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NIFTY VIEW - November |
psalm
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Joined: 12 Nov 2011
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Post: #31  Posted: Tue Nov 06, 2012 10:51 am Post subject: |
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| apka wrote: | | taxmann50 wrote: | | IV of ITM calls slightly higher than the puts, does this implies a slightly negative bias? |
whats that ?
yesterdays rise was with low volumes, and todays rise also with very low volumes... |
Implied Volatility....the volatility of an underlying.... |
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stevenmat
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| Post: #32 Posted: Tue Nov 06, 2012 10:56 am Post subject: |
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Both OTM Calls and Puts are adding on value..guess its bcoz of higher VIX (up 5 %)...normally this happens before a very big move (i donno if its up or down..i hope its down.. )..
comments? |
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stevenmat
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| Post: #33 Posted: Tue Nov 06, 2012 11:05 am Post subject: |
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If one compares CBOE VIX and India VIX, CBOE VIX is trading at much higher levels at around 18 percent and India VIX is trading somewhere around 14 percent. US is a low beta market, emerging market like India is a high beta market. Generally, the volatility index of a country like India should be higher compared to US and it is that case. But historically, I have studied in the last five-seven years that whenever the volatility index of a developed country like the US goes higher than the emerging market VIX, there are corrections in the market. So, we are not very optimistic on market at this point.
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Angel broking |
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psalm
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| Post: #34 Posted: Tue Nov 06, 2012 11:06 am Post subject: |
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| stevenmat wrote: | Both OTM Calls and Puts are adding on value..guess its bcoz of higher VIX (up 5 %)...normally this happens before a very big move (i donno if its up or down..i hope its down..)..
comments? |
Risks for an option writer is usually associated with the volatility of that underlying and the time for expiry......we're very much close to a very big event globally (U.S. Election) and that this is a very long series. So all these factors points to higher premiums....I mean, for both CALLs and PUTs.....By the way, me too hope the market goes down from here....but hopes and actual facts are far apart...  ....considering the strength, our markets are showing in the last 2 or 3 days...I'm thinking about exiting my SHORTs if we break above 5725-5730 range....I'll be holding my PUTs though; as they're less riskier for me....Let's see if we break above 5730 or so....  |
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psalm
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| Post: #35 Posted: Tue Nov 06, 2012 11:19 am Post subject: |
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| stevenmat wrote: | "
If one compares CBOE VIX and India VIX, CBOE VIX is trading at much higher levels at around 18 percent and India VIX is trading somewhere around 14 percent. US is a low beta market, emerging market like India is a high beta market. Generally, the volatility index of a country like India should be higher compared to US and it is that case. But historically, I have studied in the last five-seven years that whenever the volatility index of a developed country like the US goes higher than the emerging market VIX, there are corrections in the market. So, we are not very optimistic on market at this point.
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Angel broking |
As I have mentioned earlier, I believe that CBOE VIX has already broken out both in the Daily and Weekly charts....but the markets are not reflecting that volatility......the markets are still going up and up.....so, I'm a bit confused now....as to what implication it may have...I'm attaching the monthly chart of CBOE VIX for the last few years....one can see that the volatility has gone up to almost 90 levels during the 2008 crash....  ... |
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stevenmat
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| Post: #36 Posted: Tue Nov 06, 2012 11:25 am Post subject: |
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| even i'm tired of holding puts...but the only thing that is cheering me up is the fact that..although nifty inched higher in the past two days..my 5600PE options are still at 28/29 levels supported by higher volatility which has been going up... the frustration is coz when Dow rallied 1% our market opened gap and and held almost a percent up...but when Dow went down 1% the next day our market held strong despite of weak cues from Asia.. that part is worrisome.. |
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vinay28
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Joined: 24 Dec 2010
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| Post: #37 Posted: Tue Nov 06, 2012 11:32 am Post subject: |
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"But theoretically, IV should be the same for the same strike price CALLs and PUTs when the underlying is near the strike price.."
sam, that's only theoretically. In actual practice, pe almost always enjoys higher premium than ce and hence IV |
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psalm
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| Post: #38 Posted: Tue Nov 06, 2012 11:33 am Post subject: |
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| stevenmat wrote: | | even i'm tired of holding puts...but the only thing that is cheering me up is the fact that..although nifty inched higher in the past two days..my 5600PE options are still at 28/29 levels supported by higher volatility which has been going up... the frustration is coz when Dow rallied 1% our market opened gap and and held almost a percent up...but when Dow went down 1% the next day our market held strong despite of weak cues from Asia.. that part is worrisome.. |
There is little chance of a huge upmove in the market today...and as Vinay had mentioned earlier, there could be just a pop to upset the weak bears like us and then the market could go down......but the problem in holding the position for tomorrow is that the election result will start coming by around 5.30 or 6.00 AM in the morning tomorrow...if the results are supporting the Bull's case, there could be a gap up opening tomorrow....that's the risk one might have to take.... |
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psalm
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| Post: #39 Posted: Tue Nov 06, 2012 11:35 am Post subject: |
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| vinay28 wrote: | "But theoretically, IV should be the same for the same strike price CALLs and PUTs when the underlying is near the strike price.."
sam, that's only theoretically. In actual practice, pe almost always enjoys higher premium than ce and hence IV |
its true, Vinay.... |
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apka
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| Post: #40 Posted: Tue Nov 06, 2012 11:43 am Post subject: |
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| but VIX is rising in cite of low of volumes because top is near, still volumes in selling have not picked up. if volumes come in buying, vix will drop in a blink of an eye. volumeless rise in vix is not convincing me even though its filling in the charts. |
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psalm
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| Post: #41 Posted: Tue Nov 06, 2012 11:51 am Post subject: |
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| apka wrote: | | but VIX is rising in cite of low of volumes because top is near, still volumes in selling have not picked up. if volumes come in buying, vix will drop in a blink of an eye. volumeless rise in vix is not convincing me even though its filling in the charts. |
Any clue from the option data, Apka????... |
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vinay28
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| Post: #42 Posted: Tue Nov 06, 2012 11:57 am Post subject: |
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| pcr too has been going up for the last 3 days. and now premium going up to eat premium of bears I feel. I still feel market will go down since election results will not be clear till 9th. |
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saumya12
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Joined: 21 Dec 2011
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| Post: #43 Posted: Tue Nov 06, 2012 12:04 pm Post subject: |
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Hi
Check the divergence in stoch in NS and NF charts 5 min TF |
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rakpeds
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Joined: 24 Jun 2012
Posts: 481
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| Post: #44 Posted: Tue Nov 06, 2012 12:05 pm Post subject: |
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| vinay28 wrote: | | pcr too has been going up for the last 3 days. and now premium going up to eat premium of bears I feel. I still feel market will go down since election results will not be clear till 9th. |
the result will be clear by 7th morning i giuess... also guys whats the secret of 9 .. sbi results ... anything else |
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vinay28
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| Post: #45 Posted: Tue Nov 06, 2012 12:12 pm Post subject: |
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election results will be out tmrw morning but........
saumya, +ve or -ve div? |
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