My previous b'day which fell on expiry day was in 2010. On that day Nifty straddle opened at 45. Day range of nifty was around 30pts :)

(High 5415, Low 5380)

At that time:

•Didn't know the word Straddle though i used to trade them regularly
•Greeks existence wasn't known

THREAD ON IRONFLY

These days the most preferred strategy for option sellers due to improved margins is IRONFLY. It's essentially a short straddle with long strangle. Long strangle acting as 'WINGS', which help in capping the unlimited risk associated with a short straddle.(1/n)

You can also view the position as a combination of Cal & Put credit spreads, if that makes it more easy for you.

There are 3 important things to understand while trading this strategy:

1) Initial size of the Wings
2) Risk Management
3) Adjustments

(2/n)

Since we are selling an ATM straddle, the 1st question is how far our wings should be? Ideally i sell .50 delta straddle & buy .20 or .10 OTM strangle, depending on my view on volatility. So the distance of wings depends on the IV setup. Higher the IVs, greater the distance.(3/n)

If you don't understand greeks, then ideally with 30 days to expiry (dte), wings should be around 300pts either side. If your trading in weekly then it should be not more than 200pts. Higher the premiums, higher the distance as we have more cushion of theta. (4/n)

It is important to understand that we need to reduce the distance of wings with time so as to manage our RISK in gap openings or sudden volatile move. So for eg. if you started with 300pt wings with 30dte, the wings wouldn't give the same protection when there is 7dte. (5/n)

A THREAD

Topic: Why triple straddle has no real benefit.

A triple straddle is essentially an ATM Straddle & one or two step away straddle on either side. The position is almost neutral strategy just like any other neutral straddle or strangle.

1/

We can also view the position as an ATM straddle, a strangle & inverted strangle.

For example

Nifty: 14700

Triple straddle: 14600,14700,14800

Another view:

14700 straddle
14800-14600: strangle
14600-14800: Inverted strangle

2/

So the real question is what is the advantage of an inverted strangle over it's otm counterpart?

The answer is none.

They both have same premiums/theta. Only that slippages will be high in inverted strangle when we do the required adjustments plus liquidity issue.

3/

So isn't it better that instead of a triple straddle, we can just do ATM Straddle & 2* OTM strangle.

So in the above eg. the position will be

14700 ATM straddle
2* 14800-14600 otm strangle.

Same premium received, similar range just that there's no nuisance of ITM options.

4/

The question arises:

Why trade in an ATM straddle & 2* OTM Strangles? Why over-complicate?

Options are in itself a complicated instrument. Wouldn't it be better to stick to one straddle or a strangle & adjust accordingly?

Lesser the strikes, more there will be clarity.

5/

Understanding HIGH & LOW VIX

VIX at 16: If you check today's IV behaviour, they were not spiking much even with decent delta move in BNF. The movement was subtle, giving some time to adjust. So someone having good adjustment mechanism can stay in the game longer.

1/

VIX at 20: The same delta move will be more fierce, coupled with rise in premiums. When premiums rise with movement, then the adjustment cost increases exponentially. The premiums can fall back at EOD, but the damage is done if caught in the spike.

2/

After talking to few traders, their backtest result was in favor of high VIX of 2020, rather than 2017-19. The key flaw in the backtest were the adjustments which are not easy to calculate. Combination of high theta & fixed SL during high VIX, the IV crush is cashed at EOD.

3/

Neutral option sellers who don't adjust & have fixed SL on a static straddle will not be able to benefit highly in low VIX. The straddle which moves away from ATM will increase no matter what. But if we keep on rolling our strikes, then we get good realisation of theta.

4/

I have made majority of my profits in option selling when VIX was at 13-15, mostly just relying on my adjustments. Since 2020 with high VIX, adjustments stopped working because of increase in the frequency of delta + IV spike combos & so had to shift to directional trading.

5/

RISHI PINGALA:THE ANCIENT INDIAN SAGE DISCREDITED FOR HIS MAJOR CONTRIBUTIONS TO MATHEMATICS & PHI

Have you ever heard about,"The Golden Ratio"?
The Golden Ratio or Phi(Greek) is a mathematical ratio of nature. Mother Nature is the most exquisite artist in herself.

&Its this Phi she uses to create all the beauty in World.
If anyone uses this ratio correctly in their art,it can turn into a spell-binding piece of work.Such is the significance of'Phi'.But my thread isn't about it.Its about somethin called'Fibonacci Series'&who actually made it

Phi is related to Fibonacci series(0,1,1,2,3,5,8,13,21,34...)
&this series is responsible for everything dat is beautiful on this planet. Just try to calculate the ratio of any 2 successive numbers ÷ each of them by the number before it in above infinite series.

E.g. 3/2=1.5, 5/3=1.666, 8/5=1.6, 34/21=1.61904 and so on. Did you notice something? The ratio is coming almost same every time. This ratio is called 'Phi 'which is numerically represented as 1:1.618. This Golden Spiral is made in exact proportion of 1:1.618.

The thing I want to emphasize here is that we always find only those things appealing and attractive that have Phi. It's in our subconscious. Isn't it some revelation? We are the part of this Divine proportion of the God or the Mother Nature. Check these:

RANI GAIDINLIU:THE LESSER KNOWN FREEDOM FIGHTER

Rani Gaidinliu joined the freedom struggle at 13 &was sentenced to life imprisonment at 16."We r free people—the White should not rule over us.”Thus calling out to her Zeliangrong tribesmen was the voice of 13yr-old Rani Gaidinliu.

She joined the freedom struggle in the present-day Northeast India. Today, her struggle is lost in history as most of her countrymen wouldn’t even have heard her name. B'coz our history textbooks tell us that only Mahatma Gandhi &Pandit Nehru got India its Independence.

At 16 yrs of age, this valiant girl was sentenced to life imprisonment for leading a movement to drive out the colonial rulers from Manipur and Nagaland. Nevertheless, she was released in 1947 after India’s independence and was given the title ,"Rani of Nagas".

EARLY LIFE AND HERAKA MOVEMENT

Gaidinliu belonged to the Rongmei clan of the Zeliangrong tribe in the Tamenglong district of western Manipur. Born on January 26, 1915, she was fifth among eight children.

Her native village was Nungkao, which is present day Tamenglong distt. Brought up in a specially backward region,she couldn't receive any formal education. However,this didn't stop her from joining the freedom struggle. At the age of 10 she came under the influence of her cousin.

'Treasure Gods' - Sangha Nidhi' and 'Padma Nidhi', Tirumala, Tirupati.

------------------------------------

These are the two guards guarding the Wealth and Treasure of Lord Sri Venkateswara.

They are representatives of two treasures of Kubera, the God of Wealth.

One guard who is holding shangam (conch) on both the hands is known as Shanka Nidhi ('nidhi' means wealth).

On the other side, the guard who is holding Lotus flowers on both the hands is known as Padma nidhi.

Shangu is from the ocean which includes all types of wealth like pearls and corals.

Why shagam in his hand? Because shangam only gives the sound of 'omkaram'.

'Padmam' is the symbol of water sources in land like river, lakes, tanks etc. which is very important for all living beings.

As per the tradition, these guards are installed at the third entrance of the temple.

One enters the holy shrine after saluting the first protection threshold - Sankha Nidhi and Padma Nidhi.

10 must-read books to transform your workday and boost productivity:

1. Atomic Habits

2. The Power of Habit

3. Deep Work

4. Essentialism

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