Training on Futures & Options

BlackSwan intends to conduct a training program on F&O during NOV 5-7,2011 and repeat the same course on NOV 19-21,2011.

1. Signals from F&O by Devangshu Datta my favorite analyst here.
2. Measuring Volatility here.
3. Another good piece by Devangshu Datta.
4. Conquering Volatility
5. Article on F&O strategies as a template for analyzing market movement.

Infact, a collection of his articles in Smart Investor of Business Standard every Tuesday will make one a well informed trader or investor in Derivatives.

NEW & Refined FUTURES & OPTIONS Training JAN 8 - 9 , 2011

Futures & Options Made Easy (FOME 2011) is improved & refined in 2011 with lot of new additions very useful for students, traders and any one interested in the Derivatives Markets.

1. Option analysis software is being provided free .
2. Complete analysis of 22 option strategies of NSE OTS Module.
3. Lot of Examples are added to the course presentation
4. Complete market microstructure and market design is integrated.
5. Special topics on VOLATILITY and Statistical Concepts.
6. Real world trading approach and demonstration of trading and analysis software tools .
7. Sessions on Trading psychology & riskmanagement

Short cut to approximating IV,HV

Some of the benefits of sharing market information is the trainer achieves more clarity on specific concepts.

1. In delivering NSE program on derivatives , I came across a shortcut to approximating Implied Volatility(IV) and Historical Volatility(HV).
2. Normal approach to caluculating HV involves statistical caluculation.
3. Devangshu Datta of BS describes a thumb rule approach to estimating HV. It involves calculating the daily  HIGH - LOW range as a % of Futures settle price. You can take say, a 20-day moving average of this in order to get a smoother value. This can be used as a proxy for HV.
4. For estimating IV, We can take nearest to money call option and nearest to money put option premiums and calculate the breakevens to derive a range. For ex Nifty at 5280, 5300C (premium 100) and 5250 P (128) can be considered. A strangle breaks even outside 5558 -5022. This 536 points can be expressed as a percentage of NIFTY 5300 approx 10% as a estimate of IV. 
5. Black-Scholes options caluculator gives more precision but a thumbrule approx can be done as above

Afraid to Trade Options

I had interacted today with many option traders who apparently know nothing about the concept of Volatility. I shiver at the description of their trading strategy confined to directional option bets. Disregard or lack of understanding for Time Decay or Implied Volatility.

1. Interesting post on Options


2. What are the parameters to look for in deciding whether option is attractively priced ?


3. Are we aware that Option is a non linear convex instrument unlike stocks or Futures ?