Archive for December, 2013

Nifty 31 Dec 2013

Tuesday, December 31st, 2013

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Nifty 30 Dec 2013

Monday, December 30th, 2013

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Closed Position Details December 2013

Monday, December 30th, 2013

TripleInt

 

We have come to the end of December series. It was a series filled with news based triggers and buyers of both sides of option did not win as towards the end market was moved in a tight range and also closed near to 6300 levels.

As we enter into January series, NIFTY is hovering again around 6300 levels. Option trading system is favouring calls as far as IV is concerned considering the futures price. If we just look at the options price w.r.t spot price, it is favouring puts. Overall there is a hefty premium in futures as we have entered the January series. We will wait for the calendar year of Dec 2013 to close before initiating new trades for the January series and will let the system evolve for the new series today and tomorrow.

Nifty expiry charts

 

======== Underlying Index: NIFTY 6302.85  As on Dec 30 2013 10:37:39 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6302 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6302 5800 6700 CALL PUT -3.03 1,428,850 -10.21
## 6302 5900 6600 CALL PUT -1.76 1,297,250 -5.97
## 6302 6000 6500 CALL PUT -2.26 1,210,850 -7.71
## 6302 6100 6400 CALL CALL -1.82 -407,000 CALL -6.22
## ## 6200 6300 CALL CALL -1.83 -3,423,400 CALL -6.27
Set-2 NIFTY Overall Buy
## SPOT 6302 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6302 5800 6600 CALL PUT -2.68 1,324,600 -8.98
## 6302 5900 6500 CALL PUT -2.05 2,475,400 -6.79
## 6302 6000 6400 CALL CALL -2.36 -292,450 CALL -7.92
## 6302 6100 6300 CALL CALL -2.01 -3,361,550 CALL -6.74
## ## 6200 6200 CALL CALL -2.18 -4,726,000 CALL -7.33
Set-3 NIFTY Overall Buy
## SPOT 6302 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6302 5900 6700 CALL PUT -2.11 1,401,500 -7.19
## 6302 6000 6600 CALL PUT -1.97 32,700 -6.87
## 6302 6100 6500 CALL PUT -1.72 1,096,300 -5.97
## 6302 6200 6400 CALL CALL -1.64 -468,850 CALL -5.72
## ## 6300 6300 CALL CALL -1.48 -2,120,800 CALL -5.17
Set-4 NIFTY Overall Buy
## SPOT 6302 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6302 5900 6800 PUT PUT 11.07 182,600 PUT 59.75
## 6302 6000 6700 CALL PUT -2.32 136,950 -8.13
## 6302 6100 6600 CALL CALL -1.43 -81,850 CALL -5.07
## 6302 6200 6500 CALL PUT -1.54 1,034,450 -5.46
## ## 6300 6400 CALL PUT -1.29 833,750 -4.59 

 

Closed Position details

We took five trades and the initial ones were successful. Towards the end we were looking for larger range moves and those trades backfired. Option trading system was also behaving dynamically switching between puts and calls which was indicating a range-bound market.   We took our first monthly loss after a period of seven months. The overall profits from August 2013 stand at Rs.8522.50 on the initial investment of Rs.30000, a 28.4% return.

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
06-Dec-2013, 9:23 am 06-Dec-2013, 3:16 pm NIFTY CE 6500.00 26DEC2013 2 * 50(100) 48.40 52.2 4840 380 Nifty likely to scale new highs by afternoon. Closing comment: Though NIFTY went up till the last minute the magnitude was less. Position closed at 52.2
11-Dec-2013,10:51 am 12-Dec-2013,9:37 am NIFTY PE 6300.00 26DEC2013 1 * 50(50) 70.25 85.4 3512.5 757.5 Nifty likely to test 6265 levels and below. Closing comment: Nifty reached expected levels and target hit. Though high price of option at open was 109.70, it was not tradable. Position closed at target of 85.4
19-Dec-2013,10:09 am 20-Dec-2013,10:09 am NIFTY PE 6200.00 26DEC2013 1 * 50(50) 68.20 44.60 3410 -1180 Nifty likely to move towards 6135 and eventually to 6030 levels. Closing comment: Option premiums have started eroding due to range moves and system parameters IV and OI trend changed in the morning. Position closed
24-Dec-2013,12:53 pm 24-Dec-2013,3:20 pm NIFTY CE 6250.00 26DEC2013 2 * 50(100) 45.40 36.5 4540 -890 Nifty likely to move towards 6311 in late afternoon trade.Closing comment: The expected move did not happen. Position closed.
26-Dec-2013,1:54 pm 26-Dec-2013,3:08 pm NIFTY CE 6250.00 26DEC2013 1 * 50(50) 32.60 18 1630 -730 Nifty likely to move towards 6311 before expiry. Closing comments: The upmove happened only till 6302 levels and call value appreciated till 49 levels. But move did not sustain and position closed at SL price
Overall Profit/Loss Rs.-1662.5

 

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Nifty 27 Dec 2013

Friday, December 27th, 2013

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Nifty 26 Dec 2013 – Expiry Chart

Thursday, December 26th, 2013

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Nifty 24 Dec 2013

Tuesday, December 24th, 2013

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Nifty Dec 2013 Monthly Chart

Tuesday, December 24th, 2013

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Nifty 23 Dec 2013

Monday, December 23rd, 2013

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Weekly Update – Week ended 20th Dec 2013

Monday, December 23rd, 2013

TripleInt

On friday, NIFTY had a run up till the very end and closed the week at 6274 levels, a weekly gain of 1.72%.

Overall the bearishness that the system was showing turned into bullishness friday morning and we had to close the put position that was opened the previous day even before it hit the stop loss. It proved to be beneficial to limit the losses though we could not use the system input to take a call trade.

Over all on the weekly charts, there is still negative divergence seen and throughout this month, there had been a series of news based triggers and random openings in NIFTY largely due to that. We have entered the expiry week of trading and have three more sessions including today.

NIFTY is hovering around 6300 levels and system parameters are oscillating between put and call as far as IV and OI trend is concerned, more so indicating grinding of premium in both puts and calls at 6300 levels. Options buys become tough in such scenarios where volatility, time as well as price moves will shrink the premium.

We have to be in wait and watch mode to check if any big move is being indicated by the system going forward for this series.

Closed Position details

 

Date Open Date Closed Scrip Option Type Strike Expiry Num Lots * Lot size Entry Price Exit Price Total Investment Profit/Loss Comment
06-Dec-2013, 9:23 am 06-Dec-2013, 3:16 pm NIFTY CE 6500.00 26DEC2013 2 * 50(100) 48.40 52.2 4840 380 Nifty likely to scale new highs by afternoon. Closing comment: Though NIFTY went up till the last minute the magnitude was less. Position closed at 52.2
11-Dec-2013,10:51 am 12-Dec-2013,9:37 am NIFTY PE 6300.00 26DEC2013 1 * 50(50) 70.25 85.4 3512.5 757.5 Nifty likely to test 6265 levels and below. Closing comment: Nifty reached expected levels and target hit. Though high price of option at open was 109.70, it was not tradable. Position closed at target of 85.4
19-Dec-2013,10:09 am 20-Dec-2013,10:09 am NIFTY PE 6200.00 26DEC2013 1 * 50(50) 68.20 44.60 3410 -1180 Nifty likely to move towards 6135 and eventually to 6030 levels. Closing comment: Option premiums have started eroding due to range moves and system parameters IV and OI trend changed in the morning. Position closed
Overall Profit/Loss Rs.-42.5

 

System data as on 20th Dec market close

======== Underlying Index: NIFTY 6274.25  As on Dec 20 2013 15:30:37 IST =========

 

Set-1 NIFTY Overall Buy
## SPOT 6274 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6274 5800 6700 PUT CALL 34.86 -920,400 106.00
## 6274 5900 6600 PUT CALL 22.38 -276,000 85.67
## 6274 6000 6500 PUT PUT 20.11 627,900 PUT 93.39
## 6274 6100 6400 PUT CALL 16.09 -634,150 86.51
## ## 6200 6300 PUT CALL 4.37 -628,050 16.81
Set-2 NIFTY Overall Buy
## SPOT 6274 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6274 5800 6600 PUT PUT 30.71 154,650 PUT 110.18
## 6274 5900 6500 PUT PUT 19.06 1,467,250 PUT 85.70
## 6274 6000 6400 PUT PUT 18.53 820,650 PUT 94.24
## 6274 6100 6300 PUT CALL 5.88 -2,447,050 20.48
## ## 6200 6200 PUT CALL 3.94 -6,299,400 13.99
Set-3 NIFTY Overall Buy
## SPOT 6274 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6274 5900 6700 PUT CALL 26.53 -1,351,050 87.04
## 6274 6000 6600 PUT CALL 23.43 -1,115,350 93.16
## 6274 6100 6500 PUT CALL 17.67 -826,900 87.21
## 6274 6200 6400 PUT PUT 14.58 1,184,850 PUT 83.69
## ## 6300 6300 PUT PUT 4.80 5,043,300 PUT 19.88
Set-4 NIFTY Overall Buy
## SPOT 6274 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 6274 5900 6800 PUT CALL 30.05 -1,996,450 88.90
## 6274 6000 6700 PUT CALL 27.58 -2,190,400 94.57
## 6274 6100 6600 PUT CALL 20.99 -2,570,150 89.57
## 6274 6200 6500 PUT PUT 16.16 992,100 PUT 85.62
## ## 6300 6400 PUT PUT 15.01 6,856,200 PUT 90.61

 


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Nifty 20th Dec 2013

Monday, December 23rd, 2013

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