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  #1  
Old 8th July 2010, 06:35 PM
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Default Dynamic Strangle/Straddle - Excel Model : Need Views



I have made a excel model that will display strangle/straddle payoffs for near month expiry.

The model has following features:

1. Will show payoff for any stock option chosen from a list.
2. Will refresh with the market every min and has manual refresh also.
3. Will display all premiums for calls and put dynamically.
4. Can choose the call and put strike price at which to build the strangle/straddle.
5. Can configure the payoff graph for price range and interval between prices.
6. Will show the entire cost of constructing the strangle/straddle (according to the lot size for that stock allowed).
7. Can choose the no. of lots to be invested.

Further which can be incorporated into the model

1. Payoffs for mid and far month (according to user).
2. Futures payoffs for stocks.
3. Payoffs for Nifty options and futures.
4. Change in open interest in call and put options at different strike prices. Can give support and resistance zones building up.
5. Put to call ratio on open interest for nifty options.
6. Generate more payoffs (bear, bull spreads etc )

Wanted to know if this kind of model would be useful for an investor? Please be free to put your views.
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  #2  
Old 8th July 2010, 10:04 PM
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Looks interesting.

How do you plan to update it?

What is "futures payoffs for stocks"?

How will you calculate "support and resistance zones"?
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  #3  
Old 8th July 2010, 10:33 PM
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Default Dynamic Strangle/Straddle - Excel Model : Need Views

You can import data in excel from the web via web queries. My query will be dynamic as it will change with the stock chosen and the expiry month. The data will be drawn from nseindia.com. The rest have been done via macros and formulas.

Sorry nothing such as future payoffs. I can do something with the futures data for stocks avaliable on the site.

For nifty the support zone can be the put which has the highest open interest. The put writers don't expect the nifty to fall below it. The resistance zone can be the strike price for call which has the highest open interest. The call writers don't expect the market to go above it. Highest OI in put 5000 and call 5200 can be seen as a support of 5000 and resistance of 5200. It is assumed that the smart money writes the options.
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  #4  
Old 13th July 2010, 06:52 PM
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Default Dynamic payoff for any stock option - Excel Model : Need Views

Hi Guys,

I have updated the model.

The main new addition is creation of any strategy using 4 open positions (butterfly spread , bull spread , bear spread , strangle, straddle etc).

The user can buy as well as write options and can check out his payoffs in Indian Rupees. This model gets data from nseindia.com and refreshes every minute.

I have attached a picture of the output. The payoff is for a butterfly spread.

The user can choose the stock option, The 4 open positions , lower , higher , and interval figures and the number of lots to be bought. This payoff is as of 13th July 5:44 pm (markets have closed).

This payoff can easily be used for making trade calls.

I am also going to update the model for checking any arbitrage opportunities in call and option prices (which might exist in stock options)

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  #5  
Old 14th July 2010, 03:51 PM
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Dear KingFate,

That is simply great.

I am interested to know the procedure you are following for taking data from nse.com

Does that require any membership / registration to be taken from nse?
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Old 10th December 2013, 05:08 PM
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Dear,

how can we download this model?
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Old 1st February 2016, 04:11 PM
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Hello @KingFate

Do you still have this model?
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