Quantitative Approach To BankNIFTY Options

This section has three parts.

A Systematic Approach On Option Buy With 10,000 INR

We have already discussed the first part. If you’re new read it

Second: The Straddle Model

Before we discuss about the perfect intraday option selling strategy, We need to talk about theta once more.

Theta will have the highest impact on the ATM strike prices because ATM strike prices are the riskiest and will have a high premium with it. So because of vega, their premiums will be inflated which can be eaten with Theta.

So, the strategy is to sell ATM Straddle at the time of 9:20 and with a stop loss of 20% per leg.

In case of a trending day, our one leg will hit SL and other leg will run and cover the loss and the strategy will end in profit.
In case of sideways day, it will be in tremendous profit.
Loss happens when there is zigzag!
Also total points is a dynamic thing. It is hard to define % wise. ATM straddle’s premium of current market and past market is different

Due to recent volatility, brokers keep changing the auto square off time. So we have chosen the exit price at 14:50

Like the previous strategy of options buy, We just discussed here, We did near 1200 possible combinations of backtest using python and ended up with two cases of exit time.

Type I is 14:50

Type II is 15:15

As discussed, Type II is more profitable than Type I. I will also share the python code and How-tos on Alice Webinar. (Unless I make paid course later on APIs as suggested on polls)

https://docs.google.com/spreadsheets/d/18A5gUXY3tWasfsQyfryhuj5HhoazOZS99HAnDElTcnQ/edit?usp=sharing

Type I and Type II has very less difference.

The story of reduction

Its about the knowledge of the fact that brokerage and other charges are huge shit.

Well, 90% of unofficed are on alice and no brokerage

Other charges make it near 100 INR per touch.

365 days

36500 INR.

Add slippage issue of same amount

So 73000.

Deduct that from net profit to get realistic figure.