- This topic has 8 replies, 6 voices, and was last updated 3 years, 10 months ago by Nitin Bhatia.
May 3, 2019 at 5:14 PM #89120
For premium decay analysis – If there is gap down / gap up opening and a particular price level is skipped, how to record / override the premium prices at that level?
E.g. Market closes at 11760 and opens next day at 11830. How to record premium values for 11800 level?
May 5, 2019 at 3:04 AM #90443
Bro for any particular period of spot n time you may refer to strike price chart on your broker platform…
According to khufiya analysis video of NB sir ,you have to record premium on call side and put side simultaneously.
May 5, 2019 at 5:37 PM #91413
Just to add that track premium for each strike price on both sides. If closes at 11760 and opens next day at 11830. On call side the 11800 premium will increase and on put side it will decrease. The key is relative movement in premium on call and put side i.e. whether increase on call side is more compared to decrease in put side (This is just an example)
May 6, 2019 at 1:14 AM #92581
Hi Nitin Ji,
I have a query.
If the relative movement of premium on call side on an OTM strike price is greater than the relative movement of premium on put side on the same OTM strike price, can we assume that market might rally till that strike price?
Thanks & Regards,
May 7, 2019 at 10:08 AM #94112
May 6, 2019 at 1:11 PM #92670
I kind of got hint from Nitin Sir’s reply – The key is relative movement in premium on call and put side.
Let me still go ahead and elaborate the example to ensure there is no gap in understanding as I am not sure if my question was very clearly understood.
Suppose in a given expiry there is max OI at 11500 on put side and 12000 on call side and current NIFTY level is 11650. I need to record premium values ( 11500 PE and 12000 CE ) at different spot levels ( 11600, 11700,11800,11900). On a particular day NIFTY closes at 11770 and next day opens as 11830.
How do I note the premium values ( 11500 PE and 12000 CE ) at spot level 11800? NIFTY was never at 11800 and opened directly at 11830.
I think I should use level 11830 in stead of 11800 in this case and see the relative impact on premiums on both sides. So I would use premium values at spot levels 11600, 11700, 11830 and 11900 in this case.
May 7, 2019 at 10:11 AM #94114
Even if Nifty was not at 11800 but the option was getting traded and there was a premium attached to it.
May 6, 2019 at 4:33 PM #92976
You need record the decay for every +50 points,(eg. 11550, 11600, 11650),
If Market closes at 11760 – record it in 11800.
Market open at 11830 – we need to consider only closing price not opening price,
Record what is closing @ EOD price even if its gapup open / gapdown open.
Anybody can correct me if am wrong or i understood wrong.
May 13, 2019 at 10:59 PM #109896
we need to record premium at each strike price and keep an eye over the movement i.e it is increasing or decreasing .
for e.g if an average premium at CALL( over all strikes) is 100 and average premium at PUT(over all strikes) is 102 then Nifty is more likely to fall as premium at PUT is increasing than call side.
Nitin Sir do you second above explanation ?
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