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**A Random sample of my thoughts
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  1. If Nifty falls / Nifty rises , does the implied vol move in the same direction of the underlying or does it move the opposite direction. This becomes a very important question in the context of choosing a local volatility idea or chucking such an idea ? Local vol models assume that underlying and smiles move in different directions!!
  2. As there is a short sale restriction on stocks, what exactly is a tradable underlying for Nifty option, for valuation purposes ? Yes you do hedge a long call option with whatever is a cheap, a future/ETF. But then is it sensible to treat a long call option as option on futures and put option as an option on index, the reason being that that they are the respective hedges for the options available
  3. Does vol of nifty determine the atm imp vol level for nifty options? If so, how does it move ?
  4. Is there a curvature for vol across strikes ? If so, does the curvature remain quasi-stable?
  5. What is the functional/deterministic/stochastic relation between the comovement of nifty futures and nifty options in a 20,100 seconds(9:55AM - 3:30PM) trading day ?
  6. What is the average trade volume per moneyness in a trading day ? This is easy…got to crunch a few numbers to get an idea
  7. World-over the realized vol is explained by atm variance largely(80%)? Is it the case in Indian markets ? Are skew and convexity merely jazz in Indian markets which one need not worry too much ?
  8. If you look at an option trade that happens at time t1, what would be the corresponding future price that you would consider for valuation? the instantaneous futures price, average of future prices in the interval (t1-delta, t1)? Can you choose delta with some rationale, meaning, some metric which justifies choosing last 5 min / last 10 min / whatever that one thinks is meaningful ?
  9. Parameters for Vol of Vol for Nifty - Are they stable and more importantly what is their impact on Imp vols
  10. Is imp vol in Indian markets a completely random animal ? Is Indian market completely a punter’s market , meaning every one is a momentum player ?and analyzing numbers beyond a point is a useless activity ? ( I hope not )
  11. Are circuit breakers, fancy as they might sound, properly designed? Shouldn’t financial markets be there for the price discovery to happen? How can the third busiest exchange in the world trade for 30 seconds (Monday,after election verdict) and let the order flow go to other stock exchanges ?
  12. Are Indian investors sensible ? Nobody wants to buy when nifty was 2600 level and now when it has reached 4300 , every one wants to buy? Shouldn’t it be the other way round ?
  13. Who makes money in the entire game ? Are the only people who make money are Custodians, Fund account management fees, brokerage houses, financial advisors? Is “extracting decent alpha consistently”, a fantasy and there is survivorship bias amongst the successful fund managers that we see around ?
  14. How do people trade reliance options or for that matter any of the American options on the Indian market? Are there good pricing and hedging tools for these options available with traders ?
  15. Gap up and Gap down!!! , the biggest problem in the Indian markets – How do you sleep well when you know that you have got to deal with such an issue the next day morning ?

…………………………..May be I will find clues to the above stuff, someday!