Scribd Logo
Upload

Welcome to Scribd!

  • 393 views

    Subhadipnandy PPT Ic2019 Goa

    Uploaded by

    someonestupid1969
    The document discusses using LEAPS (long-term equity anticipation securities) and weekly options to take advantage of theta decay while maintaining a directional position. Specifically, it describes how to: 1) Use implied futures calculations from LEAP and weekly option prices to determine a view of where the underlying will be in the future. 2) Compare theta decay between ATM weekly and LEAP puts. 3) Sell weekly puts against long LEAP positions to benefit from theta decay while staying in the overall trend direction.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd

    Subhadipnandy PPT Ic2019 Goa

    Uploaded by

    someonestupid1969
    393 views17 pages
    The document discusses using LEAPS (long-term equity anticipation securities) and weekly options to take advantage of theta decay while maintaining a directional position. Specifically, it describes how to: 1) Use implied futures calculations from LEAP and weekly option prices to determine a view of where the underlying will be in the future. 2) Compare theta decay between ATM weekly and LEAP puts. 3) Sell weekly puts against long LEAP positions to benefit from theta decay while staying in the overall trend direction.

    Original Description:

    Original Title

    subhadipnandy ppt ic2019 goa.pptx

    Copyright

    © © All Rights Reserved

    Available Formats

    PPTX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    The document discusses using LEAPS (long-term equity anticipation securities) and weekly options to take advantage of theta decay while maintaining a directional position. Specifically, it describes how to: 1) Use implied futures calculations from LEAP and weekly option prices to determine a view of where the underlying will be in the future. 2) Compare theta decay between ATM weekly and LEAP puts. 3) Sell weekly puts against long LEAP positions to benefit from theta decay while staying in the overall trend direction.

    Copyright:

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

    Subhadipnandy PPT Ic2019 Goa

    Uploaded by

    someonestupid1969
    The document discusses using LEAPS (long-term equity anticipation securities) and weekly options to take advantage of theta decay while maintaining a directional position. Specifically, it describes how to: 1) Use implied futures calculations from LEAP and weekly option prices to determine a view of where the underlying will be in the future. 2) Compare theta decay between ATM weekly and LEAP puts. 3) Sell weekly puts against long LEAP positions to benefit from theta decay while staying in the overall trend direction.

    Copyright:

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

    1

    Trading the
    LEAPS
    Hello!
    2

    I am Subhadip Nandy
    I am an independent quantitative trader.

    You can find me at @SubhadipNandy / [email protected]

    I manage my own funds, some prop money

    I am a quant analyst for IFA Global , a firm managing 2000cr of


    AUM
    3

    Long-Term Equity Anticipation


    Securities – LEAPS
    Long-term equity anticipation securities (LEAPS) are
    publicly traded options contracts with expiration
    dates that are longer than one year. As with all
    options contracts, a LEAPS grant a buyer the
    advantage, but not the necessity, to purchase or
    sell—depending on if the option is a call or a put—the
    underlying asset at the predetermined price on or
    before its expiration date.
    4

    The December future :

    IMPLIED FUTURES :

    Strike Price + Price of Call-Price of Put


    5

    Dec’19 Futures from option prices :

    Dec’19 futures = 11000+360-447 =


    10913
    6

    August 11k PUT = 278

    August 10700 PUT = 85


    7

    August 10700 PUT


    theta decay :
    8

    August 10700 PUT


    and Dec 11k PUT
    theta decay
    comparision :
    9

    Extrinsic value is maximum for an


    ATM option, whether call or put.

    So, in our reference trade we will


    always short ATM options on
    weeklies

    The aim is to keep the directional


    trade open while gaining from theta
    decay on the weeklies
    10
    11
    10700 August Put VEGA
    12
    11000 Dec Put VEGA
    13
    Dec 11k puts initiated on July 31st

    Dec 11k puts initiated at 31st July


    14

    Zones to sell the weekly PUTs as


    reference trades
    15

    The essence of this reference trade :


    Mixing time frames

    Momentum Weeklies
    LEAPs are bought in
    oversold and squared off at
    the direction of the
    turn leads to momentum
    major trend
    selling weeklies overbought
    16

    In order to initiate these trades

    A stoploss on
    Vols must be low and Strong the underlying
    have started to go up directional view above which the
    main trade exits
    17

    Thank You !

    @SubhadipNandy

    [email protected]

    +91 97480 52739

    You might also like