Comment on Application of Option Greeks

gurumrao commented on 30 Aug 2014, 11:44 PM

Hi Karthik, I was able to calculate the volatility for Infy. Not sure how to share the excel with you for verification!!
Here is what I did …
– downloaded Infy data from NSE site for the period 1-Jan-13 to 28-Aug-14
– considered the “Close Price” and not the “LTP”
– Daily SD as on 28-Aug-14 came out as 2.03%
– Monthly volatility came out as 9.52% (considered 22 days for SQRT. Hope this is correct)
Let me know if there is any way I can share the excel with you.

If these calculations are correct, going by your earlier explanation, I should select strike price that is … may be around 11% (1.5% cushion) away from the previous expiry closing price.
Ex. Infy closed at 3598.8 on Aug expiry day 28-Aug.
For Sep, with 11% safety, the strike price would be 4000.

Am I right?

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