iCharts Discussions

vinay28 · Black Belt Joined: 24 Dec 2010 Posts: 11748

Thanks pkholla

When to buy can be given by ans_kol's post but may I suggest that you calculate sell price of option for intended target by option calculator and compare it with your calculation based on delta? I found option calculator deadly accurate. Since I started using the calculator recently, I have often sold within 2 rs. from actual value (and often top) and that too because I put sell price about a rupee lower than calculated price. This will also save time.

In case you desire, here's link for calculating IV and option price

http://www.option-price.com/index.php

Just for info., sgxnifty fell from 5250 to 5190 before recovering to 5305 as of now. So values given by you are plausible although I would like to play safe by being somewhere between ans_kol's values and victor's values

ridinghood · Yellow Belt Joined: 16 Apr 2009 Posts: 724

hi pk
taking 5229 as close ob nd os rates would be 5318 nd 5147
regs
ridinghood

Amigo · White Belt Joined: 17 Jun 2011 Posts: 223

ANS_KOL · White Belt Joined: 16 Jul 2011 Posts: 84

ANS_KOL · White Belt Joined: 16 Jul 2011 Posts: 84

Dear Friends,
for today our data is nifty future close-5229.15
daily volatility- 1.57%(82.10)
nifty overbought @(5229.15+82.1)=5311.25
nifty oversold @(5229.15-82.1)=5147.05.
so, buy nf @ 5147 sl-5097.
sell nf @ 5311 sl-5361.
but today mahurat trade for only 1 hour,so I am not trading this strategy today. position wise currently long @ 5145 according to hansraj strategy.
ANS.

pkholla · Black Belt Joined: 04 Nov 2010 Posts: 2890

Thanks Vinay_28. Any improvement in accuracy of prediction is always to our benefit. Prakash Holla

pkholla · Black Belt Joined: 04 Nov 2010 Posts: 2890

Dear all,
ALL CREDIT TO ANS_KOL WHO GAVE US THIS WONDERFUL TIP
Rest of us are just commenting and taking it further
I visited NSE website for actual hi, low and closing values for NF Nov, 51C Nov, 52P Nov FOR 26 OCT and fine tuned my option price calculator!
I am enclosing EXCEL spreadsheet for your comments
Vinay: Perhaps we can compare the value with option-calc and if they are close then more confirmation of utility of using prev day's data for delta calc.
I personally feel : your options site uses Black Scholes. NSE uses Black Scholes. Will there be much difference using yesterday's options prices for prediction?
Also: What value to put in calculator?

Underlying say 5164.6
Exercise 5100 (for 5100 call)
Days 30 (till 24 Nov)
Interest ???
Dividend ???
Volatility ??? (of call)
Rounding ???

Thanks in advance
Prakash Holla

jsg · White Belt Joined: 02 Oct 2011 Posts: 37

vinay28 · Black Belt Joined: 24 Dec 2010 Posts: 11748

Holla, procedure as follows

1. it is best to open the link in two separate tabs. In one tab, click on IV calculator and in the other tab, click on option calculator.
2. Put 15% for interest and dividend (explanation for this later as not important now) and 20 for no. of days to expiry . 20 for today because Nov has 20 market working days. Also, enter exercise value that you choose. Enter rounding as 3. It's just rounding off to 3 decimals. Now you are ready to calculate at any time
3. Enter dynamic values of nf and option price as seen on your terminal in IV calculator and click on calculate tab at bottom. You will get IV value.
4. enter estimated target value of nf in top cell in option tab and enter IV value as obtained and click on calculate and you will get projected value of option to place sell order.

Important - as the day advances, you should reduce no. of days such as 1.9, 1.8, etc. As no. of days reduce, change accordingly e.g. 19, 18, 17, etc.

Hope above will benefit

ANS_KOL · White Belt Joined: 16 Jul 2011 Posts: 84

Ravi_S · Yellow Belt Joined: 15 Jun 2009 Posts: 569

Dear ANS_KOL

What timeframe?

Regards
Ravi

Ravi_S · Yellow Belt Joined: 15 Jun 2009 Posts: 569

Sorry I got the answer for that it's 12 days moving average... Thx....

Regards
Ravi

pkholla · Black Belt Joined: 04 Nov 2010 Posts: 2890

Vinay: Will try out your suggested method. Crystal clear reply from u. thanks a lot

All: ans_kol has given us a very important tip

if you remember your college statistics: NORMAL CURVE: he has given us the normal (yesterday's close) and standard deviation (close*daily volatility)

most values of tomorrow's NF will fall between N(1-V) and N(1+V)

hence he confidently says that we can put selling at N(1+V) and buying at N(1-V) while keeping a SL to deal with the stray cases where the value goes outside these limits (like during Moody's lowering of USA sovereign rating!)

this being the case we can probably use ans_kol's discovery for other scrips also!

examply: if maruti 1m close is 1140 (27/10) and volatility is 2.12% (27/10) {from NSE website}

then most of the time maruti 1m tomorrow will lie between 1140 +- 24.1 and we can buy @ 1115.9 and sell @ 1164.1

ans_kol and vinay: your comments on above awaited

prakash holla

jsg · White Belt Joined: 02 Oct 2011 Posts: 37

rk_a2003 · Black Belt Joined: 21 Jan 2010 Posts: 2734

I can say This ia a creative extension of ANS Strategy to individual scrips.

I have few concerns before we put all this in to practice.

First one among them is we need to back test it.If any one is having a good software like amibroker they may back test it and get the results.

Is anyone having it?!

The points we need to take out are

1.What is the freequncy of this trade getting triggered over a certain period of time? (First we may perform it on NIFTY).

2.And then success ratio ( though I am confident that this will be high still it is advisable to check it on material basis.)

I hope some one will come up with the testing. Smile

RK