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Put Option Buyers Vs India Vix

India’s benchmark Nifty has plunged 425 points since it made a high of 11825 on the 3rd of May. The fall has been triggered primarily because Nifty was stuck in a range of 126 points while India Vix continued to rise. The market was desperately looking for a window out of the equilibrium. In today’s session, the index has tanked more than 140 points, from its previous close at 11542. It is important to note that, although Nifty has plunged 100 points intraday and 425 points in the last 4 sessions, the implied volatility of Put options remained firmly below its designated range. This has led to misappropriation in the Gamma -Vega covariance factor of Put options in today’s session, leading to slow-selling in the market throughout the day.

Nifty Options Data
Nifty Options Data

Downside Move Failed To Trigger Vega Expansion

Today’s gap down opening around 11519, converted Nifty’s range low into a pivot point for the sellers to initiate fresh shorts on the bounce back. This is the reason why Nifty bounced back to 11513 around 2:15 pm before the final lap of selling was triggered till 11403 approx. A 3D Delta Scan revealed that today’s downside move failed to trigger the optimum vega expansion in Put options. This led to a dip in the implied volatility of Put options causing the market to fall very gradually. Although Implied Volatility appears to be a phenomenon that is largely related to event trading, it can be intelligently incorporated in days like these to manage overnight long positions for options traders.

How To Buy Put Options When The Gamma-Vega Covariance Factor Is Neutral

Nifty created an optimum opportunity for Put option buyers yesterday. The 3D Delta software scanned the market after the opened gap up opening. It waited patiently for Nifty to bounce back to 11690 and the gamma to neutralize before triggering a buy-in Put options. To check the level of accuracy and precision of the system, the 11400 Put option was bought @ 206 when Nifty hit 11690 around 1:45 pm yesterday. The Put closed @ 265 when the index closed at 11542 at 3:30 pm. The position was duly carried forward as there was a clear indication of the presence of sellers. Today Nifty opened gap down @ 11519, and Put was later squared of @ 288 as the implied volatility remained below the designated range.

Trade of 11400 put option
Trade of 11400 put option

Bank Nifty Options Data

Bank Nifty Options Data
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