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Diagonal Spreads - Discussion, Q&A, etc |
amolghodekar
White Belt
Joined: 02 Apr 2011
Posts: 41
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Post: #91  Posted: Thu Dec 26, 2013 4:33 pm Post subject: |
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Hi ST,
Thanks for the nice option strategy you shared... I tried going thorugh every aspect of the Diagonal ... but not able to understand how P/L % is calculated... also i would like to request if you or any one could upload the excel sheet as depicted in the thread screen-shots...
Thanks,
Amol. |
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krish_pm
White Belt
Joined: 12 Nov 2012
Posts: 44
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| Post: #92 Posted: Thu Dec 26, 2013 5:40 pm Post subject: January 2008 and May 2009 Hour Chart with ema13 & ema |
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ST sir,
Sorry for the late reply. I was Outstation.
I saw Diagonals effectiveness ended with profit in feb 2011.
I have the PNG IMAGE January 2008 (Big down) and May 2009 (Big Gap Up) Hour charts with ema(13) & ema(89).
Let me know how to attach the file in the post.
Download Link For Options Eod data :
http://www.nseindia.com/products/content/derivatives/equities/historical_fo.htm
If you mention the Option Strike,Month and year for diagonal. I can Upload the data.
I need the diagonal spreads , ema13 ema 89 Pivot Mentioned charts and P/L table with your explanation for these two months.
Thanks
Krish |
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SwingTrader
Site Admin
Joined: 11 Aug 2006
Posts: 2903
Location: Hyderabad, India
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| Post: #93 Posted: Fri Dec 27, 2013 12:00 pm Post subject: |
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| amolghodekar wrote: | Hi ST,
Thanks for the nice option strategy you shared... I tried going thorugh every aspect of the Diagonal ... but not able to understand how P/L % is calculated... also i would like to request if you or any one could upload the excel sheet as depicted in the thread screen-shots...
Thanks,
Amol. |
P/L % is computed based on trade cost (cost to buy the long option minus premium received by shorting the short option) + margin required to hold the trade. Most of the time margin for a NF diagonal is around 10,000 per lot. The margin, of course, fluctuates daily depending on how far OTM/ITM the options are. I just keep the max margin during the trade entered in the spreadsheet.
I have attached the spreadsheet. It is nothing fancy, just a simple P/L spreadsheet. Please ignore the hedge % column for now.
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Srikanth Kurdukar
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SwingTrader
Site Admin
Joined: 11 Aug 2006
Posts: 2903
Location: Hyderabad, India
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| Post: #94 Posted: Fri Dec 27, 2013 12:42 pm Post subject: Re: January 2008 and May 2009 Hour Chart with ema13 & |
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| krish_pm wrote: | ST sir,
Sorry for the late reply. I was Outstation.
I saw Diagonals effectiveness ended with profit in feb 2011.
I have the PNG IMAGE January 2008 (Big down) and May 2009 (Big Gap Up) Hour charts with ema(13) & ema(89).
Let me know how to attach the file in the post.
Download Link For Options Eod data :
http://www.nseindia.com/products/content/derivatives/equities/historical_fo.htm
If you mention the Option Strike,Month and year for diagonal. I can Upload the data.
I need the diagonal spreads , ema13 ema 89 Pivot Mentioned charts and P/L table with your explanation for these two months.
Thanks
Krish |
Just post the image as attachment. As for the diagonals, you will have to download data for strikes near NF closing price for the day signal was triggered (for 1st and 2nd month) and then look for min 30% hedge and use that combination.
NSE does not give the full EOD bhavcopy before 2011, else I would have the data in my database and would have easily computed all this in a minute.
More importantly, both Jan 2008 and May 2009 seem to have triggered the trades fine and both trades would have ended in profits. That is my guess.
From the daily charts I can see that a short would have triggered on 16th Jan 2008 and a long would have triggered on 4th May 2009 (this would have been a continuation long signal). I don't have 60 mins charts of 2008/2009 too, so you can confirm via your charts. I just used EMA (3) and EMA (13) on daily charts as a sort of proxy for EMA (13) and EMA(89) on 60 mins chart.
Please try and compute the P/L for these two days and let me know how it looks. I am too lazy to do this manually now  but I will try and do it over the weekend. That said I have held diagonals in high volatility moves while trading in the US a while ago and there are no major surprises if our trade is in the direction of the gap/move (the trade will hit our profit target very quickly). But if the gap is against our trade then one should not be surprised to see a loss of 10-15% (of trade cost + margin) in worst cases. I have experienced both situations first hand Position sizing is crucial so our account equity does not get hit badly if we see a bad trade.
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Srikanth Kurdukar
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krish_pm
White Belt
Joined: 12 Nov 2012
Posts: 44
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| Post: #95 Posted: Fri Dec 27, 2013 12:54 pm Post subject: |
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ST sir,
when I click a post reply. I can't see the Add an Attachment.
Attachement form is disappeared for me for this topic
Diagonal Spreads - Discussion, Q&A, Etc |
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SwingTrader
Site Admin
Joined: 11 Aug 2006
Posts: 2903
Location: Hyderabad, India
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| Post: #96 Posted: Fri Dec 27, 2013 12:58 pm Post subject: |
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| krish_pm wrote: | ST sir,
when I click a post reply. I can't see the Add an Attachment.
Attachement form is disappeared for me for this topic
Diagonal Spreads - Discussion, Q&A, Etc |
Oh! yes, it was disabled. I have enabled it now, please try again.
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Srikanth Kurdukar
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krish_pm
White Belt
Joined: 12 Nov 2012
Posts: 44
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| Post: #97 Posted: Fri Dec 27, 2013 1:11 pm Post subject: January 2008 Hour charts |
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ST sir,
I have attached January 2008 Hour charts |
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krish_pm
White Belt
Joined: 12 Nov 2012
Posts: 44
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| Post: #98 Posted: Fri Dec 27, 2013 1:14 pm Post subject: May 2009 Hourly Charts |
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ST sir,
I have attached May 2009 Hourly Charts |
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SwingTrader
Site Admin
Joined: 11 Aug 2006
Posts: 2903
Location: Hyderabad, India
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| Post: #99 Posted: Fri Dec 27, 2013 1:21 pm Post subject: Re: January 2008 Hour charts |
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| krish_pm wrote: | ST sir,
I have attached January 2008 Hour charts |
EMA crossover was on 15th, it broke below prior low also on 15th. If not that, then it surely broke many prior lows on 16th morning itself. So a short on 16th was clear. Now check FEB-JAN 6000-5800 put diagonal for hedge %. I think given the volatility, this diagonal itself would satisfy the hedge %. This diagonal would probably have hit 15% profit within few days and due to the huge volatility increase the profits would not have been higher than 15% throughout the trade. This happens when volatility explodes too much. Since there is a major sudden demand for near month options, its volatility explodes big time and we don't see good profits in the diagonal (not more than 15-18%). If volatility would have increased gradually then we could have reached 35-40% profits. Anyway, all this is guess. We will have to download the data and check to confirm.
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Srikanth Kurdukar
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SwingTrader
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Joined: 11 Aug 2006
Posts: 2903
Location: Hyderabad, India
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| Post: #100 Posted: Fri Dec 27, 2013 1:30 pm Post subject: Re: May 2009 Hourly Charts |
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| krish_pm wrote: | ST sir,
I have attached May 2009 Hourly Charts |
I think one would be in the trade on 4th May itself as it is a breakout above prior high pivot. The breakout happened on 19th in the direction of the trend, so as per rules a long trade would already be in progress. I think this trade is not a problem at all.
To test worst case scenarios, search where the trend would have turned immediately after we had initiated a position. Those kind of scenarios are what one should study. Especially the ones where trend reversed strongly the day after the position was initiated. Once 4-5 days pass after trade is initiated, the risk goes down quickly.
In any case, do compute and post P/L table for both these trades. If you are unable to, I will anyway do it over the weekend and post.
Good that you are doing this exercise. Even though such trades do not tell us what we can expect in the future, they surely do help us prepare for various scenarios.
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Srikanth Kurdukar
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shekharinvest
Yellow Belt
Joined: 21 Dec 2007
Posts: 549
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| Post: #101 Posted: Fri Dec 27, 2013 2:14 pm Post subject: |
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Thanks, ST for wonderful thread on Diagonal Spreads.
I have a question if & when you get time please help resolve.
Although, you had told that identification of pivots is a subjective matter, as there are so many ways to mark a pivot, still, I would like to know. As in the enclosed Nifty chart (spot) we can see the crossover. I have marked two points A & B which one will you consider a Pivot ? |
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SwingTrader
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Joined: 11 Aug 2006
Posts: 2903
Location: Hyderabad, India
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| Post: #102 Posted: Fri Dec 27, 2013 2:38 pm Post subject: |
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| shekharinvest wrote: | Thanks, ST for wonderful thread on Diagonal Spreads.
I have a question if & when you get time please help resolve.
Although, you had told that identification of pivots is a subjective matter, as there are so many ways to mark a pivot, still, I would like to know. As in the enclosed Nifty chart (spot) we can see the crossover. I have marked two points A & B which one will you consider a Pivot ? |
Both A & B are pivots but if you zoom into the chart and see carefully, the EMA crossover happened at market close on 20th. So B pivot will not be used as it is lower than the close of the bar where crossover happened. Pivot A is the prior higher pivot and that must be used. I am actually waiting for that to happen to initiate a bullish diagonal.
NOTE: I am using 250 days as "Intraday Timeframe" setting in JCharts. This must be consistently used as any change in this will change the EMAs significantly. Also either NS or NF must be used consistently. The signals will be different for both, for example, for NF the prior pivot has broken but not yet for NS.
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Srikanth Kurdukar
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shekharinvest
Yellow Belt
Joined: 21 Dec 2007
Posts: 549
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| Post: #103 Posted: Fri Dec 27, 2013 2:57 pm Post subject: |
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UMESH0909
White Belt
Joined: 02 Jul 2013
Posts: 139
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| Post: #104 Posted: Fri Dec 27, 2013 3:39 pm Post subject: |
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I am new to Ichart and also to this thread.
I have a question regarding 60 min chart data. In ichart I am getting only one month data.
How to get the 60 min interval data for bigger time period.
I have tried 1 year two year etc.. but it is not giving me the data.
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dj31dec
White Belt
Joined: 08 Aug 2012
Posts: 4
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| Post: #105 Posted: Fri Dec 27, 2013 5:22 pm Post subject: Greetings !! |
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Dear ST,
I am using a trading system which on an average generates 3-4 signals in one calender month. It is a kind of Stop a reverse system which always keeps in trade and need to manage trade during intra day when price approaches to SAR level..
Is it advisable to trade option spread in this scenario.. Or should one choose a trading system which generates signal once in a month and keeps you in trade.. for e.g Speculators pivot trading system on 60 tf generates hardly 1-2 trades in one expiry...
Thanking you
Devendra |
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