe@yahoogroups.com
To unsubscribe from TheOptionClub, send an email to:
OptionClub-unsubscribe@yahoogroups.com
Change settings via the Web (Yahoo! ID required)
Change settings via email: Switch delivery to Daily Digest | Switch format to Traditional
Visit Your Group | Yahoo! Groups Terms of Use | Unsubscribe
.
__,_._,___
No comments:
Post a Comment