TripleInt's Option Trading System

TripleInt's Option Trading System is based on solid research into the studying of option prices, volatility, open interest pertaining to the Indian derivatives markets.

The implied volatility skew and the open interest skew are compared over discreet sets of strike prices and a band is arrived at with the current spot price as the centre.

This gives an overall indication on the current bias either towards call or put, based on actual facts, based on the actual price, volatility, open interest data.

The above details give the direction of market under majority of the situations. When the skew is favouring calls to a great extent, it indicates that a bullish move is expected to follow. When the skew is favoring puts to a great extent, it indicates that a bearish move is expected to follow. When the skew is neutral, it indicates range bound markets or non-trending markets. The larger is the %skew, the greater is the chance of markets to move in that direction. The skew anamoly is monitored based on interest rates which gives the threshold to fire a TRADENOW signal in a particular direction

This data is taken into consideration, along with TripleInt's propreitary technical indicators which account for the volume traded and correspondingly attribute it towards the market direction.

The next is the study of the technical charts, looking for psychological indicators of bull or bear trap, both in the intraday and end of the day chart patterns.

The overall trade generation is based on a combination of the above three different systems which are not related to one another and so when a trade signal is obtained, the probability of success increases significantly.

Sample data generated by TripleInt's Option Trading System

======== Underlying Index: NIFTY 5326.00  As on Aug 10 2012 15:30:52 IST =========
Set-1 NIFTY Overall Buy
## SPOT 5326 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 5326 48005700 CALL CALL -26.06 -2,405,750 CALL -101.70
## 5326 49005600 CALL CALL -22.24 -589,450 CALL -94.48
## 5326 50005500 CALL CALL -19.44 -2,125,900 CALL -88.95
## 5326 51005400 CALL CALL -5.08 -1,268,050 CALL -18.14
## ## 52005300 CALL CALL -3.75 -7,084,350 CALL -13.24
Set-2 NIFTY Overall Buy
## SPOT 5326 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 5326 48005600 CALL CALL -24.63 -411,350 CALL -98.77
## 5326 49005500 CALL PUT -21.74 3,250,700 -93.25
## 5326 50005400 CALL CALL -19.72 -4,826,200 CALL -89.17
## 5326 51005300 CALL CALL -5.67 -8,672,850 CALL -19.79
## ## 52005200 CALL CALL -4.74 -8,893,900 CALL -16.41
Set-3 NIFTY Overall Buy
## SPOT 5326 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 5326 49005700 CALL CALL -23.67 -2,583,850 CALL -98.01
## 5326 50005600 CALL CALL -19.94 -5,966,050 CALL -90.42
## 5326 51005500 CALL PUT -4.80 1,432,250 -17.40
## 5326 52005400 CALL PUT -3.16 320,450 -11.41
## ## 53005300 CALL CALL -2.76 -5,274,800 CALL -9.94
Set-4 NIFTY Overall Buy
## SPOT 5326 Puts Calls IV Skew OI Skew IV Skew OI Skew Overall IV Skew%
## 5326 49005800 CALL CALL -21.60 -3,928,550 CALL -87.05
## 5326 50005700 CALL CALL -21.37 -7,960,450 CALL -94.61
## 5326 51005600 CALL CALL -5.30 -2,407,900 CALL -18.99
## 5326 52005500 CALL PUT -2.88 3,020,750 -10.56
## ## 53005400 CALL PUT -2.17 2,130,000 -7.99


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