Comment on Greek Interactions

slah04 commented on 28 Mar 2017, 06:33 PM

Hi Karthik

Based on your Volatility Excel, I have put in 15 months data for Nifty to get the volatility cone for the last 12 months. From the volatility cone, a 30 days-to-expiry option with + 2 SD variance would be at an IV of 18.37%. Now from the Nifty Option chain, as on today (28th Mar), the 27-Apr 10000 PE has an IV of 20.47%. The option also has a good liquidity at the moment, going by the Volume and OI figures. Is it feasible to go short on this 10000 PE which is presently trading at 835 ?

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