Ripu Singla Profile picture
Aug 25, 2022 10 tweets 6 min read Read on X
so I have been following @SarangSood tweets around closing premiums of #banknifty straddles and was wondering, did the premiums reflect changes in margin requirement around Q2/Q3 2020?
it seems they did, here is a #THREAD #algotrading
For this, we essentially look at the future price at 9.20 am and fetch premiums for 1st OTM call and put. since lotsize has changed over time, we would like to adjust the combined premium as per today’s lotsize (25) so that there is only one moving part which is margin-required
combined_premium_adj = (combined_prem * lotsize at the time) / 25
ok, so quarter wise box plot looks nice and it does contains a lot of information, but something simple needs to be done.
line charts are great but a bit noisy,
let's take a 12 week rolling median
pretty neat !!
y-scale seems to be creating a bit of hindrance. let’s breakup the chart by each dte.
notice the shift in premiums around Q2/Q3 2020 which happens to be also the starting phase of change in margin requirements.
and here is our favourite expiry day chart
average of second regime is roughly 2x of first regime for all the charts
Lot of people may also attribute these data points to vix which peaked in Mar 2020 but then vix has gone through its ups and downs in last 2 years, so it’s up to you how you want to interpret the data.
Combined Theta for OTM 1 strangle
Looking at theta is probably going to show the same picture as option premium over long time
For this, we essentially look at the future price at 9.20 am and fetch theta values for 1st OTM call and put.
Also since lotsize has changed over time, we would like to adjust the combined theta as per today’s lotsize (25) so that there is only one moving part which is margin requirement.
combined_theta_adj = (combined_theta * lotsize at the time) / 25
and finally expiry day theta chart
I think, all charts are essentially showing a regime change post 2020 Q2 and I don’t think the second regime is entirely due to high vix during 2020. It seems to be compensating for higher margin requirements
if you read this far, here is the blog article with more charts and details about the analysis
medium.com/@niuhi/option-…

• • •

Missing some Tweet in this thread? You can try to force a refresh
 

Keep Current with Ripu Singla

Ripu Singla Profile picture

Stay in touch and get notified when new unrolls are available from this author!

Read all threads

This Thread may be Removed Anytime!

PDF

Twitter may remove this content at anytime! Save it as PDF for later use!

Try unrolling a thread yourself!

how to unroll video
  1. Follow @ThreadReaderApp to mention us!

  2. From a Twitter thread mention us with a keyword "unroll"
@threadreaderapp unroll

Practice here first or read more on our help page!

More from @ripusingla

Dec 27, 2021
@deepakshenoy I had seen this 2-3 years back, was always curious to do my own data check on this. Obvious question is: how would the data change if instead of open/close we take close values at 15:25 and 9.20 and use nifty future prices instead of spot. here are some results:
Let's start with data. we pull 5 minute Future (current month) data from 2013 to Dec 2021 Image
Then we extract open candle (9:15 to 9:20) and closing candle (15:20 to 15:25) for each day. Note that timestamps are labelled as start of the minute. Image
Read 9 tweets
Dec 8, 2021
Long thread on execution / slippage in option selling
we sent around 60,000 orders (weekly index option selling algos) from May 2021 to Nov 2021
Average lots per order is about 2.27
All traders (discretionary or algo based) would experience some amount of slippages in their execution. These slippages are mostly due to two reasons
Read 23 tweets

Did Thread Reader help you today?

Support us! We are indie developers!


This site is made by just two indie developers on a laptop doing marketing, support and development! Read more about the story.

Become a Premium Member ($3/month or $30/year) and get exclusive features!

Become Premium

Don't want to be a Premium member but still want to support us?

Make a small donation by buying us coffee ($5) or help with server cost ($10)

Donate via Paypal

Or Donate anonymously using crypto!

Ethereum

0xfe58350B80634f60Fa6Dc149a72b4DFbc17D341E copy

Bitcoin

3ATGMxNzCUFzxpMCHL5sWSt4DVtS8UqXpi copy

Thank you for your support!

Follow Us!

:(