Raghunath Profile picture
Markets, NSE, Futures and Options. Creator, Opstra Options Analytics. For Opstra related queries write to opstra@definedge.com
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Apr 12, 2023 18 tweets 3 min read
Over several years of reading books and articles, I have gathered several facts related to options that you may or may not be aware of.

In this thread, I will write about Options Trivia - history, events, movies, trading, etc

Let's roll the 🧵 Trivia 1:

The first recorded instance of an options-like transaction took place around 600 BC (2600 years ago) in ancient Greece and involves Thales of Miletus, a philosopher, and mathematician.

This was recorded by Aristotle in his work 'Politics'
Jul 21, 2021 6 tweets 2 min read
I keep getting asked about what books to read to learn about Options. My compilation

Beginners Options Books:

1) The Bible of Options Strategies - Guy Cohen
2) The Financial Times Guide to Options - Lenny Jordan
3) Simple Options Trading Formulas - Billy Williams Books on Options Greeks:

1) Trading Options Greeks - Dan Passarelli
2) How to Calculate Options Prices & their Greeks - Pierino Ursone
Jun 25, 2020 9 tweets 2 min read
Some new options traders see the options pay-off at expiry & take a trade & then get frustrated to see negative MTM despite being in profit zone as per the pay-off chart.

This thread is to clear such misconceptions and talk about t+0 line and what is its significance In most options software, including opstra, when you place an options strategy, for example, a short straddle, you get a pay-off chart comprising of two parts

The pay-off at Expiry (Green& red chart) and t+0 line (blue dotted line).

See the short straddle example chart here.
Jun 5, 2020 6 tweets 1 min read
Got few queries as to when to do Debit Spreads vs Credit Spreads for directional plays.

A 'Debit Spread' involves buying a near-the-money (NTM) option and selling an out-of-the-money (OTM) option, in effect paying more for buying the long option than you get the credit for selling a short option, hence the name Debit Spread.
May 25, 2020 16 tweets 4 min read
In the last tweet thread, we talked about Options Greek Gamma. In this tweet thread, we will talk about an important Options Greek 'Theta' denoted by (Θ)

An option's value is comprised of two components – intrinsic value &extrinsic value (also called time value). As time passes, the time value portion of the option gradually depreciates until expiry and at expiration the option value worth is exactly equal to the intrinsic value.
May 15, 2020 26 tweets 18 min read
@Singhvi7Hitesh @nitinmurarkasmc @Nigel__DSouza Made your life easy :)

opstra.definedge.com/fiidii/derivat… Image FIIs added more shorts and Retail went more long

18th May 2019 Image
May 11, 2020 22 tweets 5 min read
In the last tweet thread, we talked about Option Greek Delta. In this thread, we will talk about Option Greek Gamma which is closely related to Delta (∆). When underlying price moves with respect to a particular option strike, that particular option strike becomes either in-the-money or out-of-the-money and thus changing the Delta of the option. This change in Delta can be explained by Option Greek ‘Gamma’.
May 3, 2020 20 tweets 5 min read
Delta (denoted as ∆) is the Options Greek that tells us the sensitivity of options price in response to the rate of change in the underlying. More specifically, delta tells us about the options expected price change relative to a one-point change in the underlying.

#delta For example, a delta of 50% means, for every one-point change in the underlying, the options price changes by 0.5 points and similarly, a delta of 25% means a 0.25-point change in options price for every 1-point move in the underlying.
Mar 18, 2020 10 tweets 3 min read
Got hold of a report from Italian Epidemiology Institute EPICENTRO on Corona Virus patients and death.

I will summarize the findings in the thread, so you can understand who is at risk. As of March 17th, 2003 patients died of covid-19 in Italy.

The median age of covid-19 patients who reported with symptoms is 63 years.

The median age of covid-19 patients who have die of it is 80.5 years

30% of the deceased are women patients. So high death rate among men.
Jan 10, 2020 11 tweets 2 min read
In this thread, I will talk about common options strategies and their advantages and disadvantages in the context of the Indian market.

I will keep adding to the thread over time. If the trader has a view that the market is sideways, the most commonly employed options strategies are Short Strangle, Short Straddle, Iron Condor and Iron Butterly Strategies which are delta-neutral strategies. All these are net credit strategies but require high margins.
May 9, 2019 12 tweets 10 min read
In this thread, I will post some interesting Options Backtesting results that have worked previously. Results are for last 1 year starting from 2018 on EOD options data.

#optionsbacktesting #opstra Options Backtesting Results for Post Earnings in #SBIN. Entered Short Strangle/Straddle one day after earnings results are out and held till expiry.

Last 5 quarters

Short Strangle - 100% winrate , 30% returns
Short Straddle - 80% winrate, 46% returns

opstra.definedge.com/backtesting