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Ripu Singla Profile picture
Ripu Singla
@ripusingla
Over a decade in Machine Learning and large scale cloud infrastructure, IIT Kanpur, Full time Algo Trader, Founder Niuhi Quantitative Research, NISM-8 Certified
Aug 25, 2022 • 10 tweets • 6 min read
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
Dec 27, 2021 • 9 tweets • 4 min read
@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
Dec 8, 2021 • 23 tweets • 5 min read
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