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Friends ,

I was just studying my Monthly Iron condor strategy for the past months and i came up with some observation .

i found that when VIX is very low it is difficult to find good premium for IC at far away strikes .

1/1
I collected INDIA VIX Data for last 21 Months , I calculated Nifty Range based on VIX and compared it with actual Nifty Moves .

Out of 21 Months Nifty Actual move breached Vix Calculated move by 7 times that to only by 2-3% higher or lower.

see the data -
That means most of the Time Nifty follows Vix calculated move . Just take 2-3 % margin of safety.

How to calculate Nifty Move From VIX ( Formula taken from Youtube videos ) -

See Below
I feels its useful so shared . I hope you all likes it . If any mistakes please make me aware , i am open to discussion , i am still learner. Thank You.
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Keep Current with JK🇮🇳

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JK🇮🇳
@PAlearner
Here is Thread on Bank Nifty : -
Total last 13 years of data Captured -
Note - Bank Nifty Far OTM options are very illiquid during month starting , ensure proper liquidity before entering trade . only 500 points away strikes are liquid.

Banknifty is very volatile than nifty
Starting with Bank Nifty Monthly data - see below pic - Data collected for past 151 month . focus on light blue area . As per data 90% of the time Nifty closed within +-15 % range from spot .
90% of the time it has not crossed 15% on higher side and also on lower side from spot Image
That Means if we sell options beyond 15% with hedge we can easily earn some profit every month .
See below pic - for strategy Image
Read 19 tweets
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JK🇮🇳
@PAlearner
Here is data for Pre-Expiry trade . That is Wednesday to Thursday.

This data is important because if nifty opened Flat OTM as well as ATM option premium melts 35-40% in the opening it self . Far OTM premiums will get zero in the opening .

Data Analysed for 623 weeks .
623 Weeks is 12 years data .

Again focus on light blue area . I am considering +& -0.5% gap up or gap down as flat opening as per my previous experience. it may vary person to person.

why this data is important . see next .
As per data Nifty opened flat 81% of time . That meant 81% of time premium erode 40% in the opening itself .

If we develop option strategy which can handle 1-2% gap easily , then we can mint some money here in every expiry .

Here also big RISK is GAP UP or GAP DOWN beyond 2%
Read 8 tweets
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JK🇮🇳
@PAlearner
As promised last week .

Here I am starting tread on data driven trading . That means we will trade Based on past data .

I captured Nifty's 13 Years of the data for this study .

We will assume whatever has happened in past will also happen in future .

here we go -
Starting with Nifty Monthly data -

see below pic - Data collected for past 153 months . focus on light blue area . As per data 90% of the time Nifty closed within +-10% range from spot . Also 90% of the time it has not crossed 10% from spot . Image
That Means if we sell options beyond 10% with hedge we can easily earn some profit every month .

See below pic - for strategy Image
Read 13 tweets

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