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    For Face2Face With Vivek Bajaj & Vibhore Gupta

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    monish.chandar
    The document discusses options selling strategies. It provides an overview of the speaker's 14 years of experience in algorithmic trading, derivatives research, and fund management. The speaker then outlines some of the challenges of option selling in low volatility regimes and discusses key parameters, market sentiment analysis using data points, and creating a basket of options strategies to deploy based on volatility outlook.

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    For Face2Face With Vivek Bajaj & Vibhore Gupta

    Uploaded by

    monish.chandar
    54 views17 pages
    The document discusses options selling strategies. It provides an overview of the speaker's 14 years of experience in algorithmic trading, derivatives research, and fund management. The speaker then outlines some of the challenges of option selling in low volatility regimes and discusses key parameters, market sentiment analysis using data points, and creating a basket of options strategies to deploy based on volatility outlook.

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    PPT for Face2Face with Vivek Bajaj & Vibhore Gupta

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    PPT for Face2Face with Vivek Bajaj & Vibhore Gupta

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    The document discusses options selling strategies. It provides an overview of the speaker's 14 years of experience in algorithmic trading, derivatives research, and fund management. The speaker then outlines some of the challenges of option selling in low volatility regimes and discusses key parameters, market sentiment analysis using data points, and creating a basket of options strategies to deploy based on volatility outlook.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    54 views17 pages

    For Face2Face With Vivek Bajaj & Vibhore Gupta

    Uploaded by

    monish.chandar
    The document discusses options selling strategies. It provides an overview of the speaker's 14 years of experience in algorithmic trading, derivatives research, and fund management. The speaker then outlines some of the challenges of option selling in low volatility regimes and discusses key parameters, market sentiment analysis using data points, and creating a basket of options strategies to deploy based on volatility outlook.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 17

    Options Selling 2.

    Vibhore Gupta
    Algo Trader & Derivative Strategist

    1
     Today’s discussion is for knowledge sharing purpose and on
    best effort basis only.
     Derivative trading is exposed to potential risk. Suggest to
    deploy only surplus capital.
     The concepts that will be disused today have been learnt by
    me through Books, social media and my practical trading
    experiences. I do not claim any copyright for the same.
     Past performances are indicative and does not guarantee
    future returns.
     I do not have any economic or commercial benefit out of this
    session.

    2
     More than 14 years of experience into Algo Trading, Derivative research and Fund Management.

     Currently trading on multiple strategies in Options, religiously driven by Option Greeks and fully
    automated execution.

     Core competency lies in fine tuning strategies with the help of data points and common sense.

     Have traded on variety of Derivative strategies like Vanilla Arb, Option Greek Arb, Technical /
    Pattern based system, Discretionary and non - discretionary setups.

     Earlier headed Proprietary trading desk for multiple members.

     Journey of trading started from Algo platforms. Learned arbitrage strategies execution through
    manual trading as well.

     In the early days of my trading career, focused on custom development of Algo strategies, Smart
    Order Management System etc.

    3
     High and Low VIX Regime – A Study

     Challenges in Option Selling during Low VIX Regime

     Crucial Parameters for Option Selling Strategies

     How to study market sentiments using data points

     Creating Option Strategies basket and assigning exposure to

    strategies

    4
    5
    6
    7
    8
     Poor Risk : Reward ratio due to low option premiums

     More Gamma Risk thus probability of hitting SL is high

     Volatility spike kills winning probability of trades

     Randomness in Theta Decay

     Vega decay is more crucial factor

    9
    10
    11
    12
    13
    14
    SAMPLE STRATEGIES BASKET
    Few Options Strategies to Sentiments and Volatility
    Outlook Low IV Scenario High IV Scenario
    Credit Spreads
    Debit Spreads
    Bullish Ratio Front Spreads
    Ratio Back Spreads
    Butterfly

    Straddle
    Strangle Calendar Spreads
    Neutral
    Condor Ratio Back Spread
    Iron Fly

    Credit Spreads
    Bearish Ratio Front Spreds
    Butterfly Debit Spreads

    15
    1. Study the market sentiments before entering into any
    strategy
    2. Data is the key for winning strategies
    3. Get all flavors of strategies in your basket and learn which
    one to use and when.
    4. Know your exit before entry into trade : Risk Management
    5. Learning is the key to survive in long run

    16
    Vibhore Gupta
    : @vibhoregupta5
    : vibhoregupta

    17

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