DDR-CS

Vishvesh Chauhan,
chaseAlpha Asset Advisors

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Vishvesh Chauhan
• Trader & Analyst with over 13 years work experience across. India, Australia, Asia
• Well quoted across all business channels and print media.
• Trader who can code, designing quantitative systems and tools.
• Fitness freak and promotes healthy living.

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Do you Buy and Hold ?

Are You an Investor?

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Gods of Investing ?

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We all mostly focus on outliers ?

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Investing & Options ??
Am I joking?

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Option Greeks
Not only for geeks

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What is direction?

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Correlation with underlying
• Equity
• Futures
• Options
• Call
• OTM
• ATM
• ITM
• Put
• ITM
• ATM
• OTM

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 Moneyness and Delta

Moneyness Call Delta Put Delta

OTM Towards Zero Towards Zero
ATM 0.5 -0.5
ITM Towards 1 Towards -1

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Options | Vega

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Options Vega

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Options Theta

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Selling options
Good or Bad ?
What happens when you initiate any options structure.

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Vega / Theta Ratio
• Relationship with time
• Relationship with moneyness
• Relationship with Implied Volatility

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Delta Neutral
• No Directional Bias
• Attempting to make money from time and volatility
• You can remain delta neutral and yet incorporate
your bias
• Delta Hedging
• How to make Delta Neutral

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What happens when you initiate
options position

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Neutral Strategies

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What does neutral mean?
• Not taking view on underlying
• Betting on Volatility
• Covered risk both sides
• Equal legs (mostly)

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Calendar Spread
• Calendar Spread
• -1 10000 C 29 AUG
• +1 10000 C 26 SEP
• DIAGONAL
• -1 10000 C 29 AUG
• +1 9900 C 26 SEP
• RATIO
• -2 10000 C 29 AUG
• +1 10000 C 26 SEP
• RATIO DIAGONAL
• -1.5 10000 C 29 AUG
• +1 10100 C 26 SEP

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Calendar Cont.
• DOUBLE CELENDAR
• -1 C 10000 C 29 AUG
• +1 C 10000 C 26 SEP
• -1 9800 P 29 AUG
• +1 9800 P 26 SEP
• DOUBLE DIAGONAL
• -1 C 10000 C 29 AUG
• +1 C 10100 C 26 SEP
• -1 9800 P 29 AUG
• +1 9700 P 26 SEP
• DOUBLE DIAGONAL RATIO SPREAD
• -1.5 C 10000 C 29 AUG
• +1 C 10100 C 26 SEP
• -1.5 9800 P 29 AUG
• +1 9700 P 26 SEP

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Risk & Calendars
• Max Risk is Db which you have paid
• Max Reward if expiry comes at short near expiry
options
• If you have made diagonal then
• Max risk is width difference + Db

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Why is it for an investor ?
• Consistent income generation
• Requires margin for selling leg
• Less Risky thus conservative return
• Investor trade against portfolio to generate
additional income

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How to select strikes?
• Volatility indicators like
• ATR
• Standard Deviations
• Support Resistance
• Tilt with Directional Bias
• Use System Signal (Positional)

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Diagonal Spread

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Sep Oct CE | Volatility Skew

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Sep Oct PE | Volatility Skew

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Ratio Spread

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Ratio Diagonal Spread

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Double Calendar Spread

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Double Diagonal Spread

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Double Diagonal Ratio Spread

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How to Book
• 2-3 % on deployed capital.
• Position Holding for X days, specially around
events.

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Managing Delta’s
• In this position we are trying to make money from
• Long Theta
• Long Vega
• So whenever Delta reaches threshold neutral it

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Questions

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Thank You
• Support
• Email : vishvesh@chasealpha.in
• Twitter : @chasealpha_in / @vishvesh03
• Mobile : 9372959261 (Whatsapp, Call)
• Website : https://chasealpha.in

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