{"id":1973321,"date":"2014-04-12T12:43:10","date_gmt":"2014-04-12T07:13:10","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=1973321"},"modified":"2014-04-13T17:00:47","modified_gmt":"2014-04-13T11:30:47","slug":"forensics-nifty-options","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2014\/04\/12\/forensics-nifty-options\/","title":{"rendered":"Forensics: NIFTY Options"},"content":{"rendered":"<p>Charting options is a tough task. The price of the option is probably the last thing that is important. Implied volatility (IV), underlying volatility (\u03c3) and option greeks play a big part in putting on successful option trades. We ran a tool that we developed on ATM Nifty options that tries to capture most of these moving parts.<\/p>\n<p><a href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2013-01-31.CEi_.png\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1973331\" alt=\"2013-01-31 Nifty Call Analysis\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2013-01-31.CEi_.png\" width=\"715\" height=\"1536\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2013-01-31.CEi_.png 715w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2013-01-31.CEi_-139x300.png 139w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2013-01-31.CEi_-476x1024.png 476w\" sizes=\"auto, (max-width: 715px) 100vw, 715px\" \/><\/a><\/p>\n<p><strong>Observe<\/strong>:<\/p>\n<ul>\n<li>Theta (\u03b8) declines.<\/li>\n<li>Vega declines.<\/li>\n<li>Rho converges to zero.<\/li>\n<li>Call Delta is, on an average, around 0.54 (std. dev. of 0.075)<\/li>\n<li>Call IV has been stable and decreasing since January this year: (0.150260, 0.149456, 0.147249, 0.136280)<\/li>\n<\/ul>\n<p><a href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/Nifty-Call-Delta-and-IV.png\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1973361\" alt=\"Nifty Call Delta and IV\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/Nifty-Call-Delta-and-IV.png\" width=\"822\" height=\"452\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/Nifty-Call-Delta-and-IV.png 822w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/Nifty-Call-Delta-and-IV-300x164.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/Nifty-Call-Delta-and-IV-500x274.png 500w\" sizes=\"auto, (max-width: 822px) 100vw, 822px\" \/><\/a><\/p>\n<p><a href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/Nifty-Put-Delta-and-IV.png\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1973371\" alt=\"Nifty Put Delta and IV\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/Nifty-Put-Delta-and-IV.png\" width=\"822\" height=\"453\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/Nifty-Put-Delta-and-IV.png 822w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/Nifty-Put-Delta-and-IV-300x165.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/Nifty-Put-Delta-and-IV-500x275.png 500w\" sizes=\"auto, (max-width: 822px) 100vw, 822px\" \/><\/a><\/p>\n<h3>March 2014 charts<\/h3>\n<p><strong>Calls<\/strong><br \/>\n<a href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.CE_.png\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1973341\" alt=\"2014-03-27.CE\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.CE_.png\" width=\"1024\" height=\"2200\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.CE_.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.CE_-139x300.png 139w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.CE_-476x1024.png 476w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.CE_-900x1933.png 900w\" sizes=\"auto, (max-width: 1024px) 100vw, 1024px\" \/><\/a><\/p>\n<p><strong>Puts<\/strong><br \/>\n<a href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.PE_.png\"><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-1973351\" alt=\"2014-03-27.PE\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.PE_.png\" width=\"1024\" height=\"2200\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.PE_.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.PE_-139x300.png 139w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.PE_-476x1024.png 476w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/2014-03-27.PE_-900x1933.png 900w\" sizes=\"auto, (max-width: 1024px) 100vw, 1024px\" \/><\/a><\/p>\n<p>Pictures say a thousand words, don&#8217;t they? Stay tuned for more.<\/p>\n<h6 class=\"zemanta-related-title\" style=\"font-size: 1em\">Related articles<\/h6>\n<ul class=\"zemanta-article-ul\">\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/index.php\/2014\/01\/20\/nifty-gap-analysis\/\">Nifty Gap Analysis<\/a> (stockviz.biz)<\/li>\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/index.php\/2012\/07\/11\/ipos-are-they-worth-it\/\">IPOs &#8211; Are they Worth It?<\/a> (stockviz.biz)<\/li>\n<\/ul>\n<div class=\"zemanta-pixie\" style=\"margin-top: 10px;height: 15px\"><img decoding=\"async\" class=\"zemanta-pixie-img\" style=\"border: none;float: right\" alt=\"\" src=\"http:\/\/img.zemanta.com\/pixy.gif?x-id=1f29b4e0-4424-4151-8567-b637f9bb2e40\" \/><\/div>\n","protected":false},"excerpt":{"rendered":"<p>Charting options is a tough task. The price of the option is probably the last thing that is important. Implied volatility (IV), underlying volatility (\u03c3) and option greeks play a big part in putting on successful option trades. We ran a tool that we developed on ATM Nifty options that tries to capture most of &hellip; <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[9],"tags":[3361,1200],"class_list":["post-1973321","post","type-post","status-publish","format-standard","hentry","category-your-money","tag-forensics","tag-options","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1973321","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=1973321"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1973321\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=1973321"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=1973321"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=1973321"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}