Hello ,
Am interested in pursuing short straddle on a monthly basis.
Assuming Rs.130 for Nifty 8500 PE and Rs.130 for Nift 8500 CE on Day 1.
CE+PE bought at Rs.260.
1 lot short required Rs.37,000 margin so for 1 lot CE + 1 lot PE = approx 75,000
For sum-price falling to 230 the Rs.30 diff x 75 = 2250 on 75,000 blocked is 3%. Sufficient.
Target is 3-4% only.
Have a few questions ?
1. Please tell how much is the apporixmate time decay per day
in phases probabaly Day 1 to Day 5 , 5 to 10 , 10 t 15 , 15 to 20 , 20 to 25 and Day 25 to 30 (Calendar Days).
Was trying(unsuccefully) to draw an exponential curve in excel.
Assuming 25 January to be Day 1 and 25 Feb to be Day 30 for feb month contracts.
Always interested in immediate month (not next month)
Or is it smarter to do next month.
2. Which would be a better time to do this.
Day 1 to Day 10 - Slower Time Decay but higher price realized , leading to more safety
Day 10 to Day 20 - Rapid Time Decay but lower price realized , leading to less safety
Remeber target is 3-4% only. Experience/feedback would help.
3. Monitoring volatility - it usually ranges around 14 - India VIX - but cant wait for it to change and loose trade oppurtunities.
Or is it essential and imporatnt.
4. Mangaing / Exiting -
Advise required regarding this. Intending to hold for 7-9 caledar days.
Hoping it remains within range eventually , despite swings.
Statistically wondering , if it is profitable enough to stay in the trade for a few days to get the return.
260/8500 is 3% - so staying within 3% range foe 7-9 days , hence no loss.
5. Comparing with strangles , straddle seem better considering that the amount recieved is higher and time value decreases faster.
I am direction neutral always. Looking to only profit from the fact that time goes forward and decay is certain.
Comparing to safer Spreads , this seemed better , cause ATM loses time value faster than OTM options.
Am interested in pursuing short straddle on a monthly basis.
Assuming Rs.130 for Nifty 8500 PE and Rs.130 for Nift 8500 CE on Day 1.
CE+PE bought at Rs.260.
1 lot short required Rs.37,000 margin so for 1 lot CE + 1 lot PE = approx 75,000
For sum-price falling to 230 the Rs.30 diff x 75 = 2250 on 75,000 blocked is 3%. Sufficient.
Target is 3-4% only.
Have a few questions ?
1. Please tell how much is the apporixmate time decay per day
in phases probabaly Day 1 to Day 5 , 5 to 10 , 10 t 15 , 15 to 20 , 20 to 25 and Day 25 to 30 (Calendar Days).
Was trying(unsuccefully) to draw an exponential curve in excel.
Assuming 25 January to be Day 1 and 25 Feb to be Day 30 for feb month contracts.
Always interested in immediate month (not next month)
Or is it smarter to do next month.
2. Which would be a better time to do this.
Day 1 to Day 10 - Slower Time Decay but higher price realized , leading to more safety
Day 10 to Day 20 - Rapid Time Decay but lower price realized , leading to less safety
Remeber target is 3-4% only. Experience/feedback would help.
3. Monitoring volatility - it usually ranges around 14 - India VIX - but cant wait for it to change and loose trade oppurtunities.
Or is it essential and imporatnt.
4. Mangaing / Exiting -
Advise required regarding this. Intending to hold for 7-9 caledar days.
Hoping it remains within range eventually , despite swings.
Statistically wondering , if it is profitable enough to stay in the trade for a few days to get the return.
260/8500 is 3% - so staying within 3% range foe 7-9 days , hence no loss.
5. Comparing with strangles , straddle seem better considering that the amount recieved is higher and time value decreases faster.
I am direction neutral always. Looking to only profit from the fact that time goes forward and decay is certain.
Comparing to safer Spreads , this seemed better , cause ATM loses time value faster than OTM options.
Short Straddle - Advise / Best Way to do
Aucun commentaire:
Enregistrer un commentaire