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Subhadip Nandy
@SubhadipNandy16 4 years, 6 months ago 1024 views

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Ok here is the explanation. Grab a cup of coffee and read on. If you have not read/noticed this, you will see intraday options movement in a new light.

In a high IV environment or when the market is very volatile
" OTM options will behave like ATM options", one will get almost the same delta movement
— Subhadip Nandy (@SubhadipNandy16) January 21, 2022

Say we have two options, one 50 delta ATM options and another 30 delta OTM option. Normally for a 100 point move, the ATM option will move 50 points and the OTM option will move 30 points. But in a high volatile environment, the OTM option will also move nearly 50 points

To understand why this happens, first understand why an ATM option is 50 delta. An ATM option has the probability of 50% of expiring as ITM. The price just has to close a rupee above the strike for the CE to be ITM and vice versa for PEs

Now think of a highly volatile day like today. If someone is asked where the BNF will close for the day or expiry, no one can answer. BNF can close freakin anywhere, That makes every option of an equal probability of being ITM. So all options have a 50% probability of being ITM

Hence, when a huge volatile move starts, all OTM options behave like ATM options. This phenomenon was first observed in the Black Monday crash of 1987 at Wall Street, which also gave rise to the volatility skew/smirk

Someone asked me over DM what I will teach in the extra module of advanced greeks or it's nuances. This is just one of the things I will teach. Some things I will teach on LIVE markets. Course details here if you are interested, videos are already online :
https://t.co/3X8lCYDetq

BTW, what I have noticed is that this OTM moving like ATM happens till 25/30 delta options and not beyond.

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This friend had trouble making money in options though he was directionally right. Let us see how a basic understanding of greeks would have helped him, This thread will be about two attributes of option pricing, extrinsic value and theta

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Showing one example on how we see VolXplosion.
iBulHSgFin came under VolXplosion on 24th Feb, Check the price charts and the OI analysis. Price blasted today after OI buildup of two days.
Self explanatory

A single day long or short buildup can flutter to deceive. Analyse minimum 2 days to 5 days

SBI is now on watchlist
( disclaimer : already long today)

I am seeing many users using the VolXplosion as a daytrading concept. It does work , but the main juice is on positional plays. You will be much better off if you take this trades from a positional standpoint

The Decoding Volume & OI course is not just about VolXplosion. Analysing OI correctly gives you a lot of other trades.
DrReddy : OI buildup within range. We have discussed this in the video. Move seems to have started today

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@SubhadipNandy16

Two year back thread on MFI, someone liked this so came up in notifications . Rather than running around 100s of indicators, I have made this my go to indicator under any circumstances and have been using this for years

What do you think/use as the most robust leading indicator if following technical analysis ? Please answer with reason , I will provide my answer after 2 hours
( At Delhi airport , bored as hell )
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This thread actually had some great answers , one can learn a lot about the thought processes of different traders from the answers. Please go thru them

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The most common problem faced by day-traders and it's easy solution which is extremely difficult to implement.
A thread.
( uses concepts I have discussed many times before in separate threads)

Problem : I have a good system, I understand charts and/or price action, but I simply can't make money. I hold my losses too long or ( this is most common) I get out of profitable positions too fast and cannot sit for the whole move

At many firms at NASDAQ, day-traders are seen as elite sportspersons playing in a difficult taxing game. That's why, they have regular sessions with sports psychologists. They are advised to follow the basic routine of sportspersons.
Train ---- Play tournaments --- Rest

The cycle repeats

We retail day-traders here neither rest nor train.

Rest = taking time off markets
Train = trading in markets in training mode

Understanding REST is easy, simply take time off markets and spend time with family or do something you love

Subhadip Nandy
@SubhadipNandy16

Trend Ratio suggests major long positions has been built into Nifty and BNF over the weekend. If tomorrow we trade above the upper levels, stay bullish. Break of the Balance levels will mean these longs are trapped and can lead to fast downsides

Will not be in markets tomorrow due to some personal work, hence posted this today.

Nifty short covering on Friday given the strong move in Nifty fut is obvious. But what's interesting is the huge short covering on BNF with only 0.5% upmove in price. Morning should be bullish, then watch out how the OI behaves

Lastly, all the calculations for Upper/Lower/Balance/Trend Ratio are my own development and I won't share the formula or process. So request stop asking me about those. Thanks.

Working on two quantitative logic to analyze intraday trend and volatility. Nifty fut and BN fut charts attached.
Intraday Trend :: Blue = Uptrend , Red = Downtrend , Yellow = No Trend

Intraday Volatility :: Red = Volatile , Yellow = Normal , Gray =Quiet

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