Strategy using Forward Volatility in live market

AI & Machine learning
1

How do i implement this strategy in live market. This is a comcept in



Options Trading Strategies In Python: Intermediate

  1. What type of data is required on daily basis?
  2. What strike price to choose?
  3. What option type is needed like CE and PE?
Once i know this then i will find where to fetch this data. This strategy is not clear at all.
2

Hi Anil,



Let's try to take the strategy mentioned in the notebook Section 10, Unit 4 in focus. Here, we are trading based on the forward volatility concept. You would need the option contract which is near month and far month as well. Here, we are using futures prices as underlying, hence we need that data as well.

The strike price chosen is usually the one which is "at-the money" or "in-the-money". As there is decent liquidity for these options. 

In the strategy notebook, we are using call options data.



Hope this helps.

 

3

Thank you.



Here i see there is a fixed strike price for entire data set. Can i use ATM strike price based on near future close?

4

Hi Anil,



Yes. That can be done.



Thanks.