Optionalysis: Nifty Looks Poised For A Trend Change

4 comments Written on May 2nd, 2014 by
Categories: Premium

This is a Capital Mind Premium subscriber post, sent on 30 May 2014.

Be Careful. Option trading is largely focussed on the Nifty. The Nifty has suddenly turned volatile, from +75 points in the morning to about -30 points right now. There seems to be a break down in the short term, with the 6700 level a key support that is being tested. (In the hourly chart below)


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The man behind Capital Mind. Deepak is a co-founder at MarketVision, a financial knowledge company. Deepak also provides data research and consulting services, and now lives in Bangalore. Connect with him at deepakshenoy@gmail.com.

4 comments “Optionalysis: Nifty Looks Poised For A Trend Change”

Amazing pop in the VIX today. Either someone knows about some upcoming news over the weekend, or its just high interest, with potentially more to come in the days until the election results day. Would a straddle held over the last two weeks done well?

Two weeks ago, on April 17, a May 6800 straddle was at 314+266 = 580. Today it’s 283+211=495. So no, it would not have worked well :(

In fact from April 1 when the same straddle was around Rs. 500 (24% imp vols), it would still have been loss making. But hten, the Nifty hasn’t moved much. Which is the cause for it to have lost money!

Thanks for the numbers! I guess time decay trumped the imp vol effect in this case.

Yup, sadly. It goes to say time is a killer in options. IVs have nearly doubled :)