Stop Loss for short strangle ( 4500PE+4900CE) can be now reduced to 98/100 from original estimated 128..




But complex Short Strangle ( 4500PE + 4900CE - 4400PE ) is showing eratic movement biased towards bullish side.

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Still maintaining almost same status...however regular strangle seems declining at slow pace...

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Now more fall. Stop loss can be reduced to 91, VAH of 8 and 9 day composite profile or more tighter one of 85. If we look for delta of strangle roughly comes 0.11, so former stop loss is expected to hit by approx 110 points move either side from 4750 and latter one by some 70 points.





Complex strangle still more or less on downside.

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Higher SL of 91 can be discarded now. Lowe SL , 85 touched breifly with morning volatility spike only after some 91 points movement from yday closing ( 4842 - 4751 ) as estimated by 70 points move. Interestingly Late noon volatility spike could raise strangle only upto 81, despite net higher movement of 99 Points ( 4850 - 4751 )...a clear time erosion winnig even over intraday volatility spikes. Now tighter SL can be assumed 81 and more secured at 85. From LTP of approx 71 and strangle delta approx 0.1 now lower SL will be touched by movement of (81 -71)/0.1 = 100 Pts either side from 4832 and higher SL of 85 need 140 points move from 4832.





Complex strangle moves on as usual..will take a dip now with any small dip in NF

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Looking at the recent developement on market profile chart....either a Bell in orange or P in blue , seems nearing completion and a next small imbalance on either side to is due now for more efficiency. This is also suggested by short term drop in volatility and decresing volume on up auction.
Both strangle should be quit, however they can be trailed with SL but absolute values of premium has decresed substantially..so a next position ( probably with march series )will be decided after more information on profile chart pours in....

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Originally Posted by devdas

Looking at the recent developement on market profile chart....either a Bell in orange or P in blue , seems nearing completion and a next small imbalance on either side to is due now for more efficiency. This is also suggested by short term drop in volatility and decresing volume on up auction. Both strangle should be quit, however they can be trailed with SL but absolute values of premium has decresed substantially....

It was a timely quit.....if option writters employ proper SL then chances of winning improves much. However position is closed yday but is still worth to monitor, especially behaviour of volume spike in last half hour. This is truely a panic rise for cover but also a risky opportunity for those who were silent observar. As NF has sweep above 4860 and next favourite rotational zone is 4870- 4910, hence if NF makes a rotation even for a single day in this zone then this volatility induced rise will evaporate quickly and strangle will automatically reduce by 10-15 % ( from 77 to 70/67 )with in first half of next day....

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However every composite profile looks having its own complete nature, but here is combining such two recent composite profiles into one except 18-19 Feb are shown seperate. Picture explain itself, but be cautious its not time to sell and sleep, options based on extremeties of C region, rather next position is a ratio buy for next week. Its has been already late as IV has been on increase by last wednesday.
Region A and B are somewhat 2nd SD of whole development and my wild guess is that NF is going to test both, given next week's event. Only difference will be behaviour of movement in those region. One zone may associate with rejection and second will automatecially acceptance and probable 'knock' in 2nd SD for next range extension. As vally zones maintain their nature of fast pass-over ( recently its shown in v3), there will be no surprize to see jump v1/v2 and trade in A/B nearing budget day, -- all sort of unrealistic moves are symptoms of those days.



These are guesses , what-if thoughts or scenario visulisation for next week and next position which looks like

Buy 1 lot 4800 PE march + Buy 2 lot 4900 CE march -> LTP = 421/-

Its ratio, bullish setup at present and targetted for littile IV capture. Present performence on 21 Feb with present IV of 28% and projected performence on 26 Feb with estimated IV of 33% is shown in below graphs. Its clear if NF remain moving in zone C with littile increase IV by 5% than position will easily offset theta loss very much and will come in profit without breaking.





However breaking zone B may call for squaring of 1 lot of call, but let it start and observe on charts as is. Will post charts as tracking it from 2maro.

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Despite Positive delta, and appriciation in NF, position lose premium . Thats show options volatility has decreased from yday lvls and so theta loss surged easily.

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